This paper proposes a robust estimator for a general class of linear latent variable models (GLLVM) (Moustaki and Knott 2000, Bartholomew and Knott 1999). It is based on a weighted score function that is simple to implement numerically and is made consistent using the basic idea of indirect...

Indirect inference (Smith, 1993; Gouriéroux, Monfort and Renault, 1993) is a simulation-based estimation method dealing with econometric models whose likelihood function is intractable. Typical examples are diffusion models described by stochastic differential equations. A potential problem that...

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these...

With income distributions it is common to encounter the problem of missing data. When a parametric model is fitted to the data, the problem can be overcome by specifying the marginal distribution of the observed data. With classical methods of estimation such as the maximum likelihood (ML) an...

Inequality measures are often used to summarise information about empirical income distributions. However , the resulting picture of the distribution and of the changes in the distribution can be severely distorted if the data are contaminated. The nature of this distortion will in general...

Inequality measures are often used to summarise information about empirical income distributions. However , the resulting picture of the distribution and of the changes in the distribution can be severely distorted if the data are contaminated. The nature of this distortion will in general...

With income distributions it is common to encounter the problem of missing data. When a parametric model is fitted to the data, the problem can be overcome by specifying the marginal distribution of the observed data. With classical methods of estimation such as the maximum likelihood (ML) an...

We show how a collection of results in the literature on the empirical estimation of welfare indicators from sample data can be unified. We also demonstrate how some of these ideas can be extended to empirically important cases where the data have been trimmed or censored.

Statistical problems in modelling personal income distributions include estimation procedures, testing and model choice. Typically, the parameters of a given model are estimated by classical procedures such as maximum likelihood and least squares estimators. Unfortunately, the classical methods...