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The S-estimator of multivariate location and scatter in Stata

Author

Listed:
  • Vincenzo Verardi

    () (University of Namur)

  • Alice McCathie

    () (Universite Libre de Bruxelles (ULB))

Abstract

In this article, we introduce a new Stata command, smultiv, that implements the S-estimator of multivariate location and scatter. Using simulated data, we show that smultiv outperforms mcd, an alternative robust estimator. Finally, we use smultiv to perform robust principal component analysis and least squares regression on a real dataset. Copyright 2012 by StataCorp LP.

Suggested Citation

  • Vincenzo Verardi & Alice McCathie, 2012. "The S-estimator of multivariate location and scatter in Stata," Stata Journal, StataCorp LP, vol. 12(2), pages 299-307, June.
  • Handle: RePEc:tsj:stataj:v:12:y:2012:i:2:p:299-307 Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj12-2/st0229/
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    References listed on IDEAS

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    1. Joel Huber and Kenneth Train., 2000. "On the Similarity of Classical and Bayesian Estimates of Individual Mean Partworths," Economics Working Papers E00-289, University of California at Berkeley.
    2. Greene, William H. & Hensher, David A., 2003. "A latent class model for discrete choice analysis: contrasts with mixed logit," Transportation Research Part B: Methodological, Elsevier, vol. 37(8), pages 681-698, September.
    3. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521766555, December.
    4. Arne Risa Hole, 2007. "Fitting mixed logit models by using maximum simulated likelihood," Stata Journal, StataCorp LP, vol. 7(3), pages 388-401, September.
    5. Daniel McFadden & Kenneth Train, 2000. "Mixed MNL models for discrete response," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 447-470.
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    Cited by:

    1. Joachim Wagner & Yama Temouri, 2013. "Do outliers and unobserved heterogeneity explain the exporter productivity premium? Evidence from France, Germany and the United Kingdom," Economics Bulletin, AccessEcon, vol. 33(3), pages 1931-1940.
    2. Wagner Joachim, 2013. "The Great Export Recovery in German Manufacturing Industries, 2009/2010," Review of Economics, De Gruyter, vol. 64(3), pages 325-340, December.
    3. Rodolphe Desbordes & Vincenzo Verardi, 2012. "A robust instrumental-variables estimator," Stata Journal, StataCorp LP, vol. 12(2), pages 169-181, June.
    4. Wagner Joachim, 2014. "A Note on the Granular Nature of Imports in German Manufacturing Industries," Review of Economics, De Gruyter, vol. 65(3), pages 241-252, December.
    5. Wagner, Joachim, 2013. "The granular nature of the great export collapse in German manufacturing industries, 2008/2009," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 7, pages 1-21.

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