摘要翻译:
变量误差是线性回归中一个长期存在的、困难的问题;进展部分取决于新的识别假设。我将测量误差描述为坏杠杆点,并假设不到一半的样本观测被严重污染,在这种情况下,高分解稳健估计器可能能够隔离和降低权重或丢弃有问题的数据。在简单和多元回归的模拟中,当eiv影响25%的数据,且R平方平庸时,某些高击穿估计具有较小的偏差和可靠的置信区间。
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英文标题:
《Measurement Errors as Bad Leverage Points》
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作者:
Eric Blankmeyer
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最新提交年份:
2020
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分类信息:
一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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一级分类:Statistics 统计学
二级分类:Applications 应用程序
分类描述:Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学,教育学,流行病学,工程学,环境科学,医学,物理科学,质量控制,社会科学
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一级分类:Statistics 统计学
二级分类:Methodology 方法论
分类描述:Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计,调查,模型选择,多重检验,多元方法,信号和图像处理,时间序列,平滑,空间统计,生存分析,非参数和半参数方法
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英文摘要:
Errors-in-variables is a long-standing, difficult issue in linear regression; and progress depends in part on new identifying assumptions. I characterize measurement error as bad-leverage points and assume that fewer than half the sample observations are heavily contaminated, in which case a high-breakdown robust estimator may be able to isolate and down weight or discard the problematic data. In simulations of simple and multiple regression where eiv affects 25% of the data and R-squared is mediocre, certain high-breakdown estimators have small bias and reliable confidence intervals.
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PDF链接:
https://arxiv.org/pdf/1807.02814