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LMS: Stata module to perform least median squares regression fit

Author

Listed:
  • Michael Blasnik

Programming Language

Stata

Abstract

lms fits a least median squares regression of varlist on depvar. Least Median Squares is a robust fitting approach which attempts to minimize the median squared residual of the regression (equivalent to minimizing the median absolute residual). The algorithm here works by exactly fitting lines (or planes or hyperplanes) to random subsets of observations of size n=# parameters. Based on the number of parameters, 300 to 3000 of these random subsets are fit and the one with the minimum median residual is selected as best.

Suggested Citation

  • Michael Blasnik, 1998. "LMS: Stata module to perform least median squares regression fit," Statistical Software Components S358301, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s358301
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/l/lms.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lms.hlp
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