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Robust estimation in simultaneous equations models

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1994-11
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In this paper we review existing work on robust estimation for simultaneous equations models. Then we discuss three strategies for obtaining estimators with a high breakdown point, a controllable efficiency, and a reasonable computational cost: (a) robustifying Three-Stages Least Squares, (b) robustifying the Full Information Maximum Likelihood method by minimizing the determinant of a robust covariance matrix of residuals, and (c) generalizing multivariate tauestimators (Lopuhaa 1991) to these models. The latter seems the most promising approach.
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