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Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation

Published online by Cambridge University Press:  11 February 2009

Roger Koenker
Affiliation:
University of Illinois at Urbana-Champaign
José A.F. Machado
Affiliation:
Universidade Nova de Lisboa
Christopher L. Skeels
Affiliation:
Australian National University
Alan H. Welsh
Affiliation:
Australian National University

Abstract

This paper explores the robustness of minimum distance (GMM) estimators focusing particularly on the effect of intermediate covariance matrix estimation on final estimator performance. Asymptotic expansions to order Op(n−3/2) are employed to construct O(n−2) expansions for the variance of estimators constructed from preliminary least-squares and general M-estimators. In the former case, there is a rather curious robustifying effect due to estimation of the Eicker-White covariance matrix for error distributions with sufficiently large kurtosis.

Type
Articles
Copyright
Copyright © Cambridge University Press 1994

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