On the use of robust regression in econometrics

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 114
Issue: 1
Pages: 124-127

Authors (2)

Baldauf, Markus (not in RePEc) Santos Silva, J.M.C. (University of Surrey)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:114:y:2012:i:1:p:124-127
Journal Field
General
Author Count
2
Added to Database
2026-01-29