Regression modelEconometrics / time series
Nonlinear Difference GMM
Nonlinear Difference GMM extends the Arellano-Bond difference GMM estimator to models where the structural relationship between the outcome and its predictors is inherently nonlinear. By first-differencing to eliminate individual fixed effects and then applying GMM moment conditions with lagged levels as instruments, it consistently estimates parameters in dynamic panel settings without requiring a linear functional form.
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Sources
- Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 9780262232586
- 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 ↗