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This paper explores the robustness of minimum distance (GMM) estimators focusing particularly on the effect of intermediate covariance matrix estimation on final estimator performance. Asymptotic expansions to order <italic>O</italic>(<italic>n</italic><sup>−3/2</sup>) are employed to construct <italic>O</italic>(<italic>n</italic><sup>−2</sup>) expansions for the variance of...
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Quantile regression methods are suggested for a class of ARCH models. Because conditional quantiles are readily interpretable in semiparametric ARCH models and are inherendy easier to estimate robustly than population moments, they offer some advantages over more familiar methods based on...
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