On the use of robust regression in econometrics

A particular robust regression estimator has gained popularity among applied econometricians. We show that this estimator is inconsistent for the parameters of the conditional mean when the errors are skewed and heteroskedastic, and conclude that therefore its use cannot be generally recommended.

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Year of publication:	2012
Authors:	Baldauf, Markus ; Santos Silva, J.M.C.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 1, p. 124-127
Publisher:	Elsevier
Subject:	Heteroskedasticity \| Iteratively reweighted least squares \| M-estimator \| Mode regression \| rreg \| Skewness

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Type of publication:	Article
Classification:	C13 - Estimation ; C21 - Cross-Sectional Models; Spatial Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010597179