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Computational aspects of robust estimators for linear regressions

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Abstract

This paper presents estimation procedures for some robust regression methods: the Bounded-Influence estimator for both a single linear equation (Krasker and Welsch, 1982) and a linear simultaneous equation model (Krasker and Welsch, 1985); the linear version of the Huber estimator for both a single equation (Huber, 1973, 1981) and a simultaneous equations model.

The procedures are written in the RATS econometric language, which is widely available on microcomputers and mainframes.

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Authors and Affiliations

  1. Istituto Economico-Finanziario, Università di Napoli, Via G. Saufelice 47, 80147, Napoli, Italy

    Marilena Furno

  2. Department of Economics, Boston College, 02167, Chestnut Hill, MA, USA

    Christopher Baum

Authors
  1. Marilena Furno
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  2. Christopher Baum
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Furno, M., Baum, C. Computational aspects of robust estimators for linear regressions. Computer Science in Economics and Management 2, 221–237 (1989). https://doi.org/10.1007/BF00436511

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  • DOI: https://doi.org/10.1007/BF00436511

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