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General Trimmed Estimation: Robust Approach to Nonlinear and Limited Dependent Variable Models (Replaced by DP 2007-65)

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Author Info
Cizek, P. (Tilburg University, Center for Economic Research)

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Abstract

High breakdown-point regression estimators protect against large errors and data con- tamination. Motivated by some { the least trimmed squares and maximum trimmed like- lihood estimators { we propose a general trimmed estimator, which uni-es and extends many existing robust procedures. We derive here the consistency and asymptotic distri- bution of the proposed general trimmed estimator under mild --mixing conditions and demonstrate its applicability in nonlinear regression, time series, and limited dependent variable models.

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Publisher Info
Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2007-1.

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Date of creation: 2007
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Handle: RePEc:dgr:kubcen:20071

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-60, November. [Downloadable!] (restricted)
  2. Willems, Gert & Van Aelst, Stefan, 2005. "Fast and robust bootstrap for LTS," Computational Statistics & Data Analysis, Elsevier, vol. 48(4), pages 703-715, April. [Downloadable!] (restricted)
  3. Knez, Peter J & Ready, Mark J, 1997. " On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions," Journal of Finance, American Finance Association, vol. 52(4), pages 1355-82, September. [Downloadable!] (restricted)
  4. Donald Andrews, 1993. "An introduction to econometric applications of empirical process theory for dependent random variables," Econometric Reviews, Taylor and Francis Journals, vol. 12(2), pages 183-216. [Downloadable!] (restricted)
  5. repec:cup:etheor:v:8:y:1992:i:2:p:241-57 is not listed on IDEAS
  6. Gerfin, Michael, 1996. "Parametric and Semi-parametric Estimation of the Binary Response Model of Labor Market Participation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 321-39, May-June. [Downloadable!] (restricted)
    Other versions:
  7. Shinichi Sakata & Halbert White, 1998. "High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility," Econometrica, Econometric Society, vol. 66(3), pages 529-568, May.
  8. Kelly, Morgan, 1997. "Do Noise Traders Influence Stock Prices?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 351-63, August.
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  9. Zinde-Walsh, Victoria, 2002. "Asymptotic Theory For Some High Breakdown Point Estimators," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1172-1196, October. [Downloadable!]
  10. Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2001. "Econometric applications of high-breakdown robust regression techniques," Economics Letters, Elsevier, vol. 71(1), pages 1-8, April. [Downloadable!] (restricted)
  11. Hawkins, Douglas M. & Olive, David, 1999. "Applications and algorithms for least trimmed sum of absolute deviations regression," Computational Statistics & Data Analysis, Elsevier, vol. 32(2), pages 119-134, December. [Downloadable!] (restricted)
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  14. Pavel Cizek, 2002. "Robust Estimation with Discrete Explanatory Variables," Econometrics 0203001, EconWPA. [Downloadable!]
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  15. Marc G. Genton & André Lucas, 2003. "Comprehensive definitions of breakdown points for independent and dependent observations," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 81-94. [Downloadable!] (restricted)
    Other versions:
  16. Ichimura, H., 1991. "Semiparametric Least Squares (sls) and Weighted SLS Estimation of Single- Index Models," Papers 264, Minnesota - Center for Economic Research.
  17. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Cizek, P., 2007. "General Trimmed Estimation: Robust Approach to Nonlinear and Limited Dependent Variable Models (Replaces DP 2007-1)," Discussion Paper 2007-65, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Cizek, P., 2007. "Robust and Efficient Adaptive Estimation of Binary-Choice Regression Models," Discussion Paper 2007-12, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
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