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Re: st: Outlier-robust GMM
From
Stas Kolenikov <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Outlier-robust GMM
Date
Fri, 24 Jan 2014 08:06:07 -0600
Zdravstvuyte Christopher,
Stata does support outlier-robust GMM in the sense that you can write
your own bounded influence moment program evaluator. Emulating -qreg-
exactly, however, will be difficult, as its moment function is
discontinuous, and the internal mechanics of GMM will break down
trying to take derivatives of a step function. You would want to
entertain something like Tukey's biweight or Cauchy functions that are
smooth everywhere.
-- Stas Kolenikov, PhD, PStat (ASA, SSC)
-- Principal Survey Scientist, Abt SRBI
-- Opinions stated in this email are mine only, and do not reflect the
position of my employer
-- http://stas.kolenikov.name
On Fri, Jan 24, 2014 at 1:32 AM, Christopher Hartwell
<[email protected]> wrote:
> Hi all,
>
> Does Stata support an outlier-robust version of GMM estimation, such as that
> proposed by Ronchetti and Trojani (2001)? I’ve been searching but can’t
> find it, and I don’t want to utilize a qreg regression due to limitations in
> current (user-written) codes in allowing for multiple endogenous variables.
>
> Reference:
> Ronchetti, E. and Trojani, F. 2001, Robust Inference with GMM Estimators,
> Journal of Econometrics, Vol. 101, 37-69.
>
>
> Christopher A. Hartwell, PhD
> Head of Economic Research
> Institute for Emerging Market Studies (IEMS)
> http://iems.skolkovo.ru/
> http://skolkovo.academia.edu/ChristopherHartwell
> http://institutionaleconomist.weebly.com/
> In Moscow: +7 916 777 1260 (m)
> In the US: +1 202-415-6030 (m)
> +1 773-724-2310 (t/f)
> Skype: chartwel
> [email protected]
>
>
>
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