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.

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Year of publication:	2011-11
Authors:	Dehon, Catherine ; Verardi, Vincenzo ; Gassner, Marjorie
Institutions:	European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
Subject:	S-estimators \| MM-estimators \| Outliers \| Linear regression \| Generalized Method of Moments \| Robustness

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Extent:	application/pdf
Series:	Working Papers ECARES.
Type of publication:	Book / Working Paper
Notes:	Published by: The text is part of a series ECARES Working Papers Number ECARES 2011-036 16 pages long
Classification:	C12 - Hypothesis Testing ; C21 - Cross-Sectional Models; Spatial Models ; H11 - Structure, Scope, and Performance of Government
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009369456