Robustness , Infinitesimal Neighborhoods , and Moment Restrictions

  title={Robustness , Infinitesimal Neighborhoods , and Moment Restrictions},
  author={Yuichi Kitamura and Taisuke Otsu and Kirill S. Evdokimov},
This paper explores robust estimation of parameters identified by a set of moment restrictions. Suppose the econometrician observes data generated from a perturbed version of the probability distribution that corresponds to the true parameter value. Such perturbation can be regarded as a consequence of data errors, misspecification and other factors, following the literature of robust statistical estimation. There are two aspects in assessing robustness properties of an estimator. One is about… CONTINUE READING