IDEAS home Printed from https://ideas.repec.org/a/taf/japsta/v49y2022i7p1663-1676.html
   My bibliography  Save this article

A robust estimation method for the linear regression model parameters with correlated error terms and outliers

Author

Listed:
  • Sajjad Piradl
  • Ali Shadrokh
  • Masoud Yarmohammadi

Abstract

Independence of error terms in a linear regression model, often not established. So a linear regression model with correlated error terms appears in many applications. According to the earlier studies, this kind of error terms, basically can affect the robustness of the linear regression model analysis. It is also shown that the robustness of the parameters estimators of a linear regression model can stay using the M-estimator. But considering that, it acquires this feature as the result of establishment of its efficiency. Whereas, it has been shown that the minimum Matusita distance estimators, has both features robustness and efficiency at the same time. On the other hand, because the Cochrane and Orcutt adjusted least squares estimators are not affected by the dependence of the error terms, so they are efficient estimators. Here we are using of a non-parametric kernel density estimation method, to give a new method of obtaining the minimum Matusita distance estimators for the linear regression model with correlated error terms in the presence of outliers. Also, simulation and real data study both are done for the introduced estimation method. In each case, the proposed method represents lower biases and mean squared errors than the other two methods.

Suggested Citation

  • Sajjad Piradl & Ali Shadrokh & Masoud Yarmohammadi, 2022. "A robust estimation method for the linear regression model parameters with correlated error terms and outliers," Journal of Applied Statistics, Taylor & Francis Journals, vol. 49(7), pages 1663-1676, May.
  • Handle: RePEc:taf:japsta:v:49:y:2022:i:7:p:1663-1676
    DOI: 10.1080/02664763.2021.1881454
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/02664763.2021.1881454
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/02664763.2021.1881454?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:49:y:2022:i:7:p:1663-1676. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.