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Extending the Hausman Test to Check for the Presence of Outliers

In: Essays in Honor of Jerry Hausman

Author

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  • Catherine Dehon
  • Marjorie Gassner
  • Vincenzo Verardi

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.

Suggested Citation

  • Catherine Dehon & Marjorie Gassner & Vincenzo Verardi, 2012. "Extending the Hausman Test to Check for the Presence of Outliers," Advances in Econometrics, in: Essays in Honor of Jerry Hausman, pages 435-453, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-9053(2012)0000029019
    DOI: 10.1108/S0731-9053(2012)0000029019
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    Cited by:

    1. Jiao, Xiyu & Pretis, Felix & Schwarz, Moritz, 2024. "Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change," Journal of Econometrics, Elsevier, vol. 239(1).
    2. Durand-Lasserve, Olivier & Karanfil, Fatih, 2023. "Fiscal policy in oil and gas-exporting economies: Good times, bad times and ugly times," Energy Economics, Elsevier, vol. 126(C).

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