IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb373/200276.html
   My bibliography  Save this paper

Robust estimation with discrete explanatory variables

Author

Listed:
  • Čížek, Pavel

Abstract

The least squares estimator is probably the most frequently used estimation method in regression analysis. Unfortunately, it is also quite sensitive to data contamination and model misspecification. Although there are several robust estimators designed for parametric regression models that can be used in place of least squares, these robust estimators cannot be easily applied to models containing binary and categorical explanatory variables. Therefore, I design a robust estimator that can be used for any linear regression model no matter what kind of explanatory variables the model contains. Additionally, I propose an adaptive procedure that maximizes the efficiency of the proposed estimator for a given data set while preserving its robustness.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Čížek, Pavel, 2002. "Robust estimation with discrete explanatory variables," SFB 373 Discussion Papers 2002,76, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:200276
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/65326/1/727071114.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. 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.
    2. White, Halbert, 1980. "Nonlinear Regression on Cross-Section Data," Econometrica, Econometric Society, vol. 48(3), pages 721-746, April.
    3. Franco Peracchi, 1988. "Robust M-Estimators," UCLA Economics Working Papers 477, UCLA Department of Economics.
    4. Jurečková J. & Sen P. K., 1989. "Uniform Second Order Asymptotic Linearity Of M-Statistics In Linear Models," Statistics & Risk Modeling, De Gruyter, vol. 7(3), pages 263-276, March.
    Full references (including those not matched with items on IDEAS)

    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. Cizek, P., 2004. "Asymptotics of Least Trimmed Squares Regression," Other publications TiSEM dab5d551-aca6-40bf-b92e-c, Tilburg University, School of Economics and Management.
    2. Čížek, Pavel, 2008. "General Trimmed Estimation: Robust Approach To Nonlinear And Limited Dependent Variable Models," Econometric Theory, Cambridge University Press, vol. 24(6), pages 1500-1529, December.
    3. Niclas Berggren & Mikael Elinder, 2012. "Is tolerance good or bad for growth?," Public Choice, Springer, vol. 150(1), pages 283-308, January.
    4. William Ginn, 2022. "Climate Disasters and the Macroeconomy: Does State-Dependence Matter? Evidence for the US," Economics of Disasters and Climate Change, Springer, vol. 6(1), pages 141-161, March.
    5. Börner, Lars & Severgnini, Battista, 2011. "Epidemic trade," Discussion Papers 2011/12, Free University Berlin, School of Business & Economics.
    6. Michele Aquaro & Pavel Čížek, 2014. "Robust estimation of dynamic fixed-effects panel data models," Statistical Papers, Springer, vol. 55(1), pages 169-186, February.
    7. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 639-669.
    8. Gopal K. Basak & Arnab Bhattacharjee & Samarjit Das, 2018. "Causal ordering and inference on acyclic networks," Empirical Economics, Springer, vol. 55(1), pages 213-232, August.
    9. Khavul, Susanna & Pérez-Nordtvedt, Liliana & Wood, Eric, 2010. "Organizational entrainment and international new ventures from emerging markets," Journal of Business Venturing, Elsevier, vol. 25(1), pages 104-119, January.
    10. Akhand, Hafiz A., 1996. "Effective federal individual income tax functions: A specification search," Economics Letters, Elsevier, vol. 51(1), pages 19-25, April.
    11. Müller, Christine H. & Huggins, Richard & Hwang, Wen-Han, 2011. "Consistent estimation of species abundance from a presence-absence map," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1449-1457, September.
    12. Ali T. Akarca & Aysit Tansel, 2016. "Voter reaction to government incompetence and corruption related to the 1999 earthquakes in Turkey," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(2), pages 309-335, May.
    13. Aysit Tansel & Ali T. Akarca, 2012. "Turkish Voter Response to Government Incompetence and Corruption Related to the 1999 Earthquakes," Koç University-TUSIAD Economic Research Forum Working Papers 1204, Koc University-TUSIAD Economic Research Forum.
    14. Cheng, Tsung-Chi, 2005. "Robust regression diagnostics with data transformations," Computational Statistics & Data Analysis, Elsevier, vol. 49(3), pages 875-891, June.
    15. Henry Brady, 1989. "Factor and ideal point analysis for interpersonally incomparable data," Psychometrika, Springer;The Psychometric Society, vol. 54(2), pages 181-202, June.
    16. Xiu, Dacheng, 2010. "Quasi-maximum likelihood estimation of volatility with high frequency data," Journal of Econometrics, Elsevier, vol. 159(1), pages 235-250, November.
    17. Gernot Doppelhofer & Melvyn Weeks, 2011. "Robust Growth Determinants," CESifo Working Paper Series 3354, CESifo.
    18. Jacob A. Bikker & Sherrill Shaffer & Laura Spierdijk, 2012. "Assessing Competition with the Panzar-Rosse Model: The Role of Scale, Costs, and Equilibrium," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1025-1044, November.
    19. Ali Akarca & Aysit Tansel, 2015. "Impact of internal migration on political participation in Turkey," IZA Journal of Migration and Development, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 4(1), pages 1-14, December.
    20. Akarca, Ali T. & Tansel, Aysit, 2012. "Southwest as the New Internal Migration Destination in Turkey," IZA Discussion Papers 6627, Institute of Labor Economics (IZA).

    More about this item

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

    Statistics

    Access and download statistics

    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:zbw:sfb373:200276. 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: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sfhubde.html .

    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.