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Gini-PLS Regressions

Author

Listed:
  • Stephane Mussard

    (LAMETA, Universite Montpellier I; GREDI, Universite de Sherbrooke; Ceps, Luxembourg)

  • Fattouma Souissi-Benrejab

    (LAMETA, Universite Montpellier I)

Abstract

Data contamination and excessive correlations between regressors (multicollinear- ity) constitute a standard and major problem in econometrics. Two techniques en- able solving these problems, in separate ways: the Gini regression for the former, and the PLS (partial least squares) regression for the latter. Gini-PLS regressions are proposed in order to treat extreme values and multicollinearity simultaneously.

Suggested Citation

  • Stephane Mussard & Fattouma Souissi-Benrejab, 2015. "Gini-PLS Regressions," Cahiers de recherche 17-02, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, revised Jan 2017.
    • Handle: RePEc:shr:wpaper:17-02
    as

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    File URL: http://gredi.recherche.usherbrooke.ca/wpapers/GREDI-1702.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Gini covariance; Gini Regression; Gini-PLS Regressions; PLS Regression.;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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