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Extending the Hausman Test to Check for the presence of Outliers

Author

Listed:
  • 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 efficient but affected 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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Suggested Citation

  • Catherine Dehon & Marjorie Gassner & Vincenzo Verardi, 2012. "Extending the Hausman Test to Check for the presence of Outliers," ULB Institutional Repository 2013/276923, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/276923
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    Cited by:

    1. Robert L Cohen & John Murray & Susan Jack & Sharon Arscott-Mills & Vincenzo Verardi, 2017. "Impact of multisectoral health determinants on child mortality 1980–2010: An analysis by country baseline mortality," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-16, December.
    2. Gani Aldashev & François Libois & Joaquín Morales Belpaire & Astrid Similon, 2014. "Encouraging Private Ownership of Public Goods: Theory and Evidence from Belgium," Working Papers 1408, University of Namur, Department of Economics.
    3. Durand-Lasserve, Olivier & Karanfil, Fatih, 2023. "Fiscal policy in oil and gas-exporting economies: Good times, bad times and ugly times," Energy Economics, Elsevier, vol. 126(C).
    4. A. García-Pérez, 2014. "The p value line: a way to choose the tuning constant in tests based on the Huber $${\varvec{M}}$$ M -estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(3), pages 536-555, September.
    5. Jiao, Xiyu & Pretis, Felix & Schwarz, Moritz, 2024. "Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change," Journal of Econometrics, Elsevier, vol. 239(1).
    6. Marco Riani & Andrea Cerioli & Francesca Torti, 2014. "On consistency factors and efficiency of robust S-estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 356-387, June.

    More about this item

    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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