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Are robust estimation methods useful in the structural errors-in-variables model?

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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.

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Authors and Affiliations

  1. Econometric Institute, State University of Groningen, P.O. Box 800, 9700 AV, Groningen, The Netherlands

    R. H. Ketellapper & A. E. Ronner

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  1. R. H. Ketellapper
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  2. A. E. Ronner
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The authors are indebted to a referee for his valuable comments on an earlier version of this paper.

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Ketellapper, R.H., Ronner, A.E. Are robust estimation methods useful in the structural errors-in-variables model?. Metrika 31, 33–41 (1984). https://doi.org/10.1007/BF01915180

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