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Robust Estimators in Econometrics

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The New Palgrave Dictionary of Economics

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Abstract

Econometric data are often obtained under conditions that cannot be well controlled, and so partial departures from the model assumptions in use (data contamination) occur relatively frequently. To address this, we first introduce concepts of robust statistics for qualifying and quantifying sensitivity of estimation methods to data contamination as well as important approaches to robust estimation. Later, we discuss how robust estimation methods have been adapted to various areas of econometrics, including time series analysis and general GMM-based estimation.

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Acknowledgment

This work was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 ‘Economic Risk’.

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  1. http://link.springer.com/referencework/10.1057/978-1-349-95121-5

    P. Čížek & W. Härdle

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  1. P. Čížek
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  2. W. Härdle
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Čížek, P., Härdle, W. (2018). Robust Estimators in Econometrics. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2496

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