Extending the Hausman test to check for the presence of outliers

Catherine Dehon; Marjorie Gassner; Vincenzo Verardi

Extending the Hausman test to check for the presence of outliers

Catherine Dehon, Marjorie Gassner, Vincenzo Verardi

Centre of Research in the Economics of Development

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Journal	Advances in Econometrics
Publication status	Published - 1 Jan 2012

Cite this

@article{b6e8bce94db74163977c07e2b570a562,

title = "Extending the Hausman test to check for the presence of outliers",

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.",

author = "Catherine Dehon and Marjorie Gassner and Vincenzo Verardi",

year = "2012",

month = jan,

day = "1",

language = "English",

journal = "Advances in Econometrics",

publisher = "JAI Press",

}

TY - JOUR

T1 - Extending the Hausman test to check for the presence of outliers

AU - Dehon, Catherine

AU - Gassner, Marjorie

AU - Verardi, Vincenzo

PY - 2012/1/1

Y1 - 2012/1/1

N2 - 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.

AB - 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.

M3 - Article

JO - Advances in Econometrics

JF - Advances in Econometrics

ER -

Extending the Hausman test to check for the presence of outliers

Abstract

Fingerprint

Cite this