Robustness, infinitesimal neighborhoods, and moment restrictions

DOI10.3982/ECTA8617zbMATH Open1274.62349OpenAlexW2174697541MaRDI QIDQ2857586FDOQ2857586

Authors: Yuichi Kitamura, Taisuke Otsu, Kirill Evdokimov 

Publication date: 4 November 2013

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta8617

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zbMATH Keywords

semiparametric efficiencyHellinger distanceasymptotic Minimax Theorem

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

Cited In (23)

• Locally robust implementation and its limits
• Inference in dynamic discrete choice problems under local misspecification
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• Robust estimation with exponentially tilted Hellinger distance
• Robust inference for moment condition models without rational expectations
• Robust efficient method of moments estimation
• A new class of asymptotically efficient estimators for moment condition models
• Generalized moment estimation of stochastic differential equations
• Minimizing sensitivity to model misspecification
• Testing with exponentially tilted empirical likelihood
• Generalized aggregation of misspecified models: with an application to asset pricing
• INDUCED CORES AND THEIR USE IN ROBUST PARAMETRIC ESTIMATION
• Infinitesimally robust estimation in general smoothly parametrized models
• Testing unconditional and conditional independence via mutual information
• Breakdown point theory for implied probability bootstrap
• Two-step combined nonparametric likelihood estimation of misspecified semiparametric models
• A doubly corrected robust variance estimator for linear GMM
• On the equivalence of robustness to canonical and general elaborations
• Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
• Counterfactual sensitivity and robustness
• Posterior Average Effects
• Robustness radius for Chamberlin-Courant on restricted domains
• Robustness of Bootstrap in Instrumental Variable Regression

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