Robust Line Estimation With Errors in Both Variables / Michael L. Brown.

Format:

Book

Author/Creator:

Brown, Michael L.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w0083.

NBER working paper series no. w0083

Language:

English

Subjects (All):

Estimation theory.

Parameter estimation.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1975.

Cambridge, Massachusetts : National Bureau of Economic Research, 1975.

Summary:

The estimator holding the central place in the theory of the multivariate "errors-in-the-variables" (EV) model results from performing orthogonal recession on variables rescaled according to the covariance matrix of the errors [7]. Our first principal finding, via Monte Carlo on the univariate model, essentially relegates this estimator to use only in large samples on very well-behaved data, i.e., with no trace of outlier contamination. A modification, requiring a robust preliminary slope, is proposed that essentially sets out the generalization to EV of the w-estimator in regression. It is demonstrated that the modification is robust to outlier contamination even in small samples, given a sufficiently good preliminary estimator. A candidate for a preliminary slope estimator based on the data is proposed arid its performance under simulation examined. Least-absolute residuals estimation in EV is cited as an alternative candidate.

Notes:

Print version record

May 1975.