Robust regression in Stata

In regression analysis, the presence of outliers in the dataset can strongly distort the classical least-squares estimator and lead to unreliable results. To deal with this, several robust-to-outliers methods have been proposed in the statistical literature. In Stata, some of these methods are available through the rreg and qreg commands. Unfortunately, these methods resist only some specific types of outliers and turn out to be ineffective under alternative scenarios. In this article, we present more effective robust estimators that we implemented in Stata. We also present a graphical tool that recognizes the type of detected outliers.


Issue Date:
2009
Publication Type:
Journal Article
DOI and Other Identifiers:
st0173 (Other)
PURL Identifier:
http://purl.umn.edu/143000
Published in:
Stata Journal, Volume 09, Number 3
Page range:
439-453
Total Pages:
15

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 Record created 2017-04-01, last modified 2017-11-25

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