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The Implicit Weighting of GMM Estimators

Author

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  • Jan Víšek

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.

Suggested Citation

  • Jan Víšek, 2008. "The Implicit Weighting of GMM Estimators," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 15(25).
  • Handle: RePEc:czx:journl:v:15:y:2008:i:25:id:155
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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/155
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    More about this item

    Keywords

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

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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