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Nonparametric Estimation of Triangular Simultaneous Equations Models

✍ Scribed by Whitney K. Newey; James L. Powell; Francis Vella


Book ID
108555913
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
306 KB
Volume
67
Category
Article
ISSN
0012-9682

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Robust estimation in simultaneous equati
✍ Ricardo A. Maronna; VΓ­ctor J. Yohai πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 516 KB

In this paper we review existing work on robust estimation for simultaneous equations models. Then we sketch three strategies for obtaining estimators with a high breakdown point and a controllable efficiency: (a) robustifying three-stage least squares, (b) robustifying the full information maximum