On Multivariate Methods in Robust Econometrics

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F12%3A00358519" target="_blank" >RIV/67985807:_____/12:00358519 - isvavai.cz</a>

Result on the web

<a href="http://www.vse.cz/pep/abstrakt.php?IDcl=411" target="_blank" >http://www.vse.cz/pep/abstrakt.php?IDcl=411</a>

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

On Multivariate Methods in Robust Econometrics

Original language description

This work studies implicitly weighted robust statistical methods suitable for econometric problems. We study robust estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics. We describe a modification of linear regression resistant to heteroscedasticity and study its computational aspects. For a robust version of the instrumental variables estimator we propose an asymptotic test of heteroscedasticity. Further we describe robust statistical methods for dimension reduction and classification analysis. We propose the robust quadratic classification analysis based on a new minimum weighted covariance determinant (MWCD) estimator. In general the robust methods based on down-weightening less reliable observations are resistant to outlying values (outliers) and insensitive to the assumption of Gaussian normal distribution of the data. The methods are illustrated on econometric data examples.

Czech name

—

Czech description

—

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

—

Project

<a href="/en/project/1M06014" target="_blank" >1M06014: Centre of Biomedical Informatics</a><br>

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Prague Economic Papers

ISSN

1210-0455

e-ISSN

—

Volume of the periodical

—

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

14

Pages from-to

69-82

UT code for WoS article

000303301400005

EID of the result in the Scopus database

—