Robust Econometrics

SFB 649 Discussion Paper 2006-050

33 Pages Posted: 9 Jan 2017

See all articles by Pavel Cizek

Pavel Cizek

Humboldt University of Berlin - School of Business and Economics

Wolfgang Karl Härdle

Blockchain Research Center Humboldt-Universität zu Berlin; Charles University; National Yang Ming Chiao Tung University; Asian Competitiveness Institute

Date Written: June 30, 2006

Abstract

Econometrics often deals with data under, from the statistical point of view, non-standard conditions such as heteroscedasticity or measurement errors and the estimation methods need thus be either adopted to such conditions or be at least insensitive to them. The methods insensitive to violation of certain assumptions, for example insensitive to the presence of heteroscedasticity, are in a broad sense referred to as robust (e.g., to heteroscedasticity). On the other hand, there is also a more specific meaning of the word `robust`, which stems from the field of robust statistics. This latter notion defines robustness rigorously in terms of behavior of an estimator both at the assumed (parametric) model and in its neighborhood in the space of probability distributions. Even though the methods of robust statistics have been used only in the simplest setting such as estimation of location, scale, or linear regression for a long time, they motivated a range of new econometric methods recently, which we focus on in this chapter.

Suggested Citation

Cizek, Pavel and Härdle, Wolfgang Karl, Robust Econometrics (June 30, 2006). SFB 649 Discussion Paper 2006-050, Available at SSRN: https://ssrn.com/abstract=2894376 or http://dx.doi.org/10.2139/ssrn.2894376

Pavel Cizek

Humboldt University of Berlin - School of Business and Economics ( email )

Spandauer Str. 1
Berlin, D-10099
Germany
+49 30 2093 5623 (Phone)

Wolfgang Karl Härdle (Contact Author)

Blockchain Research Center Humboldt-Universität zu Berlin ( email )

Unter den Linden 6
Berlin, D-10099
Germany

Charles University ( email )

Celetná 13
Dept Math Physics
Praha 1, 116 36
Czech Republic

National Yang Ming Chiao Tung University ( email )

No. 1001, Daxue Rd. East Dist.
Hsinchu City 300093
Taiwan

Asian Competitiveness Institute ( email )

Singapore

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