Regression modelEconometrics / time series
稳健的Arellano-Bond GMM估计量
稳健的Arellano-Bond GMM估计量将Arellano-Bond一阶差分GMM方法应用于动态面板数据，同时计算异方差和自相关一致（稳健）的标准误。这种组合处理了滞后因变量引起的Nickell偏差，并同时在误差方差在不同单元或时期存在差异时提供可靠的推断。
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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. The 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. The Stata Journal, 9(1), 86-136. DOI: 10.1177/1536867X0900900106 ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Arellano-Bond Generalized Method of Moments Estimator. ScholarGate. https://scholargate.app/zh/econometrics/robust-arellano-bond-gmm
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