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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...

Robust GMM analysis of models for short rate process

Dell'Aquila, Rosario ; Ronchetti, Elvezio ; Trojani, Fabio