Detecting outliers and influential observations with heteroscedasticity-corrected models

David Martin and Vikram Kumar

Applied Economics Letters, 2005, vol. 12, issue 12, 745-748

Abstract: Heteroscedasticity-correction masks signals from standardized residuals, so analysts should examine the residuals to identify outliers and should use likelihood dispersion to identify influential observations. These points are demonstrated with a model that examines the effect of exchange rate volatility on intra-industry trade.

Date: 2005
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DOI: 10.1080/13504850500192994

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