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Asymptotic expansions to order<jats:italic>O<jats:sub>p<\/jats:sub><\/jats:italic>(<jats:italic>n<\/jats:italic><jats:sup>\u22123\/2<\/jats:sup>) are employed to construct<jats:italic>O<\/jats:italic>(<jats:italic>n<\/jats:italic><jats:sup>\u22122<\/jats:sup>) expansions for the variance of estimators constructed from preliminary least-squares and general<jats:italic>M<\/jats:italic>-estimators. In the former case, there is a rather curious robustifying effect due to estimation of the Eicker-White covariance matrix for error distributions with sufficiently large kurtosis.<\/jats:p>","DOI":"10.1017\/s0266466600008288","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:45:17Z","timestamp":1236699917000},"page":"172-197","source":"Crossref","is-referenced-by-count":18,"title":["Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation"],"prefix":"10.1017","volume":"10","author":[{"given":"Roger","family":"Koenker","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jos\u00e9 A.F.","family":"Machado","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Christopher L.","family":"Skeels","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Alan 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