Econometric applications of high-breakdown robust regression techniques
AbstractA literature search shows that robust regression techniques are rarely used in applied econometrics. We present a technique based on Rousseeuw and Van Zomeren [Journal of the American Statistical Association, 85 (1990) 633â639] that removes many of the difficulties in applying such techniques to economic data. We demonstrate the value of these techniques by re-analyzing three OLS-based regressions from the literature.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 71 (2001)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2000. "Econometric applications of high-breakdown robust regression techniques," MPRA Paper 41529, University Library of Munich, Germany.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Rousseeuw, Peter J. & Wagner, Joachim, 1994. "Robust regression with a distributed intercept using least median of squares," Computational Statistics & Data Analysis, Elsevier, vol. 17(1), pages 65-76, January.
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