On the use of robust regression in econometrics

被引：19

作者：

Baldauf, Markus ^{[2
]}

Santos Silva, J. M. C. ^{[1
]}

机构：

[1] Univ Essex, Dept Econ, Colchester CO4 3SQ, Essex, England

[2] Stanford Univ, Stanford, CA 94305 USA

来源：

ECONOMICS LETTERS | 2012年 / 114卷 / 01期

关键词：

Heteroskedasticity; Iteratively reweighted least squares; M-estimator; Mode regression; rreg; Skewness; INCENTIVES; EMPLOYMENT; IMPACT; MODEL;

D O I：

10.1016/j.econlet.2011.09.031

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：124 / 127

页数：4

共 26 条

[1] Anonymity, reciprocity, and conformity: Evidence from voluntary contributions to a national park in Costa Rica [J].