IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v199y2009i1p21-24.html
   My bibliography  Save this article

Robust model selection criteria for robust Liu estimator

Author

Listed:
  • Çetin, Meral

Abstract

In linear regression analysis, outliers often have large influence in the model/variable selection process. The aim of this study is to select the subsets of independent variables which explain dependent variables in the presence of multicollinearity, outliers and possible departures from the normality assumption of the error distribution in robust regression analysis. In this study to overcome this combined problem of multicollinearity and outliers, we suggest to use robust selection criterion with Liu and Liu-type M(LM) estimators.

Suggested Citation

  • Çetin, Meral, 2009. "Robust model selection criteria for robust Liu estimator," European Journal of Operational Research, Elsevier, vol. 199(1), pages 21-24, November.
    • Handle: RePEc:eee:ejores:v:199:y:2009:i:1:p:21-24
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(08)01020-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Hurvich, Clifford M. & Tsai, Chih-Ling, 1990. "Model selection for least absolute deviations regression in small samples," Statistics & Probability Letters, Elsevier, vol. 9(3), pages 259-265, March.
    2. Ronchetti, Elvezio, 1985. "Robust model selection in regression," Statistics & Probability Letters, Elsevier, vol. 3(1), pages 21-23, February.
    3. Olcay Arslan & Nedret Billor, 2000. "Robust Liu estimator for regression based on an M-estimator," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(1), pages 39-47.
    4. Suzanne Sommer & Richard M. Huggins, 1996. "Variables Selection Using the Wald Test and a Robust CP," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 45(1), pages 15-29, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bottmer, Lea & Croux, Christophe & Wilms, Ines, 2022. "Sparse regression for large data sets with outliers," European Journal of Operational Research, Elsevier, vol. 297(2), pages 782-794.
    2. Farnè, Matteo & Vouldis, Angelos T., 2018. "A methodology for automised outlier detection in high-dimensional datasets: an application to euro area banks' supervisory data," Working Paper Series 2171, European Central Bank.
    3. Beynon, Malcolm J. & Andrews, Rhys & Boyne, George A., 2010. "Evidence-based modelling of strategic fit: An introduction to RCaRBS," European Journal of Operational Research, Elsevier, vol. 207(2), pages 886-896, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Khan, Jafar A. & Van Aelst, Stefan & Zamar, Ruben H., 2007. "Building a robust linear model with forward selection and stepwise procedures," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 239-248, September.
    2. Lan Wang & Runze Li, 2009. "Weighted Wilcoxon-Type Smoothly Clipped Absolute Deviation Method," Biometrics, The International Biometric Society, vol. 65(2), pages 564-571, June.
    3. Siniksaran, Enis, 2008. "A geometric interpretation of Mallows' Cp statistic and an alternative plot in variable selection," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3459-3467, March.
    4. Elbakry, Ashraf E. & Nwachukwu, Jacinta C. & Abdou, Hussein A. & Elshandidy, Tamer, 2017. "Comparative evidence on the value relevance of IFRS-based accounting information in Germany and the UK," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 28(C), pages 10-30.
    5. H. Glendinning, Richard, 2001. "Selecting sub-set autoregressions from outlier contaminated data," Computational Statistics & Data Analysis, Elsevier, vol. 36(2), pages 179-207, April.
    6. Menjoge, Rajiv S. & Welsch, Roy E., 2010. "A diagnostic method for simultaneous feature selection and outlier identification in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3181-3193, December.
    7. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023. "Robust Discovery of Regression Models," Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
    8. Giessing, Alexander & He, Xuming, 2019. "On the predictive risk in misspecified quantile regression," Journal of Econometrics, Elsevier, vol. 213(1), pages 235-260.
    9. Yeşim Güney & Y. Tuaç & Ş. Özdemir & O. Arslan, 2021. "Conditional maximum Lq-likelihood estimation for regression model with autoregressive error terms," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(1), pages 47-74, January.
    10. Lu, Xun & Su, Liangjun, 2015. "Jackknife model averaging for quantile regressions," Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
    11. Halit DURAN, 2018. "Türki̇ye’De Devleti̇n Gi̇ri̇şi̇mci̇li̇k Destekleri̇ Ve Seçi̇lmi̇ş Bazi Deği̇şkenleri̇n Yeni̇ Fi̇rma Doğum Orani Üzeri̇ne Etki̇si̇," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 3(1), pages 68-85.
    12. M. Norouzirad & M. Arashi, 2019. "Preliminary test and Stein-type shrinkage ridge estimators in robust regression," Statistical Papers, Springer, vol. 60(6), pages 1849-1882, December.
    13. Riani, Marco & Atkinson, Anthony C., 2010. "Robust model selection with flexible trimming," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3300-3312, December.
    14. Arslan, Olcay, 2012. "Weighted LAD-LASSO method for robust parameter estimation and variable selection in regression," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1952-1965.
    15. Baierl, Andreas & Futschik, Andreas & Bogdan, Malgorzata & Biecek, Przemyslaw, 2007. "Locating multiple interacting quantitative trait loci using robust model selection," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6423-6434, August.
    16. Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul, 2013. "Soft information and economic activity: Evidence from the Beige Book," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 81-92.
    17. Sandra L. Haire & Jonathan D. Coop & Carol Miller, 2017. "Characterizing Spatial Neighborhoods of Refugia Following Large Fires in Northern New Mexico USA," Land, MDPI, vol. 6(1), pages 1-24, March.
    18. Valentin Todorov, 2007. "Robust selection of variables in linear discriminant analysis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(3), pages 395-407, February.
    19. Neath, Andrew A. & Cavanaugh, Joseph E., 2000. "A regression model selection criterion based on bootstrap bumping for use with resistant fitting," Computational Statistics & Data Analysis, Elsevier, vol. 35(2), pages 155-169, December.
    20. Adu, Kofi Osei, 2019. "National health insurance scheme renewal in Ghana: Does waiting time at health insurance registration office matter?," MPRA Paper 91961, University Library of Munich, Germany.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:199:y:2009:i:1:p:21-24. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.