Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation

Roger Koenker, Machado, Jos? A.F., Christopher Lachlan Skeels and Alan H. Welsh

Econometric Theory, 1994, vol. 10, issue 01, pages 172-197

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 order Op(n 2) expansions for the variance of estimators constructed from preliminary least-squares and general M-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.

Date: 1994
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