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REDI: RATS module to estimate a robust regression

  • Eric Blankmeyer


    (Texas State University)

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    REDI computes a robust linear regression based on Rousseeuw's REsistant DIagnostic described in P. J. Rousseeuw and A. M. Leroy, Robust Regression and Outlier Detection, Wiley, 1987, pp. 238-245. Like other "high-breakdown" estimators (including least median of squares and least trimmed squares), REDI detects and downweights outliers and leverage points which may distort the regression estimate. REDI is computed by a resampling scheme. The user chooses the number of subsamples by setting the option ITERATIONS. Its default value, 3000 subsamples, should be adequate for most applications. The user should consult the Rousseeuw-Leroy book for additional details.

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    Software component provided by Boston College Department of Economics in its series Statistical Software Components with number R0A0902.

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    Programming language: RATS
    Date of creation: 09 Oct 2000
    Date of revision:
    Handle: RePEc:boc:bocode:r0a0902
    Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
    Phone: 617-552-3670
    Fax: +1-617-552-2308
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