EconPapers    
Economics at your fingertips  
 

Robustness for Dummies

Vincenzo Verardi, Marjorie Gassner and Darwin Ugarte ()
Additional contact information
Darwin Ugarte: Center for Research in the Economics of Development, University of Namur

No 1206, Working Papers from University of Namur, Department of Economics

Abstract: In the robust statistics literature, a wide variety of models have been developed to cope with outliers in a rather large number of scenarios. Nevertheless, a recurrent problem for the empirical implementation of these estimators is that optimization algorithms generally do not perform well when dummy variables are present. What we propose in this poper is a simple solution to this involving the replacement of the sub-sampling step of the maximization procedure by a projection-based method. This allows us to propose robust estimators involving categorical variables, be they explanatory of dependent. Some Monte Carlo simulations are presented to illustrate the good behavior of the method.

Keywords: S-estimators; robust regression; dummy variable; outliers (search for similar items in EconPapers)
Pages: 27 pages
Date: 2012-05
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.fundp.ac.be/eco/economie/recherche/wpseries/wp/1206 First version, 2012 (application/pdf)

Related works:
Working Paper: Robustness for dummies (2012) Downloads
Working Paper: Robustness for Dummies (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nam:wpaper:1206

Access Statistics for this paper

More papers in Working Papers from University of Namur, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Marie-Helene Mathieu ().

 
Page updated 2020-03-31
Handle: RePEc:nam:wpaper:1206