Extending the Hausman Test to Check for the presence of Outliers
AbstractIn this paper, we follow the same logic as in Hausman (1978) to create a testing procedure that checks for the presence of outliers by comparing a regression estimator that is robust to outliers (S-estimator), with another that is more e¢ cient but a¤ected by them. Some simulations are presented to illustrate the good behavior of the test for both its size and its power.
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2011-036.
Length: 16 p.
Date of creation: Nov 2011
Date of revision:
Publication status: Published by:
S-estimators; MM-estimators; Outliers; Linear regression; Generalized Method of Moments; Robustness;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- H11 - Public Economics - - Structure and Scope of Government - - - Structure and Scope of Government
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Catherine Dehon & Marjorie Gassner & Vincenzo Verardi, 2008. "A New Hausmann Type Test to Detect the Presence of Influential Outliers," Working Papers ECARES 2008_006, ULB -- Universite Libre de Bruxelles.
- Christophe Croux & Geert Dhaene & Dirk Hoorelbeke, 2003. "Robust Standard Errors for Robust Estimators," Center for Economic Studies - Discussion papers ces0316, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
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