Introductory Econometrics

Robust Regression

OLS is sensitive to outliers. A single aberrant point can throw the OLS fitted line way off. Instead of minimizing the sum of least squared deviations we could minimize the sum of the least median squared deviations. LMS is a robust regression technique because it is insensitive to extreme data points.

Open the Word document below to learn about LMS and robust regression.

LMSIntro.doc

LMS.xls