Extending the Hausman Test to Check for the presence of Outliers
| Autor: | Dehon, Catherine, Gassner, Marjorie, Verardi, Vincenzo |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2011 |
| Předmět: |
Generalized Method of Moments
Cross-Sectional Models Spatial Models Treatment Effect Models [Single Equation Models Single Variables] Hypothesis Testing Structure Scope and Performance of Government S-estimators ComputingMethodologies_PATTERNRECOGNITION MM-estimators Economie Outliers H11 Linear regression Robustness C21 C12 |
| Zdroj: | ECARES Working Papers; ECARES 2011-036 |
| Popis: | 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. info:eu-repo/semantics/published |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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