Extending the Hausman Test to Check for the presence of Outliers
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.
|Date of creation:||Nov 2011|
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- Christophe Croux & Geert Dhaene & Dirk Hoorelbeke, 2003. "Robust Standard Errors for Robust Estimators," Working Papers Department of Economics ces0316, KU Leuven, Faculty of Economics and Business, Department of Economics.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, 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.
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