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On the use of robust regression in econometrics

Markus Baldauf and João Santos Silva ()

Economics Letters, 2012, vol. 114, issue 1, 124-127

Abstract: 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.

Keywords: Heteroskedasticity; Iteratively reweighted least squares; M-estimator; Mode regression; rreg; Skewness (search for similar items in EconPapers)
JEL-codes: C13 C21 (search for similar items in EconPapers)
Date: 2012
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Working Paper: On the use of robust regression in econometrics (2009) Downloads
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