General Trimmed Estimation: Robust Approach to Nonlinear and Limited Dependent Variable Models

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Abstract

High breakdown-point regression estimators protect against large errors and data con- tamination. Motivated by some { the least trimmed squares and maximum trimmed like- lihood estimators { we propose a general trimmed estimator, which unifies and extends many existing robust procedures. We derive here the consistency and rate of convergence of the proposed general trimmed estimator under mild -mixing conditions and demon- strate its applicability in nonlinear regression, time series, limited dependent variable models, and panel data.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages40
Volume2004-130
Publication statusPublished - 2004

Publication series

NameCentER Discussion Paper
Volume2004-130

Keywords

  • consistency
  • regression
  • robust estimation
  • trimming

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