Regression modelEconometrics / time series
Arellano-Bond GMM Estimator
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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Sources
- 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: 10.2307/2297968 ↗
- Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. Stata Journal, 9(1), 86-136. DOI: 10.1177/1536867X0900900106 ↗
Related methods
Referenced by
Bayesian Dynamic Panel Data ModelBayesian NARDLBayesian System GMMDifference GMMDynamic Panel Data ModelFixed Effects ModelFourier Dynamic Panel Data ModelFourier NARDLFourier system GMMPanel AR modelPanel Arellano-Bond GMMPanel Data AnalysisPanel Dynamic Panel Data ModelPanel System GMMRobust Arellano-Bond GMMRobust Dynamic Panel Data ModelStructural Break Difference GMMStructural Break Dynamic Panel Data ModelStructural Break System GMMTime-varying parameter Arellano-Bond GMMTime-varying parameter system GMM