Robust estimation in simultaneous equations models

DOI10.1016/S0378-3758(96)00046-8zbMath0900.62173MaRDI QIDQ1361644

Ricardo Antonio Maronna, Víctor J. Yohai

Publication date: 15 December 1997

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

robust regressionhigh breakdown pointrobust multivariate estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Two-stage Huber estimation, The multivariate least-trimmed squares estimator, Functional stability of one-step GM-estimators in approximately linear regression, A Natural Robustification of the Ordinary Instrumental Variables Estimator, On multivariate quantile regression

Cites Work

• Unnamed Item
• Unnamed Item
• On the optimality of S-estimators
• Robust m-estimators of multivariate location and scatter
• Bias-robust estimators of multivariate scatter based on projections
• Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
• The Breakdown Point of Simultaneous General M Estimates of Regression and Scale
• The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances
• Resistant Estimation for Simultaneous-Equations Models Using Weighted Instrumental Variables
• High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
• Two Stage Least Absolute Deviations Estimators
• M Estimation of Multivariate Regressions
• Multivariate τ-Estimators for Location and Scatter
• The Behavior of the Stahel-Donoho Robust Multivariate Estimator