Search Results - subject:"Robust regression"

A comparison of five robust regression methods with ordinary least squares: relative efficiency, bias and test of the null hypothesis

Anderson, Cynthia - 2001

A Monte Carlo simulation was used to generate data for a comparison of five robust regression estimation methods with …1. The best performing regression method on the test of the null hypothesis was MM2. Overall, the MM-type robust … regression methods outperformed OLS and LAV on relative efficiency, bias, and the test of the null hypothesis. …

Persistent link: https://www.econbiz.de/10009475082

Deletion residuals in the detection of heterogeneity of variances in linear regression

Imon, A.H.M. Rahmatullah - In: Journal of Applied Statistics 36 (2009) 3, pp. 347-358

The heterogeneity of error variance often causes a huge interpretive problem in linear regression analysis. Before taking any remedial measures we first need to detect this problem. A large number of diagnostic plots are now available in the literature for detecting heteroscedasticity of error...

Persistent link: https://www.econbiz.de/10004992281

Robust CUSUM-M test in the presence of long-memory disturbances

Sibbertsen, Philipp - 2000

We derive the limiting null distribution of the robust CUSUM-M test and the recursive CUSUM-M test for structural change of the coefficients of a linear regression model with long-memory disturbances. It turns out that the asymptotic null distribution of the CUSUM-M statistic is a fractional...

Persistent link: https://www.econbiz.de/10010316560

Wage Determination in Russia: An Econometric Investigation

Schaffer, Mark E.; Luke, Peter J. - 2000

methods included robust regression, Winsorising, the Hadi and Siminoff algorithm, Cook?s Distance and Covratio. …

Persistent link: https://www.econbiz.de/10010262358

Wage Determination in Russia: An Econometric Investigation

Luke, Peter J.; Schaffer, Mark E. - 2000

methods included robust regression, Winsorising, the Hadi and Siminoff algorithm, Cook's Distance and Covratio. …

Persistent link: https://www.econbiz.de/10009476844

Econometric applications of high-breakdown robust regression techniques

Zaman, Asad; Rousseeuw, Peter J.; Orhan, Mehmet - Volkswirtschaftliche Fakultät, … - 2000

A literature search shows that robust regression techniques are rarely used in applied econometrics. We present a …

Persistent link: https://www.econbiz.de/10011258670

Robust CUSUM-M test in the presence of long-memory disturbances

Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2000

Persistent link: https://www.econbiz.de/10010955402

Wage Determination in Russia: An Econometric Investigation

Luke, Peter J.; Schaffer, Mark E. - William Davidson Institute, University of Michigan - 2000

methods included robust regression, Winsorising, the Hadi and Siminoff algorithm, Cook's Distance and Covratio. …

Persistent link: https://www.econbiz.de/10005677382

Robust CUSUM-M test in the presence of long-memory disturbances

Sibbertsen, Philipp - 2000 - Version March 2000

Persistent link: https://www.econbiz.de/10009783551

Wage determination in Russia : an econometric investigation

Schaffer, Mark E.; Luke, Peter - 2000

methods included robust regression, Winsorising, the Hadi and Siminoff algorithm, Cook's Distance and Covratio. …

Persistent link: https://www.econbiz.de/10011326422