Robust estimation in simultaneous equations models

Ricardo A. Maronna and Víctor J. Yohai

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we review existing work on robust estimation for simultaneous equations models. Then we discuss three strategies for obtaining estimators with a high breakdown point, a controllable efficiency, and a reasonable computational cost: (a) robustifying Three-Stages Least Squares, (b) robustifying the Full Information Maximum Likelihood method by minimizing the determinant of a robust covariance matrix of residuals, and (c) generalizing multivariate tauestimators (Lopuhaa 1991) to these models. The latter seems the most promising approach.

Date: 1994-11
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:3956

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