On the robustness of two-stage estimators

DOI10.1016/J.SPL.2011.12.014MaRDI QIDQ434706zbMATH OpenOpenAlexFDO

Authors Mikhail Zhelonkin, Marc G. Genton, Elvezio Ronchetti

Publication date 16 July 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.12.014

zbMATH Keywords

two-stage least squaresasymptotic variance\(M\)-estimatorbounded influence functionchange-of-variance function

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Sequential estimation (62L12)

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Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 1978933 (Why is no real title available?)
• A method of moments interpretation of sequential estimators
• A natural robustification of the ordinary instrumental variables estimator
• High breakdown-point and high efficiency robust estimates for regression
• Influence Functions for Iteratively Defined Statistics
• Influence Functions of Iteratively Reweighted Least Squares Estimators
• On robust estimation via pseudo-additive information
• Robust Statistics
• Robust Statistics
• Robust two-stage estimation in hierarchical nonlinear models
• The Change-of-Variance Curve and Optimal Redescending M-Estimators
• The Influence Curve and Its Role in Robust Estimation
• Two Stage and Related Estimators and Their Applications
• Two-stage Huber estimation

Cited in

(15)

• Convexity of probit weights
• Two Stage and Related Estimators and Their Applications
• Robust inference for the two-sample 2SLS estimator
• scientific article; zbMATH DE number 4076321 (Why is no real title available?)
• scientific article; zbMATH DE number 4094606 (Why is no real title available?)
• Weight calibration to improve the efficiency of pure risk estimates from case‐control samples nested in a cohort
• A simplified approach to M-estimation with application to two-stage estimators
• Two-stage Huber estimation
• Spatio-Temporal Cross-Covariance Functions under the Lagrangian Framework with Multiple Advections
• Weight calibration to improve efficiency for estimating pure risks from the additive hazards model with the nested case‐control design
• scientific article; zbMATH DE number 883213 (Why is no real title available?)
• Robustness of a two-stage estimation procedure when variances are unequal
• Model robust inference with two-stage maximum likelihood estimation for copulas
• Nested case-control sampling without replacement
• Two‐stage quantile regression when the first stage is based on quantile regression

Describes a project that uses

Uses Software

• riv
• Stata
• robustbase

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