A Comparison of Partially Adaptive and Reweighted Least Squares Estimation

Brian Boyer, James McDonald and Whitney Newey

Econometric Reviews, 2003, vol. 22, issue 2, 115-134

Abstract: The small sample performance of least median of squares, reweighted least squares, least squares, least absolute deviations, and three partially adaptive estimators are compared using Monte Carlo simulations. Two data problems are addressed in the paper: (1) data generated from non-normal error distributions and (2) contaminated data. Breakdown plots are used to investigate the sensitivity of partially adaptive estimators to data contamination relative to RLS. One partially adaptive estimator performs especially well when the errors are skewed, while another partially adaptive estimator and RLS perform particularly well when the errors are extremely leptokur-totic. In comparison with RLS, partially adaptive estimators are only moderately effective in resisting data contamination; however, they outperform least squares and least absolute deviation estimators.

Keywords: Least median of squares; Reweighted least squares; Partially adaptive estimation (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1081/ETC-120020459

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