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On Multivariate Methods in Robust Econometrics

  • Jan Kalina
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    This work studies implicitly weighted robust statistical methods suitable for econometric problems. We study robust estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics. We describe a modification of linear regression resistant to heteroscedasticity and study its computational aspects. For a robust version of the instrumental variables estimator we propose an asymptotic test of heteroscedasticity. Further we describe robust statistical methods for dimension reduction and classification analysis. We propose the robust quadratic classification analysis based on a new minimum weighted covariance determinant (MWCD) estimator. In general the robust methods based on down-weighting less reliable observations are resistant to outlying values (outliers) and insensitive to the assumption of Gaussian normal distribution of the data. The methods are illustrated on econometric data examples.

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    Article provided by University of Economics, Prague in its journal Prague Economic Papers.

    Volume (Year): 2012 (2012)
    Issue (Month): 1 ()
    Pages: 69-82

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    Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:411:p:69-82
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    1. Jeffrey M. Wooldridge, 2001. "Applications of Generalized Method of Moments Estimation," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 87-100, Fall.
    2. Wagenvoort, Rien & Waldmann, Robert, 2002. "On B-robust instrumental variable estimation of the linear model with panel data," Journal of Econometrics, Elsevier, vol. 106(2), pages 297-324, February.
    3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    4. Marco Riani & Anthony C. Atkinson & Andrea Cerioli, 2009. "Finding an unknown number of multivariate outliers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 447-466.
    5. Garcia-Escudero, Luis Angel & Gordaliza, Alfonso, 2005. "Generalized Radius Processes for Elliptically Contoured Distributions," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1036-1045, September.
    6. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
    7. Cragg, John G, 1983. "More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form," Econometrica, Econometric Society, vol. 51(3), pages 751-63, May.
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