ROBREG10: Stata module providing robust regression estimators

Ben Jann

Statistical Software Components from Boston College Department of Economics

Abstract: robreg10 provides a number of robust estimators for linear regression models. Among them are the high breakdown-point and high efficiency MM-estimator, the Huber and bisquare M-estimator, and the S-estimator, each supporting classic or robust standard errors. Furthermore, basic versions of the LMS/LQS (least median of squares) and LTS (least trimmed squares) estimators are provided. Note that the moremata package, also available from SSC, is required. A newer version of this routine is available as -robreg-.

Language: Stata
Requires: Stata version 10.1 and moremata from SSC (q.v.)
Keywords: robust regression; MM-estimate; M-estimate; S-estimate; LMS; LTS; LQS; high breakdown; Huber; biweight; bisquare (search for similar items in EconPapers)
Date: 2010-01-27, Revised 2021-04-11
Note: This module should be installed from within Stata by typing "ssc install robreg10". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (5)

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http://fmwww.bc.edu/repec/bocode/r/robreg10.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/robreg10.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/robreg10.zip zip archive (application/zip)

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