Detection of Outliers in Panel Data of Intervention Effects Model Based on Variance of Remainder Disturbance

Yanfang Lyu

Mathematical Problems in Engineering, 2015, vol. 2015, 1-12

Abstract:

The presence of outliers can result in seriously biased parameter estimates. In order to detect outliers in panel data models, this paper presents a modeling method to assess the intervention effects based on the variance of remainder disturbance using an arbitrary strictly positive twice continuously differentiable function. This paper also provides a Lagrange Multiplier (LM) approach to detect and identify a general type of outlier. Furthermore, fixed effects models and random effects models are discussed to identify outliers and the corresponding LM test statistics are given. The LM test statistics for an individual-based model to detect outliers are given as a particular case. Finally, this paper performs an application using panel data and explains the advantages of the proposed method.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:902602

DOI: 10.1155/2015/902602

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