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| Estymator GMM typu Arellano-Bond z odpornymi błędami standardowymi× | Estymator GMM metodą Arellano-Bonda× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania | 1991 | 1991 |
| Twórca≠ | Arellano & Bond (1991); robust inference extensions by Windmeijer (2005) | Manuel Arellano and Stephen Bond |
| Typ≠ | Dynamic panel GMM estimator with robust inference | Dynamic panel GMM estimator |
| Źródło pierwotne≠ | 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. DOI ↗ | 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. DOI ↗ |
| Inne nazwy | Robust Difference GMM, AB-GMM with robust standard errors, Robust first-difference GMM, Arellano-Bond robust estimator | Arellano-Bond GMM, AB-GMM, difference GMM estimator, dynamic panel GMM |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | The Robust Arellano-Bond GMM estimator applies the Arellano-Bond first-difference GMM approach to dynamic panel data while computing heteroscedasticity- and autocorrelation-consistent (robust) standard errors. This combination handles the Nickell bias from lagged dependent variables and simultaneously yields reliable inference when error variances differ across units or periods. | 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. |
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