Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models

This file is part of IDEAS, which uses RePEc data

Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models

Author Info

Pavel Cizek (Humboldt University ; CERGE-EI)

Additional information is available for the following registered author(s):

Pavel Cizek

Abstract

Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very sensitive to misspecification and data errors. This sensitivity is addressed by the theory of robust statistics which builds upon parametric specification, but provides methodology for designing misspecification-proof estimators by allowing for various "departures" of subsets of the data. However, this concept, developed in statistics, has so far been applied almost exclusively to linear regression models. Therefore, I adapt some robust methods, such as least trimmed squares, to nonlinear and limited- dependent-variable models. This paper presents the adapted robust estimators and proofs of their consistency. I also discuss several important examples of regression models which the proposed estimators can be applied to as well as suitable computational methods.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0203003.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 83 pages
Date of creation: 02 Mar 2002
Date of revision:
Handle: RePEc:wpa:wuwpem:0203003

Note: Type of Document - Acrobat PDF; pages: 83
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Other versions of this item:

Paper
- Pavel Cizek, 2001. "Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models," CERGE-EI Working Papers wp189, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
- P. Cizek, . "Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models," Sonderforschungsbereich 373 2001-100, Humboldt Universitaet Berlin.

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models

This paper has been announced in the following NEP Reports:

NEP-ALL-2002-06-13 (All new papers)
NEP-ECM-2002-06-13 (Econometrics)

References listed on IDEAS
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.:

Arabmazar, Abbas & Schmidt, Peter, 1981. "Further evidence on the robustness of the Tobit estimator to heteroskedasticity," Journal of Econometrics, Elsevier, vol. 17(2), pages 253-258, November. [Downloadable!] (restricted)
Amemiya, Takeshi, 1983. "Non-linear regression models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 6, pages 333-389 Elsevier. [Downloadable!] (restricted)
Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-60, November. [Downloadable!] (restricted)
Horowitz, Joel L., 1993. "Semiparametric estimation of a work-trip mode choice model," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 49-70, July. [Downloadable!] (restricted)
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)
D. van Dijk & T. Terasvirta & P.H. Franses, 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report 200, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Other versions:
- van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001. [Downloadable!]
- Dijk, D.J.C. van & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report EI 2000-23/A Revision_Dat, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Dick van Dijk & Timo Teräsvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models - A Survey Of Recent Developments," Econometric Reviews, Taylor and Francis Journals, vol. 21(1), pages 1-47. [Downloadable!] (restricted)
Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation, Yale University. [Downloadable!]
Other versions:
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
- Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin. [Downloadable!]
- Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier. [Downloadable!] (restricted)
Hurd, Michael, 1979. "Estimation in truncated samples when there is heteroscedasticity," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 247-258. [Downloadable!] (restricted)
Donald W.K. Andrews, 1986. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers," Cowles Foundation Discussion Papers 790, Cowles Foundation, Yale University. [Downloadable!]
Arabmazar, Abbas & Schmidt, Peter, 1982. "An Investigation of the Robustness of the Tobit Estimator to Non-Normality," Econometrica, Econometric Society, vol. 50(4), pages 1055-63, July. [Downloadable!] (restricted)
Pavel Cizek, 2001. "Robust Estimation with Discrete Explanatory Variables," CERGE-EI Working Papers wp183, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
Other versions:
- Pavel Cizek, 2002. "Robust Estimation with Discrete Explanatory Variables," Econometrics 0203001, EconWPA. [Downloadable!]

Full references

Cited by:
(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.)

Cizek, Pavel, 2005. "Trimmed likelihood-based estimation in binary regression models," Discussion Paper 108, Tilburg University, Center for Economic Research. [Downloadable!]

Statistics

Access and download statistics

Did you know? Over 80% of the top 1000 economists are registered on RePEc.

This page was last updated on 2009-12-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.