Gini-PLS Regressions

Stéphane Mussard and Fattouma Souissi-Benrejab
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Fattouma Souissi-Benrejab: LAMETA, Universite Montpellier I
Authors registered in the RePEc Author Service: Fattouma SOUISSI BENREJAB

Cahiers de recherche from Departement d'économique de l'École de gestion à l'Université de Sherbrooke

Abstract: Data contamination and excessive correlations between regressors (multicollinear- ity) constitute a standard and major problem in econometrics. Two techniques en- able solving these problems, in separate ways: the Gini regression for the former, and the PLS (partial least squares) regression for the latter. Gini-PLS regressions are proposed in order to treat extreme values and multicollinearity simultaneously.

Keywords: Gini covariance; Gini Regression; Gini-PLS Regressions; PLS Regression. (search for similar items in EconPapers)
JEL-codes: C3 C8 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2015-02, Revised 2017-01
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Related works:
Journal Article: Gini-PLS Regressions (2019)
Working Paper: Gini-PLS Regressions (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:shr:wpaper:17-02

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