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

Roger Koenker, José A.F. Machado, Christopher Skeels and Alan H. Welsh

Econometric Theory, 1994, vol. 10, issue 1, 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−3/2) are employed to construct O(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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