General Trimmed Estimation: Robust Approach to Nonlinear and Limited Dependent Variable Models

Abstract

High breakdown-point regression estimators protect against large errors and data contamination. We generalize the concept of trimming used by many of these robust estimators, such as the least trimmed squares and maximum trimmed likelihood, and propose a general trimmed estimator, which renders robust estimators applicable far beyond the standard (non)linear regression models. We derive here the consistency and asymptotic distribution of the proposed general trimmed estimator under mild B-mixing conditions and demonstrate its applicability in nonlinear regression and limited dependent variable models.

Keywords: asymptotic normality, regression, robust estimation, trimming

JEL Classification: C13, C20, C24, C25