Robust small sample accurate inference in moment condition models

DOI10.1016/j.csda.2011.01.020zbMath1255.62370OpenAlexW2127050972WikidataQ57772547 ScholiaQ57772547MaRDI QIDQ1927103

Serigne N. Lô, Elvezio Ronchetti

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.01.020

zbMATH Keywords

Monte Carlogeneralized method of momentsexponential tiltingrobust testssaddlepoint techniquesinformation and entropy econometrics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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Linear instrumental variables model averaging estimation, Composite likelihood inference by nonparametric saddlepoint tests, The empirical saddlepoint estimator, Saddlepoint tests for accurate and robust inference on overdispersed count data, Higher-Order Infinitesimal Robustness, Special issue on robust analysis of complex data, Saddlepoint expansions for GEL estimators, Robust empirical likelihood

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