Robust inference with GMM estimators

@inproceedings{Ronchetti2000RobustIW,
  title={Robust inference with GMM estimators},
  author={Elvezio Ronchetti and Fabio Trojani},
  year={2000}
}
The local robustness properties of generalized method of moments (GMM) estimators and of a broad class of GMM based tests are investigated in a uni"ed framework. GMM statistics are shown to have bounded in#uence if and only if the function de"ning the orthogonality restrictions imposed on the underlying model is bounded. Since in many applications this… CONTINUE READING