Robust regression in Stata

Vincenzo Verardi and Christophe Croux ()
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Christophe Croux: K. U. Leuven, Faculty of Business and Economics

Stata Journal, 2009, vol. 9, issue 3, 439-453

Abstract: In regression analysis, the presence of outliers in the dataset can strongly distort the classical least-squares estimator and lead to unreliable results. To deal with this, several robust-to-outliers methods have been proposed in the statistical literature. In Stata, some of these methods are available through the rreg and qreg commands. Unfortunately, these methods resist only some specific types of outliers and turn out to be ineffective under alternative scenarios. In this article, we present more effective robust estimators that we implemented in Stata. We also present a graphical tool that recognizes the type of detected outliers.

Keywords: mmregress; sregress; msregress; mregress; mcd; S-estimators; MM-estimators; outliers; robustness (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (200)

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