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Gini-PLS Regressions

Author

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  • Stéphane Mussard
  • Fattouma Souissi-Benrejab

Abstract

Data contamination and excessive correlations between regressors (multicollinearity) constitute a standard and major problem in econometrics. Two techniques enable solving these problems, in separate ways: the Gini regression for the former, and the PLS (partial least squares) regression for the latter. Gini-PLS regressions are proposed in order to treat extreme values and multicollinearity simultaneously.

Suggested Citation

  • Stéphane Mussard & Fattouma Souissi-Benrejab, 2015. "Gini-PLS Regressions," Working Papers 15-03, LAMETA, Universtiy of Montpellier, revised Feb 2015.
    • Handle: RePEc:lam:wpaper:15-03
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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2015-03.pdf
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    Other versions of this item:

    • Stephane Mussard & Fattouma Souissi-Benrejab, 2015. "Gini-PLS Regressions," Cahiers de recherche 17-02, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, revised Jan 2017.

    References listed on IDEAS

    as
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    4. Bastien, Philippe & Vinzi, Vincenzo Esposito & Tenenhaus, Michel, 2005. "PLS generalised linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 48(1), pages 17-46, January.
    5. Schechtman, E. & Yitzhaki, S., 1999. "On the proper bounds of the Gini correlation," Economics Letters, Elsevier, vol. 63(2), pages 133-138, May.
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    7. Shlomo Yitzhaki, 2003. "Gini’s Mean difference: a superior measure of variability for non-normal distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 285-316.
    8. E. Schechtman & S. Yitzhaki, 2003. "A Family of Correlation Coefficients Based on the Extended Gini Index," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 1(2), pages 129-146, August.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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