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| Arellano-Bond GMM-estimator× | Dynamisk paneldatamodell× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1991 | 1988–1991 |
| Upphovsperson≠ | Manuel Arellano and Stephen Bond | Arellano & Bond (1991); Holtz-Eakin, Newey & Rosen (1988) |
| Typ≠ | GMM estimator for dynamic panel data | Dynamic regression / GMM estimation |
| Ursprungskälla≠ | 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 ↗ | 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 ↗ |
| Alias | AB-GMM, Difference GMM, first-difference GMM, Arellano-Bond estimator | dynamic panel model, panel data model with lagged dependent variable, DPD model, Arellano-Bond model |
| Närliggande | 5 | 5 |
| Sammanfattning≠ | 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. | The dynamic panel data model extends standard panel regression by including a lagged value of the outcome variable as a regressor, capturing persistence and adjustment dynamics. Because the lagged dependent variable is correlated with the unit-specific fixed effect, ordinary OLS or within estimators are biased; GMM-based methods using internal instruments are the standard remedy. |
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