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The S-estimator of multivariate location and scatter in Stata

Author

Listed:
  • 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.

Suggested Citation

  • Vincenzo Verardi & Alice McCathie, 2012. "The S-estimator of multivariate location and scatter in Stata," Stata Journal, StataCorp LP, vol. 12(2), pages 299-307, June.
    • Handle: RePEc:tsj:stataj:v:12:y:2012:i:2:p:299-307
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    References listed on IDEAS

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    1. Athanassios N. Avramidis & James R. Wilson, 1994. "A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments," INFORMS Journal on Computing, INFORMS, vol. 6(4), pages 342-355, November.
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    Cited by:

    1. Joachim Wagner & Yama Temouri, 2021. "Do Outliers and Unobserved Heterogeneity Explain the Exporter Productivity Premium? Evidence from France, Germany and the United Kingdom," World Scientific Book Chapters, in: Joachim Wagner (ed.), MICROECONOMETRIC STUDIES OF FIRMS’ IMPORTS AND EXPORTS Advanced Methods of Analysis and Evidence from German Enterprises, chapter 13, pages 223-236, World Scientific Publishing Co. Pte. Ltd..
    2. Wagner Joachim, 2013. "The Great Export Recovery in German Manufacturing Industries, 2009/2010," Review of Economics, De Gruyter, vol. 64(3), pages 325-340, December.
    3. Gustavo Canavire-Bacarreza & Luis Castro Peñarrieta & Darwin Ugarte Ontiveros, 2021. "Outliers in Semi-Parametric Estimation of Treatment Effects," Econometrics, MDPI, vol. 9(2), pages 1-32, April.
    4. Rodolphe Desbordes & Vincenzo Verardi, 2012. "A robust instrumental-variables estimator," Stata Journal, StataCorp LP, vol. 12(2), pages 169-181, June.
    5. 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 (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 7, pages 1-21.
    6. Darwin Ugarte Ontiveros & Ruth Marcela Aparicio de Guzmán, 2020. "Técnicas Robustas y No Robustas para Identificar Outliers en el Análisis de Regresión," Investigación & Desarrollo 0320, Universidad Privada Boliviana, revised Nov 2020.
    7. Yang, Siluo & Zheng, Mengxue & Yu, Yonghao & Wolfram, Dietmar, 2021. "Are Altmetric.com scores effective for research impact evaluation in the social sciences and humanities?," Journal of Informetrics, Elsevier, vol. 15(1).
    8. Wagner Joachim, 2014. "A Note on the Granular Nature of Imports in German Manufacturing Industries," Review of Economics, De Gruyter, vol. 65(3), pages 241-252, December.

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