Robust efficient method of moments

DOI10.1016/J.JECONOM.2004.08.008MaRDI QIDQ265015zbMATH OpenOpenAlexFDO

Authors Claudio Ortelli, Fabio Trojani

Publication date 1 April 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2004.08.008

zbMATH Keywords

efficient method of momentsindirect inferenceinfluence functionrobust estimationrobust statistics

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Non-Markovian processes: estimation (62M09)

Recommendations

• Robust efficient method of moments estimation
• Robust inference with GMM estimators
• scientific article; zbMATH DE number 3954121
• Robust simulation-based estimation
• Generalized method of trimmed moments

Cites work

• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Estimating stochastic differential equations efficiently by minimum chi-squared
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 1211735 (Why is no real title available?)
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• Infinitesimal robustness for autoregressive processes
• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
• Regression Quantiles
• Robust Estimation of a Location Parameter
• Robust estimators for simultaneous equations models
• Robust Indirect Inference
• Robust inference with GMM estimators
• Robust methods in econometrics
• Robust Statistics
• Semi-Nonparametric Maximum Likelihood Estimation
• The Influence Curve and Its Role in Robust Estimation
• The relative efficiency of method of moments estimators

Cited in

(13)

• Robust centroid method
• Robust simulation-based estimation
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• Robustness, infinitesimal neighborhoods, and moment restrictions
• Finite Sample Properties of the Efficient Method of Moments
• EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS
• Robust score and portmanteau tests of volatility spillover
• scientific article; zbMATH DE number 1441552 (Why is no real title available?)
• Semiparametric robust estimation of truncated and censored regression models
• Robust efficient method of moments estimation
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Robust subsampling
• Fast indirect robust generalized method of moments

Describes a project that uses

Uses Software

• semml

This page was built for publication: Robust efficient method of moments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q265015)