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Case deletion diagnostics for GMM estimation
- Source :
- Computational Statistics & Data Analysis. 95:176-191
- Publication Year :
- 2016
- Publisher :
- Elsevier BV, 2016.
-
Abstract
- Generalized method of moment (GMM) is an important estimation method for econometric models. However, it is highly sensitive to the outliers and influential observations. This paper studies the detection of influential observations using GMM estimation and establishes some useful diagnostic tools, such as residual and leverage measures. The case deletion technique is employed to derive diagnostic measures. Under linear moment conditions, an exact deletion formula is derived, and under nonlinear moment condition an approximate formula is suggested. The results are applied to efficient instrumental variable estimation and dynamic panel data models. In addition, generalized residuals and leverage measure for GMM estimator are defined and discussed. Two real data sets are used for illustration and a simulation study is conducted to confirm the usefulness of the proposed methodology.
- Subjects :
- Statistics and Probability
Applied Mathematics
05 social sciences
Instrumental variable
Estimator
Residual
01 natural sciences
010104 statistics & probability
Computational Mathematics
Econometric model
Nonlinear system
Computational Theory and Mathematics
0502 economics and business
Outlier
Econometrics
Applied mathematics
Leverage (statistics)
0101 mathematics
050205 econometrics
Mathematics
Panel data
Subjects
Details
- ISSN :
- 01679473
- Volume :
- 95
- Database :
- OpenAIRE
- Journal :
- Computational Statistics & Data Analysis
- Accession number :
- edsair.doi...........a4f591d91c35cbc122eace93ddbdf33a