เปรียบเทียบวิธี

	Robust Difference GMM	การประมาณค่าแบบ GMM แบบผลต่าง (ตัวประมาณค่าของ Arellano-Bond)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model
ปีกำเนิด	1991 / 2005	1991
ผู้ริเริ่ม	Arellano & Bond (1991); robust inference extension via Windmeijer (2005)	Manuel Arellano and Stephen Bond
ประเภท	GMM estimator with robust standard errors	GMM panel estimator
แหล่งต้นตำรับ	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.	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.
ชื่อเรียกอื่น	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
ที่เกี่ยวข้อง	6	5
สรุป	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.