Robust efficient method of moments estimation

MaRDI QIDQ5290309zbMATH OpenFDO

Authors Claudio Ortelli, Fabio Trojani

Publication date 28 April 2006

zbMATH Keywords

indirect inferencerobust estimationrobust statisticsinfluence function

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 1211735 (Why is no real title available?)
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Encompassing and indirect inference
• Estimating stochastic differential equations efficiently by minimum chi-squared
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Infinitesimal robustness for autoregressive processes
• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
• Regression Quantiles
• Robust Estimation of a Location Parameter
• Robust Indirect Inference
• Robust Statistics
• Robust estimators for simultaneous equations models
• Robust inference with GMM estimators
• Robust m-estimators
• Robust methods in econometrics
• Semi-Nonparametric Maximum Likelihood Estimation
• The Influence Curve and Its Role in Robust Estimation
• The relative efficiency of method of moments estimators

Cited in

(14)

• Robust efficient method of moments
• Robust GMM tests for structural breaks
• Efficient robust estimation of time-series regression models.
• Robust inference with GMM estimators
• scientific article; zbMATH DE number 1441552 (Why is no real title available?)
• Robust artificial neural networks for pricing of European options
• The relative efficiency of method of moments estimators
• Robustness, infinitesimal neighborhoods, and moment restrictions
• Locally Robust Semiparametric Estimation
• scientific article; zbMATH DE number 1944344 (Why is no real title available?)
• Some diagnostic tools in robust econometrics
• Finite Sample Properties of the Efficient Method of Moments
• Fast indirect robust generalized method of moments
• Local GMM estimation of time series models with conditional moment restrictions

Describes a project that uses

Uses Software

• semml

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