Nevertheless, over the past decade, a form of robust regression based on Huber’s (1964) M-estimator was made available in popular software packages and has been frequently used both in leading research publications and in industry. The particular version of this estimator that has become popular in applied econometrics is based on the algorithm proposed by Li (1985), which is an iteratively reweighted least squares algorithm using biweights (Beaton and Tukey, 1974).
The particular version of this estimator