LMS: Stata module to perform least median squares regression fit

Michael Blasnik ()

Statistical Software Components from Boston College Department of Economics

Abstract: lms fits a least median squares regression of varlist on depvar. Least Median Squares is a robust fitting approach which attempts to minimize the median squared residual of the regression (equivalent to minimizing the median absolute residual). The algorithm here works by exactly fitting lines (or planes or hyperplanes) to random subsets of observations of size n=# parameters. Based on the number of parameters, 300 to 3000 of these random subsets are fit and the one with the minimum median residual is selected as best.

Language: Stata
Requires: Stata version 5.0
Keywords: robust regression; least median squares (search for similar items in EconPapers)
Date: Written 1998-10-17

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/l/lms.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lms.hlp help file (text/plain)

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