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Re: st: mmregress question


From   Ronan Conroy <rconroy@rcsi.ie>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: mmregress question
Date   Thu, 1 Dec 2011 19:00:25 +0000

On 2011 Noll 1, at 17:59, <bcoric@efst.hr> wrote:

> 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.

I would strongly recommend that you read the associated STB article on the potential problems with the various methods of robust regression that you have used. The fact that you are getting substantively different models with different methods points to significant data problems, and in the end you may just have to go with the most theoretically justifiable model.

Note also that there are other ways of dealing with outliers, depending on the processes that you suspect is at work in producing them. There's a lot to be said for trying to develop a model that includes these processes. 

Ronán Conroy
rconroy@rcsi.ie
Associate Professor
Division of Population Health Sciences
Royal College of Surgeons in Ireland
Beaux Lane House
Dublin 2


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