“Econometric Applications of High Breakdown Regression Estimators,” with Peter J. Rousseeuw & Mehmet Orhan, Economic Letters (71) 2001 pp.1-8
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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