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Extending the Hausman Test to Check for the presence of Outliers

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  • Catherine Dehon
  • Marjorie Gassner
  • Vincenzo Verardi

Abstract

In 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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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/102578/1/2011-036-DEHON_GASSNER_VERARDI-extending.pdf
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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2011-036.

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Length: 16 p.
Date of creation: Nov 2011
Date of revision:
Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/102578

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Related research

Keywords: S-estimators; MM-estimators; Outliers; Linear regression; Generalized Method of Moments; Robustness;

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  1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  2. 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.
  3. 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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