Robust estimation with exponentially tilted Hellinger distance

DOI10.1016/j.jeconom.2020.03.027OpenAlexW3125390828MaRDI QIDQ2236869

Prosper Dovonon, Bertille Antoine

Publication date: 26 October 2021

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

Full work available at URL: https://cirano.qc.ca/files/publications/2018s-38.pdf

zbMATH Keywords

Hellinger distancelocal misspecificationsemiparametric efficiencymoment condition modelsminimax robust estimationglobal misspecification

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
• Maximum Likelihood Estimation of Misspecified Models
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