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On the use of robust regression in econometrics

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  • Baldauf, Markus
  • Santos Silva, J.M.C.

Abstract

A particular robust regression estimator has gained popularity among applied econometricians. We show that this estimator is inconsistent for the parameters of the conditional mean when the errors are skewed and heteroskedastic, and conclude that therefore its use cannot be generally recommended.

Suggested Citation

  • Baldauf, Markus & Santos Silva, J.M.C., 2012. "On the use of robust regression in econometrics," Economics Letters, Elsevier, vol. 114(1), pages 124-127.
    • Handle: RePEc:eee:ecolet:v:114:y:2012:i:1:p:124-127
    DOI: 10.1016/j.econlet.2011.09.031
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    More about this item

    Keywords

    Heteroskedasticity; Iteratively reweighted least squares; M-estimator; Mode regression; rreg; Skewness;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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