TESTOUT: Stata module to execute diagnostic testing of outliers

Yuya Sasaki and Yulong Wang

Statistical Software Components from Boston College Department of Economics

Abstract: The testout command executes diagnostic testing of outliers by statistical tests of the bounded first- and second-moment conditions for consistency and root-n asymptotic normality based on Sasaki & Wang (JBES, 2021). The command takes as input a scalar dependent variable y and a list of independent variables x1, x2, ... An iv is an option, and x1 is treated as an endogenous variable if the option iv is invoked. The output of the command includes the p-values of the tests and the indicators of whether the tests reject the null hypotheses at the significance level alpha. If the test rejects the null hypothesis of the bounded first-moment condition for consistency, then the point estimates of reg (or ivreg when the option iv is invoked) are unreliable. If the test rejects the null hypothesis of the bounded second-moment condition for root-n asymptotic normality, then the standard errors of reg (or ivreg when the option iv is invoked) are unreliable.

Language: Stata
Requires: Stata version 14.2
Keywords: outliers; moment conditions; asymptotic normality (search for similar items in EconPapers)
Date: 2022-01-07, Revised 2022-06-10
Note: This module should be installed from within Stata by typing "ssc install testout". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/t/testout.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/testout.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tip_washington.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/t/tipFile-URL:htt ... bocode/_/chicago.dta sample data file (application/x-stata)
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