Robust inference with GMM estimators

DOI10.1016/S0304-4076(00)00073-7zbMath0996.62026OpenAlexW2044265740MaRDI QIDQ5931139

Fabio Trojani, Elvezio Ronchetti

Publication date: 5 November 2002

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00073-7

zbMATH Keywords

generalized method of momentsinfluence functionARCH modelsrobust model selectionrobustness of validityrobustness properties

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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Uses Software

• semml

Cites Work

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• On the Asymptotic Distribution of Differentiable Statistical Functions
• Robust Statistics

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