文章基本信息

标题：Robust regression in Stata
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作者：Verardi, Vincenzo ; Croux, Christophe
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2009
期号：suppl
页码：439-453
出版社：Journal of Agribusiness
摘要：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.
关键词：mmregress;sregress;msregress;mregress;mcd;S-estimators;MM-estimators;outliers;robustness