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A New Hausmann Type Test to Detect the Presence of Influential Outliers

Catherine Dehon (), Marjorie Gassner and Vincenzo Verardi

No 2008_006, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: In the presence of outliers in a dataset, a least squares estimation may not be the most adequate choice to get representative results. Indeed estimations could have been excessively infuenced even by a very limited number of atypical observations. In this article, we propose a new Hausman-type test to check for this. The test is based on the trade-off between robustness and effciency and allows to conclude if a least squares estimation is appropriate or if a robust method should be preferred. An economic example is provided to illustrate the usefulness of the test.

Keywords: Effciency; Hausman Test; Linear Regression; Outliers; Robustness; S-estimator (search for similar items in EconPapers)
JEL-codes: C12 C13 (search for similar items in EconPapers)
Pages: 26 p.
Date: 2008
New Economics Papers: this item is included in nep-ecm
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