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Semiparametrically weighted robust estimation of regression models

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  • Cízek, Pavel

Abstract

A class of two-step robust regression estimators that achieve a high relative efficiency for data from light-tailed, heavy-tailed, and contaminated distributions irrespective of the sample size is proposed and studied. In particular, the least weighted squares (LWS) estimator is combined with data-adaptive weights, which are determined from the empirical distribution or quantile functions of regression residuals obtained from an initial robust fit. Just like many existing two-step robust methods, the LWS estimator with the proposed weights preserves robust properties of the initial robust estimate. However, contrary to the existing methods and despite the data-dependent weights, the first-order asymptotic behavior of LWS is fully independent of the initial estimate under mild conditions. Moreover, the proposed estimation method is asymptotically efficient if errors are normally distributed. A simulation study documents these theoretical properties in finite samples; in particular, the relative efficiency of LWS with the proposed weighting schemes can reach 85%-100% in samples of several tens of observations under various distributional models.

Suggested Citation

  • Cízek, Pavel, 2011. "Semiparametrically weighted robust estimation of regression models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 774-788, January.
    • Handle: RePEc:eee:csdana:v:55:y:2011:i:1:p:774-788
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    References listed on IDEAS

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    1. Neykov, N.M. & Čížek, P. & Filzmoser, P. & Neytchev, P.N., 2012. "The least trimmed quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1757-1770.
    2. Čížek, Pavel, 2012. "Semiparametric robust estimation of truncated and censored regression models," Journal of Econometrics, Elsevier, vol. 168(2), pages 347-366.
    3. Aquaro, M. & Čížek, P., 2013. "One-step robust estimation of fixed-effects panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 536-548.

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