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st: mmregress question


From   bcoric@efst.hr
To   statalist@hsphsun2.harvard.edu
Subject   st: mmregress question
Date   Thu, 1 Dec 2011 18:59:23 +0100 (CET)

I would like to ask for help with implementation of stata command mmregress.
I am doing simple cross section analysis. Since I have just 48
observations I am very much concerned about the possible influence of
outliers.
Previously I was using stata command rreg for such chases. However, I came
across the paper, Robust regression in Stata (2009), which argues that
rreg command does not have expected robustness properties and recommend
mmregress instead.
However, I faced some problems in its implementation. Namely, its
subsequent implementation to the same model leads to different values of
regression coefficients. Moreover, detected outliers also change.
I presume, that algorithm use iterative procedure taking previous
estimates as starting values. However, results are very different in
respect to the sign, size and significance of coefficients, and do not
converge after subsequent applications.
Does anyone can tell me is there anything, some procedure that I should
follow, to get robust (consistent) results.
Bruno Coric


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