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| Solidna estymacja GMM w różnicach× | Estymator GMM różnicowy (Estymator Arellano-Bonda)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1991 / 2005 | 1991 |
| Twórca≠ | Arellano & Bond (1991); robust inference extension via Windmeijer (2005) | Manuel Arellano and Stephen Bond |
| Typ≠ | GMM estimator with robust standard errors | GMM panel 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 Arellano-Bond estimator, difference GMM with robust SE, HAC difference GMM, AB-GMM robust | Arellano-Bond estimator, AB-GMM, first-difference GMM, difference GMM estimator |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | 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. | Difference GMM, introduced by Arellano and Bond (1991), estimates dynamic panel data models by first-differencing the equation to remove fixed effects, then using lagged levels of the endogenous variables as GMM instruments. It is the standard approach when a lagged dependent variable or other endogenous regressors are present in a panel with many units and few time periods. |
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