Koenker, Roger; Machado, José A.F.; Skeels, Christopher L. - In: Econometric Theory 10 (1994) 01, pp. 172-197
This paper explores the robustness of minimum distance (GMM) estimators focusing particularly on the effect of intermediate covariance matrix estimation on final estimator performance. Asymptotic expansions to order <italic>O</italic>(<italic>n</italic><sup>−3/2</sup>) are employed to construct <italic>O</italic>(<italic>n</italic><sup>−2</sup>) expansions for the variance of...
