Econometric applications of high-breakdown robust regression techniques

A literature search shows that robust regression techniques are rarely used in applied econometrics. We present a technique based on Rousseeuw and Van Zomeren [Journal of the American Statistical Association, 85 (1990) 633–639] that removes many of the difficulties in applying such techniques to economic data. We demonstrate the value of these techniques by re-analyzing three OLS-based regressions from the literature.

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Year of publication:	2000-03
Authors:	Zaman, Asad ; Rousseeuw, Peter J. ; Orhan, Mehmet
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	High breakdown estimates \| Masking \| Robust regression \| Outlier \| Leverage point \| Least trimmed squares (LTS) \| Minimum covariance determinant (MCD)

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C13 - Estimation ; C01 - Econometrics
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011258670