Impacts of auxiliary information on outliers in regression
Iheil and Goldberger (1961) and Theil (1963) founded the mixed regression approach, Their mixed regression estimator is essentially a large class of estimators that includes ridge, generalized ridge and shrinkage estimators, Properties of these estimators when data contain outliers have not been examined extensively. The present investigation shows that the mixed regression estimator, when observationsare subject to shift in means and variances, is uniformly superior, in terms of squared bias and variance, to the least squares estimator.