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The S-estimator of multivariate location and scatter in Stata

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Author Info

  • Vincenzo Verardi

    ()
    (University of Namur)

  • Alice McCathie

    ()
    (Universite Libre de Bruxelles (ULB))

Abstract

In this article, we introduce a new Stata command, smultiv, that implements the S-estimator of multivariate location and scatter. Using simulated data, we show that smultiv outperforms mcd, an alternative robust estimator. Finally, we use smultiv to perform robust principal component analysis and least squares regression on a real dataset. Copyright 2012 by StataCorp LP.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 12 (2012)
Issue (Month): 2 (June)
Pages: 299–307

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Handle: RePEc:tsj:stataj:v:12:y:2012:i:2:p:299-307

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Related research

Keywords: smultiv; S-estimator; robustness; outlier; robust principal component analysis; robust regression;

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Cited by:
  1. Joachim Wagner & Yama Temouri, 2013. "Do outliers and unobserved heterogeneity explain the exporter productivity premium? Evidence from France, Germany and the United Kingdom," Economics Bulletin, AccessEcon, vol. 33(3), pages 1931-1940.
  2. Joachim Wagner, 2012. "The Great Export Recovery in German Manufacturing Industries, 2009/2010," Working Paper Series in Economics 253, University of Lüneburg, Institute of Economics.
  3. Wagner, Joachim, 2013. "The granular nature of the great export collapse in German manufacturing industries, 2008/2009," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 7(5), pages 1-21.

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