Econometric applications of high-breakdown robust regression techniques

Asad Zaman, Peter Rousseeuw and Mehmet Orhan

MPRA Paper from University Library of Munich, Germany

Abstract: A literature search shows that robust regression techniques are rarely used in applied econometrics. We present a technique based on Rousseeuw and Van Zomeren [Journal of the American Statistical Association, 85 (1990) 633–639] that removes many of the difficulties in applying such techniques to economic data. We demonstrate the value of these techniques by re-analyzing three OLS-based regressions from the literature.

Keywords: High breakdown estimates; Masking; Robust regression; Outlier; Leverage point; Least trimmed squares (LTS); Minimum covariance determinant (MCD) (search for similar items in EconPapers)
JEL-codes: C01 C13 (search for similar items in EconPapers)
Date: 2000-03
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Citations: View citations in EconPapers (4)

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Journal Article: Econometric applications of high-breakdown robust regression techniques (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41529

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