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On the use of robust regression in econometrics

  • Baldauf, Markus
  • Santos Silva, J.M.C.

A particular robust regression estimator has gained popularity among applied econometricians. We show that this estimator is inconsistent for the parameters of the conditional mean when the errors are skewed and heteroskedastic, and conclude that therefore its use cannot be generally recommended.

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 114 (2012)
Issue (Month): 1 ()
Pages: 124-127

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Handle: RePEc:eee:ecolet:v:114:y:2012:i:1:p:124-127
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