Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation
- 1 March 1994
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 10 (1) , 172-197
- https://doi.org/10.1017/s0266466600008288
Abstract
This paper explores the robustness of minimum distance (GMM) estimators focusing particularly on the effect of intermediate covariance matrix estimation on final estimator performance. Asymptotic expansions to orderOp(n−3/2) are employed to constructO(n−2) expansions for the variance of estimators constructed from preliminary least-squares and generalM-estimators. In the former case, there is a rather curious robustifying effect due to estimation of the Eicker-White covariance matrix for error distributions with sufficiently large kurtosis.Keywords
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