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Robust regression in Stata

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Author Info

  • Vincenzo Verardi

    ()
    (University of Namur (CRED))

  • Christophe Croux

    ()
    (K. U. Leuven, Faculty of Business and Economics)

Abstract

In regression analysis, the presence of outliers in the dataset can strongly distort the classical least-squares estimator and lead to unreliable results. To deal with this, several robust-to-outliers methods have been proposed in the statistical literature. In Stata, some of these methods are available through the rreg and qreg commands. Unfortunately, these methods resist only some specific types of outliers and turn out to be ineffective under alternative scenarios. In this article, we present more effective robust estimators that we implemented in Stata. We also present a graphical tool that recognizes the type of detected outliers.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 9 (2009)
Issue (Month): 3 (September)
Pages: 439-453

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Handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:439-453

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Related research

Keywords: mmregress; sregress; msregress; mregress; mcd; S-estimators; MM-estimators; outliers; robustness;

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