Econometric applications of high-breakdown robust regression techniques
AbstractA literature search shows that robust regression techniques are rarely used in applied econometrics. We present a technique based on Rousseeuw and Van Zomeren [Journal of the American Statistical Association, 85 (1990) 633–639] that removes many of the difficulties in applying such techniques to economic data. We demonstrate the value of these techniques by re-analyzing three OLS-based regressions from the literature.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41529.
Date of creation: Mar 2000
Date of revision:
High breakdown estimates; Masking; Robust regression; Outlier; Leverage point; Least trimmed squares (LTS); Minimum covariance determinant (MCD);
Other versions of this item:
- 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.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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