robust2sls (Q81871)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
Outlier Robust Two-Stage Least Squares Inference and Testing
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | robust2sls |
Outlier Robust Two-Stage Least Squares Inference and Testing |
Statements
20 August 2026
0 references
An implementation of easy tools for outlier robust inference in two-stage least squares (2SLS) models. The user specifies a reference distribution against which observations are classified as outliers or not. After removing the outliers, adjusted standard errors are automatically provided. Furthermore, several statistical tests for the false outlier detection rate can be calculated. The outlier removing algorithm can be iterated a fixed number of times or until the procedure converges. The algorithms and robust inference are described in more detail in Jiao (2019) <https://drive.google.com/file/d/1qPxDJnLlzLqdk94X9wwVASptf1MPpI2w/view>.
0 references
