MM_REGRESS: Stata module to compute robust regression estimates

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MM_REGRESS: Stata module to compute robust regression estimates

Author Info

Vincenzo Verardi () (University of Namur)
Christophe Croux () (K.U.Leuven, Faculty of Business and Economics)

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Vincenzo Verardi

Abstract

In regression analysis, the presence of outliers in the data set 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 commands rreg and qreg. Unfortunately, these methods only resist to some specific types of outliers and turn out to be ineffective under alternative scenarios. In this package we present more effective robust estimators that we implemented in Stata. We also present a graphical tool that allows recognizing the type of detected outliers.

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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457057.

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Programming language: Stata
Requires: Stata version 10.0
Date of creation: 05 Jun 2009
Date of revision:
Handle: RePEc:boc:bocode:s457057

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This page was last updated on 2009-11-14.

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