Application of M-Estimators to Cross-Section Effect Models

DOI10.1081/SAC-200068359MaRDI QIDQ5697367zbMATH OpenOpenAlexWikidataFDO

Authors Georgios Pitselis

Publication date 17 October 2005

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sac-200068359

zbMATH Keywords

robust estimationcross-section effect

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3899977 (Why is no real title available?)
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• Econometric analysis of cross section and panel data.
• Generalized, linear, and mixed models
• Investment Demand: An Empirical Contribution to the Aggregation Problem
• M Estimation of Multivariate Regressions
• Robust Estimation of a Location Parameter
• Robust Statistics
• Robust estimation of the SUR model
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Robustness comparisons of some classes of location parameter estimators
• The theory of least squares when the parameters are stochastic and its application to the analysis of growth curves

Cited in

(8)

• Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
• A note on the Mantel-Haenszel estimators when the common effect assumptions are violated
• Robust Eligible Own Funds and Value at Risk Under Solvency II System
• Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference
• Cross effects and calculus in an unbased setting
• The strong consistency of \(M\) estimator in linear models based on widely orthant dependent errors
• The strong consistency of \(M\) estimator in a linear model for negatively dependent random samples
• Further study strong consistency of \(M\) estimator in linear model for \(\tilde \rho\)-mixing random samples

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