Gini-PLS Regressions

Stéphane Mussard and Fattouma Souissi-Benrejab
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Fattouma Souissi-Benrejab: Université Montpellier 1, UMR5474 LAMETA
Authors registered in the RePEc Author Service: Fattouma SOUISSI BENREJAB

Journal of Quantitative Economics, 2019, vol. 17, issue 3, No 2, 477-512

Abstract: Abstract Data contamination and excessive correlations between regressors (multicollinearity) constitute a standard and major problem in econometrics. Two techniques enable solving these problems, in separate ways: the Gini regression for the former, and the PLS (partial least squares) regression for the latter. Gini-PLS regressions are proposed in order to treat extreme values and multicollinearity simultaneously.

Keywords: Gini covariance; Gini regression; Gini-PLS regressions; PLS regression (search for similar items in EconPapers)
JEL-codes: C3 C8 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Gini-PLS Regressions (2017)
Working Paper: Gini-PLS Regressions (2015)
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DOI: 10.1007/s40953-018-0132-9

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