Stata module to estimate robust univariate statistics
robstat estimates various classic and robust measures of location, scale,
skewness, and kurtosis, and, optionally, performs robust tests for normality.
To install robstat from the SSC Archive, type
. ssc install robstat, replace
in Stata. Stata version 11 or newer is required. Furthermore, moremata is
required. To install moremata from the SSC Archive, type
. ssc install moremata, replace
Installation from GitHub:
. net install robstat, replace from(https://raw.githubusercontent.com/benjann/robstat/main/)
. net install moremata, replace from(https://raw.githubusercontent.com/benjann/moremata/master/)
Main changes:
20dec2020 (version 1.0.4)
- refined computations of influence functions such that they have a mean exactly
equal to zero for all statistics (apart from roundoff error); results for
standard errors and confidence intervals are now slightly different for some
of the statistics due to these changes
- Huber, biweight, and S now computed using mm_mloc() and mm_mscale() from
moremata
- pairwise HL, Qn, and [L/R]MC now computed using mm_hl(), mm_qn(), and mm_mc()
from moremata
- results for alpha-trimmed mean could be unstable in case of weights; this is fixed
- skewness and kurtosis did not allow iweights; this is fixed
10aug2020 (version 1.0.3)
- now using mm_density() from moremata instead of -kdens-
- option -adaptive(0)- now allowed
21feb2019 (version 1.0.1)
- new option -cilog- to use log-transformed CIs for scale statistics
- influence function (and standard error) of M-estimate of scale was valid
only for symmetric distributions; this is fixed
24aug2018 (version 1.0.0)
- published on SCC