Extending the Hausman Test to Check for the Presence of Outliers

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.

Citation

Dehon, C., Gassner, M. and Verardi, V. (2012), "Extending the Hausman Test to Check for the Presence of Outliers", Baltagi, B.H., Carter Hill, R., Newey, W.K. and White, H.L. (Ed.) Essays in Honor of Jerry Hausman (Advances in Econometrics, Vol. 29), Emerald Group Publishing Limited, Leeds, pp. 435-453. https://doi.org/10.1108/S0731-9053(2012)0000029019