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Robustness, infinitesimal neighborhoods, and moment restrictions

Kitamura, Yuichi, Otsu, Taisuke and Evdokimov, Kirill (2013) Robustness, infinitesimal neighborhoods, and moment restrictions. Econometrica, 81 (3). pp. 1185-1201. ISSN 0012-9682

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Identification Number: 10.3982/ECTA8617

Abstract

This paper is concerned with robust estimation under moment restrictions. A moment restriction model is semiparametric and distribution-free, therefore it imposes mild assumptions. Yet it is reasonable to expect that the probability law of observations may have some deviations from the ideal distribution being modeled, due to various factors such as measurement errors. It is then sensible to seek an estimation procedure that are robust against slight perturbation in the probability measure that generates observations. This paper considers local deviations within shrinking topological neighborhoods to develop its large sample theory, so that both bias and variance matter asymptotically. The main result shows that there exists a computationally convenient estimator that achieves optimal minimax robust properties. It is semiparametrically efficient when the model assumption holds, and at the same time it enjoys desirable robust properties when it does not

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/%28...
Additional Information: © 2013 Econometric Society
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 31 May 2013 09:19
Last Modified: 20 Jan 2020 04:51
Projects: SES-0241770, SES-0551271, SES-0851759 (Kitamura), SES-0720961 (Otsu)
Funders: National Science Foundation
URI: http://eprints.lse.ac.uk/id/eprint/46837

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