Publication Date: August 2009
This paper is concerned with robust estimation under moment restrictions. A moment restriction model is semiparametric and distribution-free, therefore it imposes mild assumptions. Yet it is reasonable to expect that the probability law of observations may have some deviations from the ideal distribution being modeled, due to various factors such as measurement errors. It is then sensible to seek an estimation procedure that are robust against slight perturbation in the probability measure that generates observations. This paper considers local deviations within shrinking topological neighborhoods to develop its large sample theory, so that both bias and variance matter asymptotically. The main result shows that there exists a computationally convenient estimator that achieves optimal minimax robust properties. It is semiparametrically eﬀicient when the model assumption holds, and at the same time it enjoys desirable robust properties when it does not.
Asymptotic minimax theorem, Hellinger distance, Semiparametric eﬀiciency
JEL Classification Codes: C10
See CFP: 1382