Robust and efficient adaptive estimation of binary-choice regression models

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10 Citations (Scopus)

Abstract

The binary-choice regression models such as probit and logit are used to describe the effect of explanatory variables on a binary response vari- able. Typically estimated by the maximum likelihood method, estimates are very sensitive to deviations from a model, such as heteroscedastic- ity and data contamination. At the same time, the traditional robust (high-breakdown point) methods such as the maximum trimmed like- lihood are not applicable since, by trimming observations, they induce the separation of data and non-identification of parameter estimates. To provide a robust estimation method for binary-choice regression, we con- sider a maximum symmetrically-trimmed likelihood estimator (MSTLE) and design a parameter-free adaptive procedure for choosing the amount of trimming. The proposed adaptive MSTLE preserves the robust prop- erties of the original MSTLE, significantly improves the infinite-sample behavior of MSTLE, and additionally, ensures asymptotic efficiency of the estimator under no contamination. The results concerning the trim- ming identification, robust properties, and asymptotic distribution of the proposed method are accompanied by simulation experiments and an application documenting the infinite-sample behavior of some existing and the proposed methods.
Original languageEnglish
Pages (from-to)687-696
JournalJournal of the American Statistical Association
Volume103
Issue number482
Publication statusPublished - 2008

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