Are robust estimation methods useful in the structural errors-in-variables model? |
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Authors: | R H Ketellapper A E Ronner |
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Institution: | (1) Econometric Institute, State University of Groningen, P.O. Box 800, 9700 AV Groningen, The Netherlands |
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Abstract: | Summary In this paper it is investigated whether robust estimation procedures for the parameters of a regression model are also applicable when the observations are generated by the errors-in-variables model. Specifically, attention is paid to bounded-influence estimators, i.e. estimators that are constructed in such a way that the influence of a single observation on the outcome of the estimator is bounded. Both the classical errors-in-variables model and models with contaminated observational errors are considered.The authors are indebted to a referee for his valuable comments on an earlier version of this paper. |
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