Robust estimation in simultaneous equati
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Ricardo A. Maronna; VΓctor J. Yohai
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Article
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1997
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Elsevier Science
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English
β 516 KB
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