Robust methods in econometrics
这篇综述面向计量经济学家,指出常用技术对未验证假设高度敏感,并介绍了稳健估计与推断的最新进展及未来方向。
This survey of recent developments in robust estimation and inference is directed primarily toward econometricians. It is argued that many of the techniques in common use in econometrics are highly sensitive to unverified hypotheses. Recent progress in designing alternative robust procedures is described and some prospects for future developments are discussed.