A simplified approach to M-estimation with application to two-stage estimators
A simplified approach to M-estimation with application to two-stage estimators
复制标题
应用于两阶段估计器的 M 估计简化方法
DOI：
10.1016/0304-4076(87)90020-0
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发表时间：
1987
影响因子：
6.3
通讯作者：
Gregory M. Duncan
中科院分区：
文献类型：
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作者：
Gregory M. Duncan
本文给出了M-估计理论的一个简单形式。有人认为，该理论是立即适用于几乎所有的估计计划所采用的计量经济学家。它进一步认为，该理论的巨大忽视的好处是，它提供了几乎自动的渐近结果，例如，概率极限和渐近协方差。因此，一个人不需要是一个理论计量经济学家，就可以发明和使用专门定制的估计器。为了说明它的使用理论适用于各种理论和应用问题。特别注意两阶段估计。
This paper presents a simple version of the theory ofM-estimation. It is argued that the theory is immediately applicable to almost all estimation schemes employed by econometricians. It is further argued that the great overlooked benefit of the theory is that is provides almost automatic asymptotic results, e.g., probability limits and asymptotic covariances. Thus one need not be a theoretical econometrician to invent and use specially tailored estimators. To illustrate its use the theory is applied to a variety of theoretical and applied problems. Particular attention is paid to two-stage estimators.