Methoden vergelijken

	Robuuste Differentie GMM	Arellano-Bond GMM-schatter voor panelen
Vakgebied	Econometrie	Econometrie
Familie	Regression model	Regression model
Jaar van ontstaan	1991 / 2005	1991
Grondlegger	Arellano & Bond (1991); robust inference extension via Windmeijer (2005)	Manuel Arellano and Stephen Bond
Type	GMM estimator with robust standard errors	Dynamic panel GMM estimator
Oorspronkelijke bron	Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277-297.	Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58(2), 277–297.
Aliassen	robust Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust	Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM
Verwant	6	5
Samenvatting	Robust Difference GMM applies the Arellano-Bond first-difference GMM estimator with heteroscedasticity- and autocorrelation-consistent (HAC) or Windmeijer-corrected standard errors, delivering valid inference for dynamic panel models even when error variances are non-constant or residuals are cross-sectionally correlated.	The Arellano-Bond GMM estimator addresses the two core problems of dynamic panel models — individual fixed effects correlated with the regressors, and the endogeneity introduced by a lagged dependent variable — by first-differencing to remove fixed effects and then using lagged levels of the dependent variable as internal instruments.