Robust Econometrics



one-step counterpart can be defined at sample {xi}in=1 by
n /σ∙   ^θ∖  / n /   θ0

 '+XXX-(⅛θ-)  'x   (ɪ)■

where 0 and ^0 represent initial robust estimators of location and scale
like the median and MAD, respectively. Such one-step estimators, under
certain conditions on the initial estimators, preserve the breakdown point
of the initial estimators, and at the same time, have the same first-order
asymptotic distribution as the original
M -estimator (Simpson et al., 1992,
and Welsh and Ronchetti, 2002). Further development of such ideas include
an adaptive choice of parameters of function
ψ in the iterative step (Gervini
and Yohai, 2002).

2.2 S-estimators

An alternative approach to M -estimators achieving high breakdown point
(HBP) was proposed by Rousseeuw and Yohai (1984). The
S-estimators are
defined by minimization of a scale statistics
s2(z, b) = s{η(z, b)} defined as
the
M -estimate of scale,
at the model distribution
F; the functions P and η are those defining M-
estimators in Section 2.1. More generally, one can define
S-estimators by
means of any scale-equivariant statistics
s2, that is, s{cη(z, b)} = cs{η(z, b)}.
Under this more general definition,
S-estimators include as special cases LS

p P[η(z,b)/s{η(z,b)}]dFn(z)


=K=


P(t)dF (t),


13



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