ArellanoBoverBlundellBond
ArellanoBoverBlundellBond refers to a family of econometric methods for estimating dynamic panel data models, named after key contributions by Arellano, Bover, and Blundell with Bond. These estimators are designed to handle panels with a short time dimension and a potentially endogenous lagged dependent variable, as well as unobserved individual effects and measurement error.
The core idea stems from two related approaches. Arellano and Bover (1995) introduced difference GMM, which
Typical dynamic panel model: y_it = α y_{i,t-1} + x_it'β + η_i + ε_it, where η_i is an unobserved unit effect.
Applications span macroeconomics, finance, and development economics, including studies of investment, productivity, consumption persistence, and policy