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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.

MSC:

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

Citations:

Zbl 0746.62034
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References:

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