On Multivariate Methods in Robust Econometrics
AbstractThis work studies implicitly weighted robust statistical methods suitable for econometric problems. We study robust estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics. We describe a modification of linear regression resistant to heteroscedasticity and study its computational aspects. For a robust version of the instrumental variables estimator we propose an asymptotic test of heteroscedasticity. Further we describe robust statistical methods for dimension reduction and classification analysis. We propose the robust quadratic classification analysis based on a new minimum weighted covariance determinant (MWCD) estimator. In general the robust methods based on down-weighting less reliable observations are resistant to outlying values (outliers) and insensitive to the assumption of Gaussian normal distribution of the data. The methods are illustrated on econometric data examples.
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Bibliographic InfoArticle provided by University of Economics, Prague in its journal Prague Economic Papers.
Volume (Year): 2012 (2012)
Issue (Month): 1 ()
Postal: Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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- repec:ner:leuven:urn:hdl:123456789/201358 is not listed on IDEAS
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