Stata module providing robust regression estimators
robreg provides a number of robust estimators for linear regression models.
Among them are the high breakdown-point and high efficiency MM estimator, the
Huber and bisquare M estimator, the S estimator, as well as quantile
regression, each supporting robust standard errors based on influence
functions. Furthermore, basic implementations of LMS/LQS (least median/quantile
of squares) and LTS (least trimmed squares) are provided.
Requires: Stata 11 or newer, package moremata
Installation from GitHub:
. net install robreg, replace from(https://raw.githubusercontent.com/benjann/robreg/main/)
. net install moremata, replace from(https://raw.githubusercontent.com/benjann/moremata/master/)
Main changes:
08apr2021 (version 2.0.1):
- robreg lts/lqs/lms now store the h-quantile of squared residuals in e(q_h)
(for use by -predict, subset-)
07apr2021 (version 2.0.0):
- robreg released on GitHub