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Publication date: 19 December 2012
Catherine Dehon, Marjorie Gassner and Vincenzo Verardi
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…
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.
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Essays in Honor of Jerry Hausman
Type: Book
ISBN: 978-1-78190-308-7
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