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Robust efficient method of moments

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  • Ortelli, Claudio
  • Trojani, Fabio

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  • Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September.
    • Handle: RePEc:eee:econom:v:128:y:2005:i:1:p:69-97
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    References listed on IDEAS

    as
    1. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
    2. Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
    3. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464.
    4. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(4), pages 657-681, October.
    5. Mancini, Loriano & Ronchetti, Elvezio & Trojani, Fabio, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 628-641, June.
    6. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-390, March.
    7. Genton M.G. & Ronchetti E., 2003. "Robust Indirect Inference," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 67-76, January.
    8. Peracchi, Franco, 1991. "Robust M-Tests," Econometric Theory, Cambridge University Press, vol. 7(1), pages 69-84, March.
    9. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 85-118, Suppl. De.
    10. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    11. Franco Peracchi, 1988. "Robust M-Estimators," UCLA Economics Working Papers 477, UCLA Department of Economics.
    12. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
    13. Krishnakumar, J. & Ronchetti, E., 1997. "Robust estimators for simultaneous equations models," Journal of Econometrics, Elsevier, vol. 78(2), pages 295-314, June.
    14. Shinichi Sakata & Halbert White, 1998. "High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility," Econometrica, Econometric Society, vol. 66(3), pages 529-568, May.
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    Citations

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    Cited by:

    1. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research.
    2. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    3. Čížek, Pavel, 2012. "Semiparametric robust estimation of truncated and censored regression models," Journal of Econometrics, Elsevier, vol. 168(2), pages 347-366.
    4. Hill, Jonathan B., 2015. "Robust Generalized Empirical Likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 131-152.
    5. repec:hum:wpaper:sfb649dp2006-050 is not listed on IDEAS
    6. Čίžek, Pavel & Härdle, Wolfgang Karl, 2006. "Robust econometrics," SFB 649 Discussion Papers 2006-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
    8. Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2006. "Robust Artificial Neural Networks for Pricing of European Options," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 329-351, May.
    9. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
    10. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
    11. Zhichao Liu & Catherine Forbes & Heather Anderson, 2017. "Robust Bayesian exponentially tilted empirical likelihood method," Monash Econometrics and Business Statistics Working Papers 21/17, Monash University, Department of Econometrics and Business Statistics.
    12. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
    13. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007. "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 546-563, September.
    14. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.

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