Comparar métodos
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| Estimador GMM Robusto de Arellano-Bond× | Estimador GMM de Arellano-Bond× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem | 1991 | 1991 |
| Autor original≠ | Arellano & Bond (1991); robust inference extensions by Windmeijer (2005) | Manuel Arellano and Stephen Bond |
| Tipo≠ | Dynamic panel GMM estimator with robust inference | GMM estimator for dynamic panel data |
| Fonte seminal≠ | 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 ↗ |
| Outros nomes | Robust Difference GMM, AB-GMM with robust standard errors, Robust first-difference GMM, Arellano-Bond robust estimator | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator |
| Relacionados≠ | 6 | 5 |
| Resumo≠ | 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 is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to remove fixed effects and using deeper lags as instruments, it yields consistent estimates even when the error is serially correlated and regressors are endogenous. |
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