*! version 1.0 1dec2008
help mregress

Title

mregress -- Huber regression M-estimator

Syntax

mregress depvar [indepvars] [if] [in]
[, options]

options

Model
noconstant suppress constant term

tune(#) use # as Huber M-tuning constant; default is
tune(7)

Reporting
level(#) set confidence level; default is level(95)

Description

mregress performs a Huber M-estimator of regression of depvar on
indepvars. The command is a slight modification of rreg where only Huber's
iterations are considered

Also see [R] regress for standard regression with robust variance
estimates and [R] qreg for quantile (including median or
least-absolute-residual) regression.

Options

Model

tune(#) is the Huber tuning constant. Lower tuning constants downweight
outliers rapidly but may lead to unstable estimates (less than 6 is not recommended).
Higher tuning constants produce milder downweighting. See [R] rreg for further details.

Reporting

level(#); see [R] estimation options.

Examples

Setup

. sysuse auto

. generate weightd = weight*(foreign==0)

. generate weightf = weight*(foreign==1)

Robust regression

. mregress mpg weightd weightf foreign

Saved results

mmregress saves the following in e():

Scalars

e(N) number of observations

e(mss) model sum of squares

e(df_m) model degrees of freedom

e(rss) residual sum of squares

e(df_r) residual degrees of freedom

e(r2) R-squared

e(r2_a) adjusted R-squared

e(F) F statistic

e(rmse) root mean squared error

Macros

e(cmd) rreg

e(cmdline) command as typed

e(depvar) name of dependent variable

e(title) title in estimation output

e(model) ols

e(properties) b V

e(predict) program used to implement predict

Matrices

e(b) coefficient vector

e(V) variance-covariance matrix of the estimators

Functions

e(sample) marks estimation sample

Also see

Online: [R] qreg, [R] regress;

[R] rreg, mmregress, sregress, msregress, mcd