Robust Econometrics

[47] Rousseeuw, P. J., and Leroy, A. M. (1984). Robust regression by means
of S-estimators. In J. Franke, W. Hardle, and R. D. Martin (eds.) Robust
and Nonlinear Time Series Analysis, Springer, 256-272.

[48] Sakata, S., and White, H. (1995). An alternative definition of finite-
sample breakdown point with application to regression model estima-
tors. Journal of the American Statistical Association 90, 1099-1106.

[49] Sakata, S., and White, H. (1998). High breakdown point conditional dis-
persion estimation with application to S&P 500 daily returns volatility.
Econometrica 66, 529-567.

[50] Sakata, S., and White, H. (2001). S-estimation of nonlinear regres-
sion models with dependent and heterogeneous observations. Journal
of Econometrics 103, 5-72.

[51] Sapra, S. K. (2003). High-breakdown point estimation of some regression
models. Applied Economics Letters 10(14), 875-878.

[52] Simpson, D. G., Ruppert, D., and Carroll, R. J. (1992). On one-step
GM estimates and stability of inferences in linear regression. Journal of
the American Statistical Association 87, 439-450.

[53] Stromberg, A. J., Hossjer, O., and Hawkins, D. M. (2000). The least
trimmed differences regression estimator and alternatives. Journal of
the American Statistical Association 95, 853-864.

28

<<   26   27   28   29   30   31   32   >>

More intriguing information