Robust efficient method of moments

DOI10.1016/j.jeconom.2004.08.008zbMath1337.62237OpenAlexW3121227274MaRDI QIDQ265015

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

influence functionrobust statisticsrobust estimationindirect inferenceefficient method of moments

Mathematics Subject Classification ID

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

Related Items (5)

Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Robust score and portmanteau tests of volatility spillover ⋮ Semiparametric robust estimation of truncated and censored regression models ⋮ Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors ⋮ Robust subsampling

Uses Software

• semml

Cites Work

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• Semi-Nonparametric Maximum Likelihood Estimation
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• Robust methods in econometrics
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• Regression Quantiles
• Estimating stochastic differential equations efficiently by minimum chi-squared
• Robust Indirect Inference
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Robust Estimation of a Location Parameter
• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
• Robust Statistics
• Robust inference with GMM estimators

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