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Three Contributions to Robust Regression Diagnostics
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SYSNO ASEP 0456162 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Three Contributions to Robust Regression Diagnostics Author(s) Kalina, Jan (UIVT-O) RID, SAI, ORCID Source Title Journal of applied mathematics, statistics and informatics. - : Univerzita sv. Cyrila a Metoda v Trnave - ISSN 1336-9180
Roč. 11, č. 2 (2015), s. 69-78Number of pages 10 s. Language eng - English Country SK - Slovakia Keywords robust regression ; robust econometrics ; hypothesis testing Subject RIV BA - General Mathematics Institutional support UIVT-O - RVO:67985807 UT WOS 000216716500006 DOI 10.1515/jamsi-2015-0013 Annotation Robust regression methods have been developed not only as a diagnostic tool for standard least squares estimation in statistical and econometric applications, but can be also used as self-standing regression estimation procedures. Therefore, they need to be equipped by their own diagnostic tools. This paper is devoted to robust regression and presents three contributions to its diagnostic tools or estimating regression parameters under non-standard conditions. Firstly, we derive the Durbin-Watson test of independence of random regression errors for the regression median. The approach is based on the approximation to the exact null distribution of the test statistic. Secondly, we accompany the least trimmed squares estimator by a subjective criterion for selecting a suitable value of the trimming constant. Thirdly, we propose a robust version of the instrumental variables estimator. The new methods are illustrated on examples with real data and their advantages and limitations are discussed. Workplace Institute of Computer Science Contact Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Year of Publishing 2016 Electronic address http://www.degruyter.com/view/j/jamsi.2015.11.issue-2/jamsi-2015-0013/jamsi-2015-0013.xml?format=INT
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