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ROBREG10: Stata module providing robust regression estimators

Author

Listed:
  • Ben Jann

    (University of Bern)

Programming Language

Stata

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 A newer version of this routine is available as -robreg-.

Suggested Citation

  • Ben Jann, 2010. "ROBREG10: Stata module providing robust regression estimators," Statistical Software Components S457114, Boston College Department of Economics, revised 11 Apr 2021.
    • Handle: RePEc:boc:bocode:s457114
    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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    File URL: http://fmwww.bc.edu/repec/bocode/r/robreg10.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/robreg10.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/r/robreg10.zip
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    Citations

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    Cited by:

    1. Hagen, Tobias, 2013. "Impact of national financial regulation on macroeconomic and fiscal performance after the 2007 financial shock: Econometric analyses based on cross-country data," Economics Discussion Papers 2013-26, Kiel Institute for the World Economy (IfW Kiel).
    2. Hagen, Tobias, 2013. "The impact of national financial regulation on macroeconomic and fiscal performance after the 2007 financial shock: Econometric analyses based on cross-country data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 7, pages 1-44.
    3. Biewen, Martin & Weiser, Constantin, 2011. "A New Approach to Testing Marginal Productivity Theory," IZA Discussion Papers 6113, Institute of Labor Economics (IZA).
    4. Georg Hirte & Christian Lessmann, 2014. "Trade, Integration, and Interregional Inequality," CESifo Working Paper Series 4799, CESifo.
    5. Hagen, Tobias, 2013. "Impact of national financial regulation on macroeconomic and fiscal performance after the 2007 financial stock: Econometric analyses based on cross-country data," Working Paper Series 02, Frankfurt University of Applied Sciences, Faculty of Business and Law.

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