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Robust m-estimators

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Author Info
Franco Peracchi

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Abstract

This paper provides a summary of the influence function approach to robust estimation of parametric models. Hampel's optimality results for M-estimators with a bounded influence function is generalized to allow for arbitrary choices of the asymptotic efficiency criterion and the norm of the influence function. Further extensions to other cases of practical interest are also considered.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/07474939008800174&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 9 (1990)
Issue (Month): 1 ()
Pages: 1-30
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Handle: RePEc:taf:emetrv:v:9:y:1990:i:1:p:1-30

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Related research
Keywords: M-estimators; robust estimation; influence function;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January. [Downloadable!] (restricted)
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  3. Franco Peracchi, 1988. "Bounded-Influence Estimators for the Sure Model," UCLA Economics Working Papers 521, UCLA Department of Economics. [Downloadable!]
    Other versions:
  4. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May. [Downloadable!] (restricted)
    Other versions:
  5. Krasker, William S, 1980. "Estimation in Linear Regression Models with Disparate Data Points," Econometrica, Econometric Society, vol. 48(6), pages 1333-46, September. [Downloadable!] (restricted)
  6. Duncan, Gregory M., 1987. "A simplified approach to M-estimation with application to two-stage estimators," Journal of Econometrics, Elsevier, vol. 34(3), pages 373-389, March. [Downloadable!] (restricted)
  7. Krasker, William S. & Kuh, Edwin & Welsch, Roy E., 1983. "Estimation for dirty data and flawed models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 11, pages 651-698 Elsevier. [Downloadable!] (restricted)
  8. Gilstein, C Zachary & Leamer, Edward E, 1983. "Robust Sets of Regression Estimates," Econometrica, Econometric Society, vol. 51(2), pages 321-33, March. [Downloadable!] (restricted)
  9. Kiefer, Nicholas M & Skoog, Gary R, 1984. "Local Asymptotic Specification Error Analysis," Econometrica, Econometric Society, vol. 52(4), pages 873-85, July. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," University of St. Gallen Department of Economics working paper series 2005 2005-01, Department of Economics, University of St. Gallen. [Downloadable!]
    Other versions:
  2. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
  3. Peracchi, Franco, 1990. "Robust M-Tests," Working Papers 90-25, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
    Other versions:
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