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

Journal of Econometrics

Volumn 106, Issue 2, 2002, Pages 297-324

  Wagenvoort, Rien ^a   Waldmann, Robert ^b  

^a EUROPEAN INVESTMENT BANK   (Luxembourg)

^b UNIVERSITY OF ROME TOR VERGATA   (Italy)

Author keywords

Generalized M estimator; Influence function; Outliers; Robust generalized method of moments

Indexed keywords

COMPUTER SIMULATION; FUNCTIONS; MATRIX ALGEBRA; METHOD OF MOMENTS;

INFLUENCE FUNCTION; LINEAR MODEL;

ECONOMICS;

EID: 0346093808     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00102-6     Document Type: Article

References (33)

1. Arellano, M., Bond, S., 1988. Dynamic panel data estimation using DPD - a guide for users. IFS Working Paper No. 88/15.
2. Beaton A.E., Tukey J.W. The fitting of power series, meaning polynomials, illustrated on band-spectro-scopic data. Technometrics. 16:1974;147-185.
3. Burnside, C., Eichenbaum, M., 1994. Small sample properties of generalized method of moments based wald tests. NBER Technical Working Paper No. 155, National Bureau of Economic Research, Cambridge, MA.
4. Coakley C.W., Hettmansperger T.P. A bounded influence, high breakdown, efficient regression estimator. Journal of the American Statistical Association. 88:1983;872-880.
5. Cristiano, L.J., den Haan, W.J., 1995. Small sample properties of GMM for business cycle analysis. NBER Technical Working Paper No. 177, National Bureau of Economic Research, Cambridge, MA.
6. Den Haan, W.J., Levin, A., 1996. Inference from Parametric and Non-Parametric Covariance Matrix Estimation Procedures. NBER Technical Working Paper No. 195, National Bureau of Economic Research, Cambridge, MA.
7. Donoho D.L., Huber P.J. The notion of breakdown point. Bickel P.J., Doksum K.A., Hodges J.L. Jr. A Festschrift for Erich L. Lehmann. 1983;157-184 Wadsworth, Belmont, CA.
8. Griliches Z., Hausman J.A. Errors in variables in panel data. Journal of Econometrics. 31:1986;93-118.
9. Hampel F.R., Ronchetti E.M., Rousseeuw P.J., Stahel W.A. Robust Statistics. The Approach Based on Influence Functions. 1986;Wiley, New York.
10. Hansen L.P. Large sample properties of generalized method of moments estimators. Econometrica. 50(4):1982;1029-1054.
11. Hinloopen, J., Wagenvoort, J.L.M., 1995. Robust estimation, an example. EUI Working Papers in Economics, ECO No. 95/2, European University Institute, Florence.
12. Hinloopen J., Wagenvoort J.L.M. On the computation and efficiency of a HBP-GM estimator: some simulation results. Computational Statistics and Data Analysis. 25:1997;1-15.
13. Huber P.J. Robust estimation of a location parameter. Annual of Mathematical Statistics. 35:1964;73-101.
14. Kocherlakota N.R. On tests of representative consumer asset pricing models. Journal of Monetary Economics. 26:1990;285-304.
15. Krasker W.S. Two-stage bounded-influence estimators for simultaneous-equations models. Journal of Business and Economic Statistics. 4(4):1986;437-444.
16. Krasker W.S., Welsch R.E. Resistant estimation for simultaneous-equations models using weighted instrumental variables. Econometrica. 53(6):1985;1475-1488.
17. Krishnakumar, J., 1995. A general methodology of robust estimation for panel data models. Cahier 95.02, University of Geneva, Department of Econometrics.
18. Mallows, C.L., 1975. On some topics in robustness. Technical Memorandum, Bell Telephone Laboratories, Murray Hill, NJ.
19. Maronna R.A., Yohai V.J. Asymptotic behaviour of general M-estimates for regression and scale with random carries. Zeitschrift fur Wahrscheinlichkeitstheorie und Verwandte Gebiete. 58:1981;7-20.
20. Martin, R.D., Wang, J., 1999. Finite sample properties of robust estimators for linear regression. Technical Report, MathSoft Inc., Seattle, WA.
21. Mátyás L., Sevestre P. The Econometrics of Panel Data, Handbook of Theory and Applications. 1992;Kluwer, Dordrecht.
22. Ronchetti, E., Trojani, F., 1999. Robust inference with GMM estimators. Department of Econometrics, University of Geneva, unpublished Manuscript.
23. Rousseeuw P.J. Least median of squares regression. Journal of the American Statistical Association. 79(388):1984;871-880.
24. Rousseeuw P.J. Multivariate estimation with high breakdown point. Grossman W., Pflug G., Vincze I., Wertz W. Mathematical Statistics and Applications, Vol. B. 1985;283-297 Reidel Publishing Company, Dordrecht.
25. Rousseeuw P.J., Leroy A.M. Robust regression and outlier detection. 1987;Wiley, New York.
26. Rousseeuw P.J., van Zomeren B.C. Unmasking multivariate outliers and leverage points. Journal of the American Statistical Association. 85(411):1990;633-639.
27. Simpson D.G., Ruppert D., Carroll R.J. On one-step GM estimates and stability of inferences in linear regression. Journal of the American Statistical Association. 87(418):1992;439-450.
28. Spanos A. Statistical Foundations of Econometric Modelling. 1986;Cambridge University Press, Cambridge.
29. Spanos A. On theory testing in econometrics: the case of the efficient market hypothesis. 1993;Mimeo, University of Cyprus, Cyprus.
30. Theil H. Principles of Econometrics. 1971;Wiley, New York.
31. Wagenvoort, R., Waldmann, R., 1998. On B-robust instrumental variable estimation of the linear model. IGIER Working Paper No. 131, IGIER Università Bocconi, Milan, Italy.
32. White H. Instrumental variables regression with independent observations. Econometrica. 50(2):1982;483-499.
33. Zellner A. An efficient method of estimating seemingly unrelated regressions and tests of aggregation bias. Journal of the American Statistical Association. 57:1962;348-368.