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Econometric applications of high-breakdown robust regression techniques

Zaman, Asad and Rousseeuw, Peter J. and Orhan, Mehmet (2000): Econometric applications of high-breakdown robust regression techniques. Published in: Economic Letters , Vol. 71, (2000): pp. 1-8.

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Abstract

A literature search shows that robust regression techniques are rarely used in applied econometrics. We present a technique based on Rousseeuw and Van Zomeren [Journal of the American Statistical Association, 85 (1990) 633–639] that removes many of the difficulties in applying such techniques to economic data. We demonstrate the value of these techniques by re-analyzing three OLS-based regressions from the literature.

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