Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Diferenças Generalizadas de Momentos Robusto (Robust Difference GMM)× | Estimador GMM de Painel Arellano-Bond× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1991 / 2005 | 1991 |
| Autor original≠ | Arellano & Bond (1991); robust inference extension via Windmeijer (2005) | Manuel Arellano and Stephen Bond |
| Tipo≠ | GMM estimator with robust standard errors | Dynamic panel GMM estimator |
| 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 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 |
| Relacionados≠ | 6 | 5 |
| Resumo≠ | 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. |
| ScholarGateConjunto de dados ↗ |
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