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Robust regression in Stata

Author

Listed:
  • Vincenzo Verardi

    (University of Namur (CRED))

  • Christophe Croux

    (K. U. Leuven, Faculty of Business and Economics)

Abstract

In regression analysis, the presence of outliers in the dataset can strongly distort the classical least-squares estimator and lead to unreliable results. To deal with this, several robust-to-outliers methods have been proposed in the statistical literature. In Stata, some of these methods are available through the rreg and qreg commands. Unfortunately, these methods resist only some specific types of outliers and turn out to be ineffective under alternative scenarios. In this article, we present more effective robust estimators that we implemented in Stata. We also present a graphical tool that recognizes the type of detected outliers.

Suggested Citation

  • Vincenzo Verardi & Christophe Croux, 2009. "Robust regression in Stata," Stata Journal, StataCorp LLC, vol. 9(3), pages 439-453, September.
    • Handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:439-453
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    References listed on IDEAS

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    1. Maria Caterina Bramati & Christophe Croux, 2007. "Robust estimators for the fixed effects panel data model," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 521-540, November.
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