On the robustness of two-stage estimators

The aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general two-stage M-estimator, and provide their interpretations. We illustrate our results in the case of the two-stage maximum likelihood estimator and the two-stage least squares estimator.

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Year of publication:	2012
Authors:	Zhelonkin, Mikhail ; Genton, Marc G. ; Ronchetti, Elvezio
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 4, p. 726-732
Publisher:	Elsevier
Subject:	Asymptotic variance \| Bounded influence function \| M-estimator \| Change-of-variance function \| Two-stage least squares

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571794