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Robust inference with GMM estimators

Ronchetti, Elvezio ; Trojani, Fabio

In: Journal of Econometrics, 2001, vol. 101, no. 1, p. 37-69

The local robustness properties of Generalized Method of Moments (GMM) estimators and of a broad class of GMM based tests are investigated in a unified framework. GMM statistics are shown to have bounded influence if and only if the function defining the orthogonality restrictions imposed on the underlying model is bounded. Since in many applications this function is unbounded, it is useful to...

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Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models

Mancini, Loriano ; Ronchetti, Elvezio ; Trojani, Fabio

In: Journal of the American Statistical Association, 2005, vol. 100, no. 470, p. 628-641

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these results, optimal bounded-influence versions of the classical likelihood-based tests for parametric...

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