Baldauf, Markus and Santos Silva, JMC (2012) On the use of robust regression in econometrics. Economics Letters, 114 (1). pp. 124-127. DOI https://doi.org/10.1016/j.econlet.2011.09.031
Baldauf, Markus and Santos Silva, JMC (2012) On the use of robust regression in econometrics. Economics Letters, 114 (1). pp. 124-127. DOI https://doi.org/10.1016/j.econlet.2011.09.031
Baldauf, Markus and Santos Silva, JMC (2012) On the use of robust regression in econometrics. Economics Letters, 114 (1). pp. 124-127. DOI https://doi.org/10.1016/j.econlet.2011.09.031
Abstract
A particular robust regression estimator has gained popularity among applied econometricians. We show that this estimator is inconsistent for the parameters of the conditional mean when the errors are skewed and heteroskedastic, and conclude that therefore its use cannot be generally recommended.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Heteroskedasticity; Iteratively reweighted least squares; M-estimator; Mode regression; rreg; Skewne |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences > Economics, Department of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 07 Mar 2013 15:41 |
| Last Modified: | 06 Jan 2022 14:37 |
| URI: | http://repository.essex.ac.uk/id/eprint/5784 |