On the robustness of two-stage estimators

Mikhail Zhelonkin, Marc G. Genton and Elvezio Ronchetti

Statistics & Probability Letters, 2012, vol. 82, issue 4, 726-732

Abstract: The aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general two-stage M-estimator, and provide their interpretations. We illustrate our results in the case of the two-stage maximum likelihood estimator and the two-stage least squares estimator.

Keywords: Asymptotic variance; Bounded influence function; M-estimator; Change-of-variance function; Two-stage least squares (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2011.12.014

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