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Robustness for dummies

Author

Listed:
  • Vincenzo Verardi

    (University of Namur, Belgium)

  • Marjorie Gassner

    (Université libre de Bruxelles, Belgium)

  • Darwin Ugarte

    (University of Namur, Belgium)

Abstract

In the robust statistics literature, a wide variety of models has been developed to cope with outliers in a rather large number of scenarios. Nevertheless, a recurrent problem for the empirical implementation of these estimators is that optimization algorithms generally do not perform well when dummy variables are present. What we propose in this paper is a simple solution to this involving the replacement of the subsampling step of the maximization procedures by a projection-based method. This allows us to propose robust estimators involving categorical variables, be they explanatory or dependent. Some Monte Carlo simulations are presented to illustrate the good behavior of the method.

Suggested Citation

  • Vincenzo Verardi & Marjorie Gassner & Darwin Ugarte, 2012. "Robustness for dummies," United Kingdom Stata Users' Group Meetings 2012 09, Stata Users Group.
  • Handle: RePEc:boc:usug12:09
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    File URL: http://repec.org/usug2012/UK12_verardi_gassner_ugarte.pdf
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    References listed on IDEAS

    as
    1. Rousseeuw, Peter J. & Wagner, Joachim, 1994. "Robust regression with a distributed intercept using least median of squares," Computational Statistics & Data Analysis, Elsevier, vol. 17(1), pages 65-76, January.
    2. Croux, Christophe & Haesbroeck, Gentiane, 2003. "Implementing the Bianco and Yohai estimator for logistic regression," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 273-295, October.
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    Cited by:

    1. Darwin Ugarte Ontiveros & Gustavo Canavire-Bacarreza & Luis Castro Peñarrieta, 2017. "Outliers in semi-parametric Estimation of Treatment Effects," Documentos de Trabajo CIEF 015810, Universidad EAFIT.
    2. Darwin Ugarte Ontiveros, 2016. "The Cyclicality Of Fiscal Policy In Bolivia," Volúmenes de los Cuadernos de Investigacion Economica Boliviana publicados por el Ministerio de Economía y Finanzas Públicas 2016-1, Ministerio de Economía y Finanzas Publicas de Bolivia.

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