Extending the Hausman Test to Check for the Presence of Outliers

Catherine Dehon, Marjorie Gassner and Vincenzo Verardi

A chapter in Essays in Honor of Jerry Hausman, 2012, pp 435-453 from Emerald Group Publishing Limited

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.

Keywords: S-estimators; MM-estimators; outliers; linear regression; generalized method of moments; robustness (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2012)0000029019

DOI: 10.1108/S0731-9053(2012)0000029019

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