Robust regression in Stata

Vincenzo Verardi, Christophe Croux

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ABSTRACT: 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. © 2009 StataCorp LP.
langue originaleAnglais
Pages (de - à)439-453
Nombre de pages15
journalStata Journal
Numéro de publication3
Etat de la publicationPublié - 2009

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