Robust estimation in simultaneous equations models

✍ Scribed by Ricardo A. Maronna; Víctor J. Yohai

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 516 KB
• Volume: 57
• Category: Article
• ISSN: 0378-3758
• DOI: 10.1016/s0378-3758(96)00046-8

✦ Synopsis

In this paper we review existing work on robust estimation for simultaneous equations models. Then we sketch three strategies for obtaining estimators with a high breakdown point and a controllable efficiency: (a) robustifying three-stage least squares, (b) robustifying the full information maximum likelihood method by minimizing the determinant of a robust covariance matrix of residuals, and (c) generalizing multivariate tau-estimators (Lopuha~i, 1992, Can. J. Statist., 19, 307-321) to these models. They have the same order of computational complexity as high breakdown point multivariate estimators. The latter seems the most promising approach.