Thanks to Kit Baum, a new package called -robreg- is available from the SSC
Archive. -robreg- provides robust regression estimators. To install the
package, type
. ssc install robreg
Note that the -moremata- package, also available from SSC, is required.
-robreg- has been written in connection with a survey chapter on robust
regression for a handbook of social science data analysis (in German). It
provides a number of robust estimators for linear regression models. Among
them are the high breakdown-point and high efficiency MM-estimator, the
Huber and bisquare M-estimator, and the S-estimator, each supporting
classic and robust standard errors. Furthermore, basic versions of the
LMS/LQS (least median of squares) and LTS (least trimmed squares)
estimators are provided.
For a recent contribution of similar estimators in Stata also see Verardi
and Croux (2009).
Best,
ben
Verardi, V., C. Croux (2009). Robust regression in Stata. The Stata Journal
9: 439-453.
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