Robust Estimation with Discrete Explanatory Variables
The least squares estimator is probably the most frequently used estimation method in regression analysis. Unfortunately, it is also quite sensitive to data contamination and model misspecification. Although there are several robust estimators designed for parametric regression models that can be used in place of least squares, these robust estimators cannot be easily applied to models containing binary and categorical explanatory variables. Therefore, I design a robust estimator that can be used for any linear regression model no matter what kind of explanatory variables the model contains. Additionally, I propose an adaptive procedure that maximizes the efficiency of the proposed estimator for a given data set while preserving its robustness.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2001.
"Econometric applications of high-breakdown robust regression techniques,"
Elsevier, vol. 71(1), pages 1-8, April.
- Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2000. "Econometric applications of high-breakdown robust regression techniques," MPRA Paper 41529, University Library of Munich, Germany.
- White, Halbert, 1980. "Nonlinear Regression on Cross-Section Data," Econometrica, Econometric Society, vol. 48(3), pages 721-746, April.
- Franco Peracchi, 1988. "Robust M-Estimators," UCLA Economics Working Papers 477, UCLA Department of Economics. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0203001. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.