Robust estimation with exponentially tilted Hellinger distance

A-Tier
Journal: Journal of Econometrics
Year: 2021
Volume: 224
Issue: 2
Pages: 330-344

Authors (2)

Antoine, Bertille (Simon Fraser University) Dovonon, Prosper (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper is concerned with estimation of parameters defined by moment equalities. We introduce the exponentially tilted Hellinger distance (ETHD) estimator which is efficient under correct specification, and robust to both global and local misspecification. In the spirit of Schennach (2007), ETHD combines the Hellinger distance and the Kullback–Leibler information criterion. We show that it achieves optimal minimax robust properties under local deviations from the model and remains well-behaved under global misspecification.

Technical Details

RePEc Handle
repec:eee:econom:v:224:y:2021:i:2:p:330-344
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-24