Extending the Hausman Test to Check for the presence of Outliers
Catherine Dehon (),
Marjorie Gassner and
Working Papers ECARES from ULB -- Universite Libre de Bruxelles
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 e¢ cient but a¤ected 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)
JEL-codes: C12 C21 H11 (search for similar items in EconPapers)
Pages: 16 p.
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Working Paper: Extending the Hausman Test to Check for the presence of Outliers (2012)
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