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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 ,
José A.F. Machado ,
Christopher L. Skeels  and
Alan H. Welsh
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
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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
Information
Econometric Theory , Volume 10 , Issue 1 , March 1994 , pp. 172 - 197
Copyright
Copyright © Cambridge University Press 1994

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