On the robustness of two-stage estimators
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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Volume (Year): 82 (2012)
Issue (Month): 4 ()
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References listed on IDEAS
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- Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- James W. Hardin, 2002. "The robust variance estimator for two-stage models," Stata Journal, StataCorp LP, vol. 2(3), pages 253-266, August.
- Newey, Whitney K., 1984. "A method of moments interpretation of sequential estimators," Economics Letters, Elsevier, vol. 14(2-3), pages 201-206.
- Murphy, Kevin M & Topel, Robert H, 2002.
"Estimation and Inference in Two-Step Econometric Models,"
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American Statistical Association, vol. 20(1), pages 88-97, January.
- 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 370-379, October.
- Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 517-538.
- Adrian Pagan, 1985. "Two Stage and Related Estimators and Their Applications," Cowles Foundation Discussion Papers 741, Cowles Foundation for Research in Economics, Yale University.
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