Extending the Hausman Test to Check for the Presence of Outliers

DOI10.1108/S0731-9053(2012)0000029019zbMath1452.62384MaRDI QIDQ5133590

Catherine Dehon, Vincenzo Verardi, Marjorie Gassner

Publication date: 10 November 2020

Published in: Essays in Honor of Jerry Hausman (Search for Journal in Brave)

zbMATH Keywords

outliersrobustnessgeneralized method of momentslinear regressionS-estimatorsMM-estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (2)

Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change ⋮ The \(p\) value line: a way to choose the tuning constant in tests based on the Huber M-estimator

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