A0538
Title: Robust Pitman type estimators for moment condition models
Authors: Aida Toma - Bucharest University of Economic Studies (Romania) [presenting]
Amor Keziou - Universite de Reims (France)
Luiza Badin - Bucharest University of Economic Studies (Romania)
Silvia Dedu - Bucharest University of Economic Studies (Romania)
Abstract: Robust minimum empirical divergence estimators are presented for moment condition models, based on truncated orthogonality functions and dual forms of divergences. For moment condition models invariant with respect to additive or multiplicative transformations groups, these estimators are also equivariant. For models invariant with respect to additive groups, robust Pitman-type estimators are proposed. Some examples based on Monte Carlo simulations illustrate the performance of the estimation method.
