robustls | Equation Methods |
method=arg (default=“m”) | Robust estimation method: “m” (M-estimation), “s” (S-estimation) or “mm” (MM-estimation). |
cov=arg (default=“type1”) | Covariance method type: “type1”, “type2”, or “type3”. |
tuning=number | Specify a value for the tuning parameter. If a value is not specified, EViews will use the default tuning parameter for the type of estimation and weighting function (if applicable). |
c=s | Convergence criterion. The criterion will be set to the nearest value between 1e-24 and 0.2. |
coef=arg | Specify the name of the coefficient vector (if specified by list); the default behavior is to use the “C” coefficient vector. |
m=integer | Maximum number the number of iterations. |
prompt | Force the dialog to appear from within a program. |
p | Print results. |
fn=arg (default=“bisquare”) | Weighting function used during M-estimation: “andrews” (Andrews), “bisquare” (Bisquare), “cauchy” (Cauchy), “fair”, “huber”, “huberbi” (Huber-bisquare), “logistic” (Logistic), “median”, “tal” (Talworth), “Welsch” (Welsch). |
scale=arg (default=“madzero”) | Scaling method used for calculating the scalar parameter during M estimation: “madzero” (median absolute deviation, zero centered), “madmed” (median absolute deviation, median centered), "huber" (Huber scaling). |
hmat | Use the hat-matrix to down-weight observations with high leverage. |
compare = integer (default=4) | Number of comparison sets. |
refine = integer (default= 2) | Number of refinements. |
trials = integer (default=200) | Number of trials. |
subsmpl=integer | Specifies the size of the subsamples. Note, the default is number of coefficients in the regression. |
seed=number | Specifies the random number generator seed |
rng=arg | Specifies the type of random number generator. The key can be; improved Knuth generator (“kn”), improved Mersenne Twister (“mt”), Knuth’s (1997) lagged Fibonacci generator used in EViews 4 (“kn4”) L’Ecuyer’s (1999) combined multiple, recursive generator (“le”), Matsumoto and Nishimura’s (1998) Mersenne Twister used in EViews 4 (“mt4”). |
mtuning=arg | M-estimator tuning parameter. Note the S-estimator tuning parameter is set with the “tuning=” option outlined above. |
hmat | Use the hat-matrix to down-weight observations with high leverage during m-estimation. |