Robust Econometrics



x = T(Fn) has the following properties. First, the influence function (1)

IF (x; T, F) =

=
=
=

T{(1)F+εδx}-T(F)
lιm-------------------------

ε→0              ε

{(1 - ε) R udF (u) + εx} - R udF (u)
lim-----------------------------------

ε→0                   ε

lεim0 ε-1{-ε udF (u) + εx}

x-Z udF(u)=x-T(F).

Hence, the gross-error sensitivity (2) γ(T, F) = , the local-shift sensitivity
(3)
λ(T, F) = 0, and the rejection point (4) ρ(T, F) = . Second, the
maximum-bias (5) is infinite for any
ε > 0 since

suRp kT {(1 - ε)F + εδx} - T(F)k = suRp k - εT(F) + εxk = ∞.

Consequently, the breakdown point (6) of the sample mean x = T(Fn) is
zero,
(T) = 0.

Thus, none of robustness measures characterizing the change of T under
contamination of data (even infinitesimally small) is finite. This behavior,
typical for LS-based methods, motivated alternative estimators that have the
desirable robust properties. In this section, the
M -estimators, S-estimators,
and
τ -estimators are discussed as well as some extensions and combination
of these approaches. Even though there is a much wider range of robust esti-
mation principles, we focus on those already studied and adopted in various
areas of econometrics.



More intriguing information

1. Multi-Agent System Interaction in Integrated SCM
2. The name is absent
3. Disentangling the Sources of Pro-social Behavior in the Workplace: A Field Experiment
4. The Impact of EU Accession in Romania: An Analysis of Regional Development Policy Effects by a Multiregional I-O Model
5. The Impact of Financial Openness on Economic Integration: Evidence from the Europe and the Cis
6. On the Integration of Digital Technologies into Mathematics Classrooms
7. Behaviour-based Knowledge Systems: An Epigenetic Path from Behaviour to Knowledge
8. Nonlinear Production, Abatement, Pollution and Materials Balance Reconsidered
9. The name is absent
10. Julkinen T&K-rahoitus ja sen vaikutus yrityksiin - Analyysi metalli- ja elektroniikkateollisuudesta