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High-breakdown point estimation of some regression models

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  • Sunil Sapra

Abstract

Common econometric estimators such as least squares, least absolute deviations (LAD), instrumental variables, maximum likelihood, and semiparametric estimators are non-robust against data contamination. Despite the known superiority of high-breakdown point (HBP) estimators in such situations, the HBP estimators have rarely been used in economics. This article presents some applications of an HBP estimator called the S-estimator (Rousseeuw and Yohai, Robust and Nonlinear Time Series Analysis (Eds) W.H. Franke and R.D. Martin, Springer-Verlag, NY, pp. 256-72, 1984) to the estimation of a linear regression model and compares the results with those obtained by ordinary least squares (OLS) and LAD methods. It is found that significance of variables as well as signs of coefficient estimates can be quite different under HBP estimation than under OLS and LAD estimation.

Suggested Citation

  • Sunil Sapra, 2003. "High-breakdown point estimation of some regression models," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 875-878.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:14:p:875-878
    DOI: 10.1080/1350485032000162820
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    References listed on IDEAS

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    1. Zinde-Walsh, Victoria, 2002. "Asymptotic Theory For Some High Breakdown Point Estimators," Econometric Theory, Cambridge University Press, vol. 18(5), pages 1172-1196, October.
    2. Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2001. "Econometric applications of high-breakdown robust regression techniques," Economics Letters, Elsevier, vol. 71(1), pages 1-8, April.
    3. Mroz, Thomas A, 1987. "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," Econometrica, Econometric Society, vol. 55(4), pages 765-799, July.
    4. Shinichi Sakata & Halbert White, 1998. "High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility," Econometrica, Econometric Society, vol. 66(3), pages 529-568, May.
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    Cited by:

    1. Čίžek, Pavel & Härdle, Wolfgang Karl, 2006. "Robust econometrics," SFB 649 Discussion Papers 2006-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Macdonald, Ryan, 2007. "Estimation de la PTF en présence de points aberrants et de points leviers : examen de l'ensemble de données KLEMS," Série de documents de recherche sur l'analyse économique (AE) 2007047f, Statistics Canada, Direction des études analytiques.
    3. Macdonald, Ryan, 2007. "Estimating TFP in the Presence of Outliers and Leverage Points: An Examination of the KLEMS Dataset," Economic Analysis (EA) Research Paper Series 2007047e, Statistics Canada, Analytical Studies Branch.
    4. repec:hum:wpaper:sfb649dp2006-050 is not listed on IDEAS

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