Regression modelEconometrics / time series
差分GMM（Arellano-Bond估计量）
差分GMM由Arellano和Bond（1991）提出，通过对模型方程进行一阶差分以消除固定效应，然后使用内生变量的滞后水平作为GMM工具变量来估计动态面板数据模型。当面板数据存在滞后因变量或其他内生回归量，且截面单位数较多而时间维度较短时，这是标准方法。
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来源
- 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 ↗
如何引用本页
ScholarGate. (2026, June 3). First-Differenced Generalized Method of Moments Estimator. ScholarGate. https://scholargate.app/zh/econometrics/difference-gmm
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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- 面板系统GMM（Blundell-Bond估计量）计量经济学↔ compare