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Econometric applications of high-breakdown robust regression techniques

Author

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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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Suggested Citation

  • 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.
    • Handle: RePEc:eee:ecolet:v:71:y:2001:i:1:p:1-8
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    5. Walter Nonneman & Patrick Vanhoudt, 1996. "A Further Augmentation of the Solow Model and the Empirics of Economic Growth for OECD Countries," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 111(3), pages 943-953.
    6. J. Bradford De Long & Lawrence H. Summers, 1991. "Equipment Investment and Economic Growth," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 106(2), pages 445-502.
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    More about this item

    JEL classification:

    • 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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