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TESTOUT: Stata module to execute diagnostic testing of outliers

Author

Listed:
  • Yuya Sasaki

    (Department of Economics, Vanderbilt University)

  • Yulong Wang

    (Syracuse University)

Programming Language

Stata

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.

Suggested Citation

  • Yuya Sasaki & Yulong Wang, 2022. "TESTOUT: Stata module to execute diagnostic testing of outliers," Statistical Software Components S459036, Boston College Department of Economics, revised 10 Jun 2022.
    • Handle: RePEc:boc:bocode:s459036
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/t/testout.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/testout.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tip_washington.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tip_chicago.dta
    File Function: sample data file
    Download Restriction: no
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