Regression Sensitivity Analysis and Bounded-Influence Estimation

Abstract

Publisher Summary Economists and others have been building and using econometric models for many years. A subset of these builders and users has always been concerned about model reliability, sensitivity, and validity. The energy crisis put certain aspects of modeling into the public and political spotlight. Many questions have been raised about the integrity of the modeling process and in 1975, the National Science Foundation sponsored a conference at Vail, Colorado on model formulation, validation, and improvement. This conference caused a number of statisticians to pay more attention to the statistical questions raised in connection with model reliability, sensitivity, and validity. This chapter describes Huber robust estimation procedure and some of the progress that has been made by examining a particular model and set of data. It presents partial-regression plots and some of the standard output from least-squares regression.