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GENERAL TRIMMED ESTIMATION: ROBUST APPROACH TO NONLINEAR AND LIMITED DEPENDENT VARIABLE MODELS

Published online by Cambridge University Press:  09 July 2008

Pavel Čížek
Pavel Čížek
Affiliation:
Tilburg University
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Abstract

High-breakdown-point regression estimators protect against large errors and data contamination. We generalize the concept of trimming used by many of these robust estimators, such as the least trimmed squares and maximum trimmed likelihood, and propose a general trimmed estimator, which renders robust estimators applicable far beyond the standard (non)linear regression models. We derive here the consistency and asymptotic distribution of the proposed general trimmed estimator under mild β-mixing conditions and demonstrate its applicability in nonlinear regression and limited dependent variable models.

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 6 , December 2008 , pp. 1500 - 1529
Copyright
Copyright © Cambridge University Press 2008

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References

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