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- Title
USING GAUSSIAN ESTIMATORS ROBUSTLY.
- Authors
Robinson, P.M.
- Abstract
The article describes the uses of Gaussian estimators. The properties of Gaussian estimation and the asymptotic covariance matrix of such estimators are discussed. It details the estimation of the asymptotic covariance matrix. The article suggests that estimators of the minimum distance type that retain the consistency properties of Gaussian estimators, are equally asymptotically first-order efficient to Gaussian estimators under Gaussianity, and are more efficient in the absence of Gaussianity.
- Subjects
GAUSSIAN processes; ESTIMATION theory; MATHEMATICAL statistics; MATHEMATICAL models of economics; MATHEMATICAL economics; ANALYSIS of covariance; ECONOMIC statistics; ECONOMETRICS; MATHEMATICAL models
- Publication
Oxford Bulletin of Economics & Statistics, 1988, Vol 50, Issue 1, p97
- ISSN
0305-9049
- Publication type
Article
- DOI
10.1111/j.1468-0084.1988.mp50001008.x