On One-Step GM Estimates and Stability of Inferences in Linear Regression

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Abstract
The folklore on one-step estimation is that it inherits the breakdown point of the preliminary estimator and yet has the same large sample distribution as the fully iterated version as long as the preliminary estimate converges faster than n –1/4, where n is the sample size. We investigate the extent to which this folklore is valid for one-step GM estimators and their associated standard errors in linear regression. We find that one-step GM estimates based on Newton-Raphson or Scoring inherit the breakdown point of high breakdown point initial estimates such as least median of squares provided the usual weights that limit the influence of extreme points in the design space are based on location and scatter estimates with high breakdown points. Moreover, these estimators have bounded influence functions, and their standard errors can have high breakdown points. The folklore concerning the large sample theory is correct assuming the regression errors are symmetrically distributed and homoscedastic....

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