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Hidden in Plain Sight: Influential Sets in Linear Models

Kuschnig, Nikolas; Zens, Gregor; Crespo Cuaresma, Jesús - 2021

Assessing the robustness of the results of econometric analysis is a long standing subject of lively research. The … inﬂuential observations has received relatively little attention. A major obstacle in this context is masking, a phenomenon where … demonstrate the merits of these algorithms via simulation studies and empirical applications. These exercises show that masking …

Persistent link: https://www.econbiz.de/10012582044

Efficient Robust Estimation of Regression Models

Cizek, Pavel - 2007

This paper introduces a new class of robust regression estimators. The proposed twostep least weighted squares (2S-LWS) estimator employs data-adaptive weights determined from the empirical distribution, quantile, or density functions of regression residuals obtained from an initial robust fit....

Persistent link: https://www.econbiz.de/10012731904

Robust Tests for Normality of Errors in Regression Models

Onder, A. Ozlem - 2009

This paper investigates the effects of using residuals from robust regression in place of OLS residuals in test statistics for the normality of the errors. It is found that for systematic and clustered outliers robustified normality tests yield greater power

Persistent link: https://www.econbiz.de/10012767596

Model misspecification and bias for inverse probability weighting and doubly robust estimators

Waernbaum, Ingeborg; Pazzagli, Laura - 2017

In the causal inference literature a class of semi-parametric estimators is called robust if the estimator has desirable properties under the assumption that at least one of the working models is correctly specified. A standard example is a doubly robust estimator that specifies parametric...

Persistent link: https://www.econbiz.de/10011796394

Adapting to misspecification

Armstrong, Timothy B.; Kline, Patrick; Sun, Liyang - 2024

Empirical research typically involves a robustness-efficiency tradeoff. A researcher seeking to estimate a scalar …

Persistent link: https://www.econbiz.de/10015073234

The identification of outliers in exponential samples

Schultze, Verena; Pawlitschko, Jörg - 1998

In this paper the task of identifying outliers in exponential samples is treated conceptionally in the sense of Davies and Gather (1989, 1993) by means of a so called outlier region. In case of an exponential distribution, an empirical approximation of such a region also called an outlier...

Persistent link: https://www.econbiz.de/10010467718