Local influence analysis for GMM estimation

DOI10.1007/S10182-021-00398-5MaRDI QIDQ2125728zbMATH OpenOpenAlexFDO

Authors Jun Lu, Wen Gan, Lei Shi

Publication date 14 April 2022

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-021-00398-5

zbMATH Keywords

local influenceGMM estimationinfluential observationsperturbation schemegeneralized Cook statisticgeneralized influence function

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3984329 (Why is no real title available?)
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• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
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• Initial conditions and moment restrictions in dynamic panel data models
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• Local influence for incomplete-data models
• Local influence in multilevel regression for growth curves
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• More on local influence in pllincipal components analysis
• Panel Data Econometrics
• Perturbation and scaled Cook's distance
• Perturbation selection and influence measures in local influence analysis
• Robust inference with GMM estimators
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Stepwise local influence analysis
• The Standardized Influence Matrix and Its Applications

Cited in

(4)

• Case deletion diagnostics for GMM estimation
• Local influence analysis in the softplus INGARCH model
• Assessment of Local Influence in GARCH Processes
• Local influence analysis for penalized Gaussian likelihood estimation in partially linear single-index models

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