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Robust M-Estimators

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  • Franco Peracchi

    (UCLA)

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Suggested Citation

  • Franco Peracchi, 1988. "Robust M-Estimators," UCLA Economics Working Papers 477, UCLA Department of Economics.
    • Handle: RePEc:cla:uclawp:477
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    File URL: http://www.econ.ucla.edu/workingpapers/wp477.pdf
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Peracchi, Franco, 1991. "Bounded-influence estimators for the SURE model," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 119-134.
    3. 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.
    4. 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.
    5. Kiefer, Nicholas M & Skoog, Gary R, 1984. "Local Asymptotic Specification Error Analysis," Econometrica, Econometric Society, vol. 52(4), pages 873-885, July.
    6. Gilstein, C Zachary & Leamer, Edward E, 1983. "Robust Sets of Regression Estimates," Econometrica, Econometric Society, vol. 51(2), pages 321-333, March.
    7. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
    8. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, 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, vol. 48(6), pages 1333-1346, September.
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    Cited by:

    1. Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September.
    2. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    3. Pavel Cizek, 2001. "Robust Estimation with Discrete Explanatory Variables," CERGE-EI Working Papers wp183, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    4. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
    5. Krishnakumar, J. & Ronchetti, E., 1997. "Robust estimators for simultaneous equations models," Journal of Econometrics, Elsevier, vol. 78(2), pages 295-314, June.
    6. 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.

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