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On the robustness of two-stage estimators

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  • Zhelonkin, Mikhail
  • Genton, Marc G.
  • Ronchetti, Elvezio
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    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0167715211004068
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 82 (2012)
    Issue (Month): 4 ()
    Pages: 726-732

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    Handle: RePEc:eee:stapro:v:82:y:2012:i:4:p:726-732

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    Related research

    Keywords: Asymptotic variance; Bounded influence function; M-estimator; Change-of-variance function; Two-stage least squares;

    References

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    1. Pagan, Adrian, 1986. "Two Stage and Related Estimators and Their Applications," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 517-38, August.
    2. Newey, Whitney K., 1984. "A method of moments interpretation of sequential estimators," Economics Letters, Elsevier, vol. 14(2-3), pages 201-206.
    3. Murphy, Kevin M & Topel, Robert H, 1985. "Estimation and Inference in Two-Step Econometric Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 370-79, October.
    4. James W. Hardin, 2002. "The robust variance estimator for two-stage models," Stata Journal, StataCorp LP, vol. 2(3), pages 253-266, August.
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