Generalized method of trimmed moments

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Abstract

High breakdown-point regression estimators protect against large errors and data contamination. We adapt and generalize the concept of trimming used by many of these robust estimators so that it can be employed in the context of the generalized method of moments. The proposed generalized method of trimmed moments (GMTM) offers a globally robust estimation approach (contrary to many existing locally robust estimators) applicable in models identified and estimated using moment conditions. We derive the consistency and asymptotic distribution of GMTM in a general setting, propose a robust test of overidentifying conditions, and demonstrate the application of GMTM in the instrumental variable regression. We also compare the finite-sample performance of GMTM and existing estimators by means of Monte Carlo simulation.
Original languageEnglish
Pages (from-to)63-78
JournalJournal of Statistical Planning and Inference
Volume171
DOIs
Publication statusPublished - Apr 2016

Keywords

  • Asymptotic normality
  • Generalized method of moments
  • Instrumental variables regression
  • Robust estimation
  • Trimming

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    • 1 Citations
    • 1 Discussion paper

    Generalized Methods of Trimmed Moments

    Cizek, P., 2009, Tilburg: Econometrics, 42 p. (CentER Discussion Paper; vol. 2009-25).

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