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 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. © 1994, Cambridge University Press. All rights reserved.

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