ROBREG: Stata module providing robust regression estimators

Ben Jann

Statistical Software Components from Boston College Department of Economics

Abstract: robreg 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, the S estimator, as well as quantile regression, each supporting robust standard errors based on influence functions. Furthermore, basic implementations of LMS/LQS (least median/quantile of squares) and LTS (least trimmed squares) are provided. An older version of this routine is available as robreg10.

Language: Stata
Requires: Stata version 11 and moremata from SSC (q.v.)
Keywords: robust regression; least-squares regression; quantile regression; MM regression; M regression; S regression; LMS; LTS; LQS; high breakdown; Huber; biweight; bisquare; influence function (search for similar items in EconPapers)
Date: 2021-04-11, Revised 2022-02-19
Note: This module should be installed from within Stata by typing "ssc install robreg". 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.
References: Add references at CitEc
Citations:

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

Related works:
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:boc:bocode:s458931

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().