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 efficient but affected by them. Some simulations are presented to illustrate the good behavior of the test for both its size and its power.

MoreLess

Year of publication:	2012
Authors:	Dehon, Catherine ; Gassner, Marjorie ; Verardi, Vincenzo
Published in:	Essays in honor of Jerry Hausman. - Bingley, U.K. : Emerald, ISBN 978-1-78190-307-0. - 2012, p. 435-453

More details
Report error

Type of publication:	Article
Language:	English
Other identifiers:	10.1108/S0731-9053(2012)0000029019 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10015378518