The complementary use of regression diagnostics and robust estimators

Diane I. Gibbons, Gary C. McDonald and Richard F. Gunst

Naval Research Logistics (NRL), 1987, vol. 34, issue 1, 109-131

Abstract: Regression modeling for prediction or forecasting purposes is critically dependent on the quality of the data which are used to estimate the model parameters. Extreme response or predictor‐variable values can substantially influence least‐squares estimates and disproportionately affect predictions. Robust alternatives to least‐squares are less sensitive to extreme observations and can provide more precise predictions. In this article diagnostic displays are used to identify extreme observations and to assess the sensitivity of least‐squares parameter estimates and predictions to the inclusion of these observations in a data set. The displays are shown to aid in the interpretation of weights which robust estimators assign to influential observations.

Date: 1987
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https://doi.org/10.1002/1520-6750(198702)34:13.0.CO;2-1

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Persistent link: https://EconPapers.repec.org/RePEc:wly:navres:v:34:y:1987:i:1:p:109-131

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