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

DOI10.1016/S0304-4076(01)00102-6zbMath1038.62061WikidataQ126573351 ScholiaQ126573351MaRDI QIDQ1858918

Rien Wagenvoort, Robert Waldmann

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

outliersinfluence functiongeneralized M-estimatorrobust generalized method of moments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

One-step robust estimation of fixed-effects panel data models ⋮ Median-based estimation of dynamic panel models with fixed effects ⋮ Consistent estimation of linear panel data models with measurement error ⋮ Data driven robust estimation methods for fixed effects panel data models ⋮ Semiparametric robust estimation of truncated and censored regression models ⋮ Robust estimators for the fixed effects panel data model ⋮ A Natural Robustification of the Ordinary Instrumental Variables Estimator ⋮ Generalized method of trimmed moments

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• On the computation and efficiency of a HBP-GM estimator some simulation results
• A Bounded Influence, High Breakdown, Efficient Regression Estimator
• Least Median of Squares Regression
• Instrumental Variables Regression with Independent Observations
• Resistant Estimation for Simultaneous-Equations Models Using Weighted Instrumental Variables
• Asymptotic behavior of general M-estimates for regression and scale with random carriers
• On One-Step GM Estimates and Stability of Inferences in Linear Regression
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data
• Two-Graphs, Switching Classes and Euler Graphs are Equal in Number
• Robust Estimation of a Location Parameter
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Robust inference with GMM estimators
• The econometrics of panel data. Handbook of theory and applications.