Robust efficient method of moments

DOI10.1016/J.JECONOM.2004.08.008zbMATH Open1337.62237OpenAlexW3121227274MaRDI QIDQ265015FDOQ265015

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

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zbMATH Keywords

indirect inferencerobust estimationrobust statisticsinfluence functionefficient method of moments

Mathematics Subject Classification ID

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

Cites Work

• Robust estimators for simultaneous equations models
• Regression Quantiles
• Robust Estimation of a Location Parameter
• Robust Statistics
• Title not available (Why is that?)
• Robust Indirect Inference
• Title not available (Why is that?)
• Semi-Nonparametric Maximum Likelihood Estimation
• The Influence Curve and Its Role in Robust Estimation
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
• Robust inference with GMM estimators
• Infinitesimal robustness for autoregressive processes
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• The relative efficiency of method of moments estimators
• Robust methods in econometrics
• Title not available (Why is that?)
• Estimating stochastic differential equations efficiently by minimum chi-squared

Cited In (10)

• Title not available (Why is that?)
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS
• Robust efficient method of moments estimation
• Robust subsampling
• Robust score and portmanteau tests of volatility spillover
• Robust centroid method
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Finite Sample Properties of the Efficient Method of Moments
• Semiparametric robust estimation of truncated and censored regression models

Uses Software

• semml

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