Journal article

MOMENTARY LAPSES - MOMENT EXPANSIONS AND THE ROBUSTNESS OF MINIMUM DISTANCE ESTIMATION

R KOENKER, JAF MACHADO, CL SKEELS, AH WELSH

Econometric Theory | CAMBRIDGE UNIV PRESS | Published : 1994

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 O (n ) are employed to construct O(n ) 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. © 1994, Cambridge University Press. All rights reserved. p −3/2 −2

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