IDEAS home Printed from https://ideas.repec.org/a/taf/japsta/v42y2015i8p1617-1634.html
   My bibliography  Save this article

An outlier-resistant test for heteroscedasticity in linear models

Author

Listed:
  • Ekele Alih
  • Hong Choon Ong

Abstract

The presence of contamination often called outlier is a very common attribute in data. Among other causes, outliers in a homoscedastic model make the model heteroscedastic. Moreover, outliers distort diagnostic tools for heteroscedasticity such that it may not be correctly identified. In this article, we show how outliers affect heteroscedasticity diagnostics. We then proposed a robust procedure for detecting heteroscedasticity in the presence of outliers by robustifying the non-robust component of the Goldfeld-Quandt (GQ) test. The performance of the proposed procedure is examined using simulation experiment and real data sets. The proposed procedure offers great improvement where the conventional GQ and other procedures fail.

Suggested Citation

  • Ekele Alih & Hong Choon Ong, 2015. "An outlier-resistant test for heteroscedasticity in linear models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(8), pages 1617-1634, August.
    • Handle: RePEc:taf:japsta:v:42:y:2015:i:8:p:1617-1634
    DOI: 10.1080/02664763.2015.1004623
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/02664763.2015.1004623
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/02664763.2015.1004623?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. A. H. M. Rahmatullah Imon, 2003. "Residuals from deletion in added variable plots," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(7), pages 827-841.
    2. Billor, Nedret & Hadi, Ali S. & Velleman, Paul F., 2000. "BACON: blocked adaptive computationally efficient outlier nominators," Computational Statistics & Data Analysis, Elsevier, vol. 34(3), pages 279-298, September.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    4. Hong Li & Wei Ning, 2012. "Multiple comparisons with a control under heteroscedasticity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(10), pages 2275-2283, June.
    5. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    6. Thursby, Jerry G, 1982. "Misspecification, Heteroscedasticity, and the Chow and Goldfeld-Quandt Tests," The Review of Economics and Statistics, MIT Press, vol. 64(2), pages 314-321, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Iryna Bashynska & Sabit Mukhamejanuly & Yuliia Malynovska & Maryana Bortnikova & Mariia Saiensus & Yuriy Malynovskyy, 2023. "Assessing the Outcomes of Digital Transformation Smartization Projects in Industrial Enterprises: A Model for Enabling Sustainability," Sustainability, MDPI, vol. 15(19), pages 1-46, September.
    2. Valéry Dongmo Jiongo, 2017. "The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Estimation of the Total Private Cost for Large Businesses," Technical Reports 110, Bank of Canada.
    3. Vanessa Berenguer Rico & Ines Wilms, 2018. "White heteroscedasticty testing after outlier removal," Economics Series Working Papers 853, University of Oxford, Department of Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ekele Alih & Hong Choon Ong, 2015. "Cluster-based multivariate outlier identification and re-weighted regression in linear models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 938-955, May.
    2. Jean-Paul Azam & Catherine Bonjean, 1995. "La formation du prix du riz : théorie et application au cas d'Antananarivo (Madagascar) ," Revue Économique, Programme National Persée, vol. 46(4), pages 1145-1166.
    3. Stern, David I. & Gerlagh, Reyer & Burke, Paul J., 2017. "Modeling the emissions–income relationship using long-run growth rates," Environment and Development Economics, Cambridge University Press, vol. 22(6), pages 699-724, December.
    4. Tsimpanos, Apostolos & Tsimbos, Cleon & Kalogirou, Stamatis, 2018. "Assessing spatial variation and heterogeneity of fertility in Greece at local authority level," MPRA Paper 100406, University Library of Munich, Germany.
    5. Caldara, Dario & Iacoviello, Matteo & Molligo, Patrick & Prestipino, Andrea & Raffo, Andrea, 2020. "The economic effects of trade policy uncertainty," Journal of Monetary Economics, Elsevier, vol. 109(C), pages 38-59.
    6. Marijke Verpoorten & Lode Berlage, 2004. "Genocide and land scarcity: Can Rwandan rural households manage?," CSAE Working Paper Series 2004-15, Centre for the Study of African Economies, University of Oxford.
    7. Machado, Jose A. F. & Silva, J. M. C. Santos, 2000. "Glejser's test revisited," Journal of Econometrics, Elsevier, vol. 97(1), pages 189-202, July.
    8. Katarzyna Jabłońska, 2018. "Dealing With Heteroskedasticity Within The Modeling Of The Quality Of Life Of Older People," Statistics in Transition New Series, Polish Statistical Association, vol. 19(3), pages 423-452, September.
    9. Michael O'Connor Keefe & David Gallagher, 2014. "Does the effect of revealed private information on initial public offering (IPO) first trading day return differ by IPO market heat?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(3), pages 921-964, September.
    10. Guilhem Bascle, 2008. "Controlling for endogeneity with instrumental variables in strategic management research," Post-Print hal-00576795, HAL.
    11. Richard H. Spady & Sami Stouli, 2018. "Simultaneous Mean-Variance Regression," Bristol Economics Discussion Papers 18/697, School of Economics, University of Bristol, UK.
    12. Russell, Bill & Chowdhury, Rosen Azad, 2013. "Estimating United States Phillips curves with expectations consistent with the statistical process of inflation," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 24-38.
    13. Olivier Damette & Philippe Delacote, 2009. "The environmental resource curse hypothesis : the forest case [L'hypothèse de malédiction environnemental des ressources : le cas des forêts]," Working Papers hal-01189378, HAL.
    14. Joachim Zietz, 2006. "Detecting neglected parameter heterogeneity with Chow tests," Applied Economics Letters, Taylor & Francis Journals, vol. 13(6), pages 369-374.
    15. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2003. "Instrumental variables and GMM: Estimation and testing," Stata Journal, StataCorp LP, vol. 3(1), pages 1-31, March.
    16. Pedro Delicado & Juan Romo, 1998. "Constant coefficient tests for random coefficient regression," Economics Working Papers 329, Department of Economics and Business, Universitat Pompeu Fabra.
    17. Russell Davidson & Victoria Zinde‐Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(5), pages 1595-1631, December.
    18. Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
    19. Kendix, Michael & Walls, W.D., 2010. "Oil industry consolidation and refined product prices: Evidence from US wholesale gasoline terminals," Energy Policy, Elsevier, vol. 38(7), pages 3498-3507, July.
    20. Christopher F Baum & Arthur Lewbel, 2019. "Advice on using heteroskedasticity-based identification," Stata Journal, StataCorp LP, vol. 19(4), pages 757-767, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:42:y:2015:i:8:p:1617-1634. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.