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A New Hausmann Type Test to Detect the Presence of Influential Outliers

  • Catherine Dehon
  • Marjorie Gassner
  • Vincenzo Verardi

In the presence of outliers in a dataset, a least squares estimation may not be the most adequate choice to get representative results. Indeed estimations could have been excessively infuenced even by a very limited number of atypical observations. In this article, we propose a new Hausman-type test to check for this. The test is based on the trade-off between robustness and effciency and allows to conclude if a least squares estimation is appropriate or if a robust method should be preferred. An economic example is provided to illustrate the usefulness of the test.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/54074/1/RePEc_eca_wpaper_2008_006.pdf
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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number 2008_006.

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Length: 26 p.
Date of creation: 2008
Date of revision:
Publication status: Published by:
Handle: RePEc:eca:wpaper:2008_006
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