A NEW METHOD OF ROBUST LINEAR REGRESSION ANALYSIS: SOME MONTE CARLO EXPERIMENTS

Sudhanshu Mishra ()

Journal of Applied Economic Sciences, 2008, vol. 3, issue 3(5)_Fall2008, 261-268

Abstract: This paper has elaborated upon the deleterious effects of outliers and corruption of dataset on estimation of linear regression coefficients by the Ordinary Least Squares method. Motivated to ameliorate the estimation procedure, it introduces the robust regression estimators based on Campbell's robust covariance estimation method. It investigates into two possibilities: first, when the weights are obtained strictly as suggested by Campbell and secondly, when weights are assigned in view of the Hampel's median absolute deviation measure of dispersion. Both types of weights are obtained iteratively and using those weights, two different types of weighted least squares procedures have been proposed. These procedures are applied to detect outliers in and estimate regression coefficients from some widely used datasets such as stackloss, water salinity, Hawkins- Bradu-Kass, Hertzsprung-Russell Star and pilot-point datasets. It has been observed that Campbell-II in particular detects the outlier data points quite well. Subsequently, some Monte Carlo experiments have been carried out to assess the properties of these estimators whose findings indicate that for larger number and size of outliers, the Campbell-II procedure outperforms the Campbell-I procedure. Unless perturbations introduced to the dataset are numerous and very large in magnitude, the estimated coefficients are also nearly unbiased.

Keywords: Robust regression; Campbell's robust covariance; outliers; Monte Carlo Experiment; Median absolute Deviation (search for similar items in EconPapers)
JEL-codes: C01 C13 C14 C15 C63 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: A new method of robust linear regression analysis: some monte carlo experiments (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:ush:jaessh:v:3:y:2008:i:3(5)_fall2008:p:261-268

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