The aim of this paper is to demonstrate how to acquire robust consistent estimates of the linear model when the fundamental orthogonality condition is not fulfilled. With this end in view, we develop two estimation procedures: Two stage generalized M (2SGM) and robust generalized method of moments (RGMM). Both estimators are B-robust, i.e. their associated influence function is bounded, consistent and asymptotic normally distributed. Our simulation results indicate that the relatively efficient RGMM estimator (in regressions with heteroskedastic and/or autocorrelated errors) provides accurate parameter estimates of a panel data model with all variables subject to measurement errors, even if a substantial portion of the data is contaminated with aberrant observations. The traditional estimation techniques such as 2SLS and GMM break down when outliers corrupt the data. (C) 2002 Elsevier Science S.A. All rights reserved.

Wagenvoort R., W.R. (2002). On B-robust instrumental variable estimation of the linear model with panel data. JOURNAL OF ECONOMETRICS, 106(2), 297-324 [10.1016/S0304-4076(01)00102-6].

On B-robust instrumental variable estimation of the linear model with panel data

WALDMANN, ROBERT
2002

Abstract

The aim of this paper is to demonstrate how to acquire robust consistent estimates of the linear model when the fundamental orthogonality condition is not fulfilled. With this end in view, we develop two estimation procedures: Two stage generalized M (2SGM) and robust generalized method of moments (RGMM). Both estimators are B-robust, i.e. their associated influence function is bounded, consistent and asymptotic normally distributed. Our simulation results indicate that the relatively efficient RGMM estimator (in regressions with heteroskedastic and/or autocorrelated errors) provides accurate parameter estimates of a panel data model with all variables subject to measurement errors, even if a substantial portion of the data is contaminated with aberrant observations. The traditional estimation techniques such as 2SLS and GMM break down when outliers corrupt the data. (C) 2002 Elsevier Science S.A. All rights reserved.
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore SECS-S/01 - Statistica
eng
Con Impact Factor ISI
generalized M-estimator; robust generalized method of moments; influence function; outliers
Wagenvoort R., W.R. (2002). On B-robust instrumental variable estimation of the linear model with panel data. JOURNAL OF ECONOMETRICS, 106(2), 297-324 [10.1016/S0304-4076(01)00102-6].
Wagenvoort, R; Waldmann, R
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2108/54775
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