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Econometric applications of high-breakdown robust regression techniques

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  • Zaman, Asad
  • Rousseeuw, Peter J.
  • Orhan, Mehmet

Abstract

A 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 Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41529.

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Date of creation: Mar 2000
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Handle: RePEc:pra:mprapa:41529

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Keywords: High breakdown estimates; Masking; Robust regression; Outlier; Leverage point; Least trimmed squares (LTS); Minimum covariance determinant (MCD);

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  1. Nonneman, Walter & Vanhoudt, Patrick, 1996. "A Further Augmentation of the Solow Model and the Empirics of Economic Growth for OECD Countries," The Quarterly Journal of Economics, MIT Press, vol. 111(3), pages 943-53, August.
  2. Benderly, Jason & Zwick, Burton, 1985. "Inflation, Real Balances, Output, and Real Stock Returns [Stock Returns, Real Activity, Inflation, and Money]," American Economic Review, American Economic Association, vol. 75(5), pages 1115-23, December.
  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.
  4. J. Bradford De Long & Lawrence H. Summers, 1990. "Equipment Investment and Economic Growth," NBER Working Papers 3515, National Bureau of Economic Research, Inc.
  5. Krasker, William S. & Kuh, Edwin & Welsch, Roy E., 1983. "Estimation for dirty data and flawed models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 11, pages 651-698 Elsevier.
  6. Mankiw, N Gregory & Romer, David & Weil, David N, 1992. "A Contribution to the Empirics of Economic Growth," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 407-37, May.
  7. Rousseeuw, Peter J. & Wagner, Joachim, 1994. "Robust regression with a distributed intercept using least median of squares," Computational Statistics & Data Analysis, Elsevier, vol. 17(1), pages 65-76, January.
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