On the use of robust regression in econometrics |
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| Authors: | Markus Baldauf |
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| Institution: | a Stanford University, United Statesb University of Essex, United Kingdomc CEMAPRE, Portugal |
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| Abstract: | A particular robust regression estimator has gained popularity among applied econometricians. We show that this estimator is inconsistent for the parameters of the conditional mean when the errors are skewed and heteroskedastic, and conclude that therefore its use cannot be generally recommended. |
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| Keywords: | C13 C21 |
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