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The Implicit Weighting of GMM Estimators

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  • Jan Víšek
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    Abstract

    Paper recalls motivation for generalized method of moments (GMM) as well as the idea estimated generalized method of moments. Having demonstrated the danger of underrating the heteroscedasticity of disturbances and recalling Cragg's idea of improvement of estimation under heteroscedasticity, it offers a robustified version of it. Then it explains idea of implicit weighting of residuals, i. e. the idea of weighting of order statistics of squared residuals and outlines a modification of the least weighted squares resistant to heteroscedasticity. A proposal of robust version of GMM estimation concludes the paper.

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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/155
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    Bibliographic Info

    Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

    Volume (Year): 15 (2008)
    Issue (Month): 25 ()
    Pages:

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    Handle: RePEc:czx:journl:v:15:y:2008:i:25:id:155

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    Related research

    Keywords: Robustified GMM estimation; robust regression; influential points; contamination; heteroscedasticity; instrumental variables; the least weighted squares;

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