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Robust M-Estimators

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  • Franco Peracchi

    (UCLA)

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File URL: http://www.econ.ucla.edu/workingpapers/wp477.pdf
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Bibliographic Info

Paper provided by UCLA Department of Economics in its series UCLA Economics Working Papers with number 477.

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Date of creation: 01 May 1988
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Handle: RePEc:cla:uclawp:477

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Web page: http://www.econ.ucla.edu/

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References

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  1. Duncan, Gregory M., 1987. "A simplified approach to M-estimation with application to two-stage estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 34(3), pages 373-389, March.
  2. Krasker, William S. & Kuh, Edwin & Welsch, Roy E., 1983. "Estimation for dirty data and flawed models," Handbook of Econometrics, Elsevier, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 11, pages 651-698 Elsevier.
  3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
  4. Franco Peracchi, 1988. "Bounded-Influence Estimators for the Sure Model," UCLA Economics Working Papers, UCLA Department of Economics 521, UCLA Department of Economics.
  5. Gilstein, C Zachary & Leamer, Edward E, 1983. "Robust Sets of Regression Estimates," Econometrica, Econometric Society, Econometric Society, vol. 51(2), pages 321-33, March.
  6. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, Econometric Society, vol. 52(3), pages 681-700, May.
  7. Kiefer, Nicholas M & Skoog, Gary R, 1984. "Local Asymptotic Specification Error Analysis," Econometrica, Econometric Society, Econometric Society, vol. 52(4), pages 873-85, July.
  8. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 18(1), pages 5-46, January.
  9. Krasker, William S, 1980. "Estimation in Linear Regression Models with Disparate Data Points," Econometrica, Econometric Society, Econometric Society, vol. 48(6), pages 1333-46, September.
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Cited by:
  1. Krishnakumar, J. & Ronchetti, E., 1997. "Robust estimators for simultaneous equations models," Journal of Econometrics, Elsevier, Elsevier, vol. 78(2), pages 295-314, June.
  2. 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, American Statistical Association, vol. 100, pages 628-641, June.
  3. 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, Center for Policy Research, Maxwell School, Syracuse University 34, Center for Policy Research, Maxwell School, Syracuse University.
  4. Čížek, Pavel, 2002. "Robust estimation with discrete explanatory variables," SFB 373 Discussion Papers 2002,76, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  5. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 101(1), pages 37-69, March.
  6. Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, Elsevier, vol. 128(1), pages 69-97, September.

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