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Details for Robustifying generalized method of moments
NameRobustifying generalized method of moments
Description Jan Ámos Víšek The paper recalls ideas of robust statistics, of the Cragg improvement of the OLS-estimator under heteroscedasticity and explains GMM approach in the point estimation. The problem of heteroscedasticity is demonstrated on the numerical example and the correction of conclusions about the significance of explanatory variables by employment of White's estimator of the covariance matrix of the estimates of the regression coecients is presented and discussed. Then, a version of the least weighted squares resistent to heteroscedasticity is given. A proposal of the weighted GMM estimation, safeguarded against contamination of data concludes the paper.
Filesize264.61 kB
Filetypepdf (Mime Type: application/pdf)
Created On: 07/17/2008 13:20
Hits29 Hits
Last updated on 07/30/2008 09:21


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