Electronic Resource
New York
:
Cambridge University Press
Econometric theory
10 (1994), S. 172-197
ISSN:
0266-4666
Source:
Cambridge Journals Digital Archives
Topics:
Economics
Notes:
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 of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1017/S0266466600008288
|
Location |
Call Number |
Expected |
Availability |