Update to -robreg- available from SSC

[Ben Jann]

Thanks to Kit Baum, an update to the -robreg- package is available from SSC. To install the update, type

. ssc install robreg, replace

or use the adoupdate command.

robreg provides a number of robust regression estimators such as MM regression.

Main changes:

• The new version is a complete rewrite; the previous version is now available as robreg10.
• robreg supports two additional estimators, robreg ls for least-suqares fits (equivalent to regress) and robreg q for quantile regression (similar to qreg)
• robreg now supports predict with a variety of options (e.g. predict robust residuals or influence functions)
• there is a now command called robreg hausman to compare results between different estimators (Hausman tests)
• performance of robreg s, robreg lts, robreg lqs, and robreg lms has been much improved by using fast nonsingular subsampling algorithms
• robreg mm can now be refitted with different efficiencies without having to re-estimate the time consuming S estimate
• robreg lts now uses local improvement and final refinement and thus provides results that are much more stable than in the previous version
• weights are now allowed by all estimators; all estimators can now be fitted without predictors or without constant
• the estimators now use a common framework for the estimation of (robust) standard errors based on influence functions; sampling weights and clustering are supported; robreg ls, robreg q and robreg m additionally support the svy prefix (svy is currently not supported by robreg s and robreg mm due to a specific limitation of svy; support will probably be added once a Stata version becomes available in which this limitation has been removed) (estimation of standard errors is not supported for robreg lts, robreg lqs, and robreg lms)

ben

[ericmelse]

Dear Ben,

I am using your example in the help file:

* Comparison of different estimators of the same model:
sysuse auto, clear
reg price mpg weight headroom foreign
robreg ls price mpg weight headroom foreign

But, I get the following error message:

class mm_qr undefined
(1317 lines skipped)
(error occurred while loading robreg.ado)
r(3000);

And I get the same error using any of the other examples.
My Stata version is 16.1 revision of 06 april 2021

I did restart Stata etc.
Maybe I am doing something wrong or there is something else that goes astray,

[ericmelse]

I found the cause of my problem reported in #2.
Users also have to update more_mata, also from Ben Jann, as announced here.
Required code to run once, before you start using robreg:

ssc install moremata, replace

[Ben Jann]

Yes, thanks Eric, you need to update moremata to be able to run the new robreg version. Sorry I forgot to mention this. ben