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Extending the Hausman Test to Check for the presence of Outliers

  • Catherine Dehon
  • Marjorie Gassner
  • Vincenzo Verardi

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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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
Contact details of provider: Postal: Av. F.D., Roosevelt, 39, 1050 Bruxelles
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Fax: (32 2) 650 44 75
Web page: http://difusion.ulb.ac.be

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