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Extending the Hausman Test to Check for the presence of Outliers

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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 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.
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Suggested Citation

  • Catherine Dehon & Marjorie Gassner & Vincenzo Verardi, 2012. "Extending the Hausman Test to Check for the presence of Outliers," ULB Institutional Repository 2013/276923, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/276923
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Catherine Dehon & Marjorie Gassner & Vincenzo Verardi, 2008. "A New Hausmann Type Test to Detect the Presence of Influential Outliers," Working Papers ECARES 2008_006, ULB -- Universite Libre de Bruxelles.
    3. Christophe Croux & Geert Dhaene & Dirk Hoorelbeke, 2003. "Robust Standard Errors for Robust Estimators," Working Papers of Department of Economics, Leuven ces0316, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
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    2. 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).
    3. Robert L Cohen & John Murray & Susan Jack & Sharon Arscott-Mills & Vincenzo Verardi, 2017. "Impact of multisectoral health determinants on child mortality 1980–2010: An analysis by country baseline mortality," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-16, December.
    4. 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).
    5. A. García-Pérez, 2014. "The p value line: a way to choose the tuning constant in tests based on the Huber $${\varvec{M}}$$ M -estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(3), pages 536-555, September.
    6. Marco Riani & Andrea Cerioli & Francesca Torti, 2014. "On consistency factors and efficiency of robust S-estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 356-387, June.

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    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • H11 - Public Economics - - Structure and Scope of Government - - - Structure and Scope of Government

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