swMATH ID: 27809
Software Authors: Krishnakumar, J.; Ronchetti, E.
Description: semml: Algorithm for the estimation of a simultaneous equation model by maximum likelihood and optimal B-robust methods. A stacked ascii file. The procedures are presented and discussed in the paper: Robust estimators for simultaneous equations models. This paper presents a class of robust estimators for linear and non-linear simultaneous equations models, which are a direct generalization of the maximum likelihood estimator. The new estimators are obtained as solutions of a generalized likelihood equation. They are resistant to deviations from the model distribution, to outlying observations, and to some model misspecifications. An optimality principle leads to the construction of an optimal robust estimator which is the best trade-off between efficiency at the model and robustness.
Homepage: http://lib.stat.cmu.edu/general/semml
Dependencies: Matlab
Keywords: robustness; influence function; M-estimators; reduced form; structural form; nonlinear simultaneous equations; full information maximum likelihood
Related Software: robivreg; Stata; FinTS; AS 229; AS 108
Cited in: 13 Documents

Standard Articles

1 Publication describing the Software, including 1 Publication in zbMATH Year
Robust estimators for simultaneous equations models. Zbl 0900.62652
Krishnakumar, J.; Ronchetti, E.

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