arXiv 8 Dec 2023 · Econometrics
arXiv:2312.05342 · PDF · DOI · OpenAlex · Extracted main text
When fitting a particular Economic model on a sample of data, the model may turn out to be heavily misspecified for some observations. This can happen because of unmodelled idiosyncratic events, such as an abrupt but short-lived change in policy. These outliers can significantly alter estimates and inferences. A robust estimation is desirable to limit their influence. For skewed data, this induces another bias which can also invalidate the estimation and inferences. This paper proposes a robust GMM estimator with a simple bias correction that does not degrade robustness significantly. The paper provides finite-sample robustness bounds, and asymptotic uniform equivalence with an oracle that discards all outliers. Consistency and asymptotic normality ensue from that result. An application to the "Price-Puzzle," which finds inflation increases when monetary policy tightens, illustrates the concerns and the method. The proposed estimator finds the intuitive result: tighter monetary policy leads to a decline in inflation.
appendix boundary found by appendix_command · 50% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Huber, P. and E. Ronchetti (2011) Robust Statistics | 1.000 | 6 | 5 | 100% |
| 2 | Alesina, A. and E. Zhuravskaya (2011) Segregation and the Quality of Government in a Cross Section of Countries | 0.874 | 7 | 2 | 100% |
| 3 | Romer, D (1993) Openness and inflation: theory and evidence | 0.874 | 7 | 2 | 100% |
| 4 | Ronchetti, E. and F. Trojani (2001) Robust inference with GMM estimators | 0.843 | 3 | 3 | 100% |
| 5 | Young, A (2022) Consistency without inference: Instrumental variables in practical application | 0.843 | 3 | 3 | 100% |
| 6 | Coibion, O (2012) Are the effects of monetary policy shocks big or small? | 0.644 | 2 | 2 | 100% |
| 7 | Hamilton, L. C (1992) How robust is robust regression? | 0.644 | 2 | 2 | 100% |
| 8 | Laforgue, P., G. Staerman, and S. Clémencon (2021) Generalization bounds in the presence of outliers: a median-of-means study, in | 0.644 | 2 | 2 | 100% |
| 9 | Stock, J. H. and M. W. Watson (2001) Vector autoregressions | 0.644 | 2 | 2 | 100% |
| 10 | Terra, C. T (1998) Openness and inflation: a new assessment | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 57 scored citations.