Regression modelEconometrics / time series
稳健差分GMM
稳健差分GMM采用Arellano-Bond差分GMM估计量，并结合异方差和自相关一致（HAC）或Windmeijer校正的标准误，即使在误差方差非恒定或残差存在横截面相关性时，也能为动态面板模型提供有效的推断。
阅读完整方法
仅限会员
登录使用免费账户登录即可阅读本节。
Method map
The neighbourhood of related methods — select a node to explore.
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 Difference Generalized Method of Moments Estimator. ScholarGate. https://scholargate.app/zh/econometrics/robust-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.
- 差分GMM（Arellano-Bond估计量）计量经济学↔ compare
- 动态面板数据模型计量经济学↔ compare
- 面板Arellano-Bond GMM估计量计量经济学↔ compare
- 面板固定效应模型计量经济学↔ compare
- 面板系统GMM（Blundell-Bond估计量）计量经济学↔ compare
- Robust System GMM计量经济学↔ compare