Momentary lapses: Moment expansions and the robustness of minimum distance estimation

Roger Koenker, José A.F. Machado, Christopher L. Skeels, Alan H. Welsh

Research output: Contribution to journalArticle


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 Op(n−3/2) are employed to construct O(n−2) expansions for the variance of estimators constructed from preliminary least-squares and general M-estimators. In the former case, there is a rather curious robustifying effect due to estimation of the Eicker-White covariance matrix for error distributions with sufficiently large kurtosis.

Original languageEnglish (US)
Pages (from-to)172-197
Number of pages26
JournalEconometric Theory
Issue number1
StatePublished - Mar 1994


ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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