Robust estimation in simultaneous equations models. (English) Zbl 0900.62173

Summary: 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 [H. P. Lopuhaä, Can. J. Statist. 19, No. 3, 307-321 (1991; Zbl 0746.62034)] to these models. They have the same order of computational complexity as high breakdown point multivariate estimators. The latter seems the most promising approach.


62F35 Robustness and adaptive procedures (parametric inference)
62H12 Estimation in multivariate analysis
62P20 Applications of statistics to economics


Zbl 0746.62034
Full Text: DOI


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