[Statlist] Research seminar in statistics December 12th 2014, GSEM, University of Geneva

[Eva Cantoni]

Organisers :
E. Cantoni - E. Ronchetti - S. Sperlich - M-P. Victoria-Feser

Friday December 12th, 2014
at 11h15 - Room M 5220, Uni Mail (40, bd du Pont-d'Arve)

Carlos de Porres
Université de Genève

TITLE: Robust moment selection in GMM : The IV case

ABSTRACT:
Inference with Generalized Method of Moments estimators (GMM) depends on 
the underlying properties of the moments we use. In this talk, we study 
classical moment selection criteria (MSC) that allow us to discriminate 
between Inconsistent and Consistent moment conditions. These procedures 
include MSC-AIC, MSC-BIC, MSC-HQIC, Downward and Upward Testing which 
are based on the corresponding classical M-estimation model selection 
criteria. We present the local robustness properties of consistent and 
inconsistent orthogonality conditions and show that most of the GMM 
estimators that exist in the literature are not locally robust. This 
lack of robustness is due to an unbounded influence function and can 
lead to misleading moment selection. Based on the conditions on local 
robustness we propose a general way to construct Robust Moment Selection 
Criteria (RMSC). We provide an explicit construction of this methodology 
in a linear instrumental variable setting. We compare MSC and RMSC 
through simulations in the linear IV context and in a simple application.



Visit the website: http://www.stat-center.unige.ch/ressem.html


-- 
Prof. Eva Cantoni
Research Center for Statistics and
      Geneva School of Economics and Management
University of Geneva, Bd du Pont d'Arve 40, CH-1211 Genève 4
http://stat-center.unige.ch/members2/profs/eva-cantoni/