On the Robustness of Tests of Outliers and Functional Form
The purpose of this paper is to examine the robustness in finite samples of a test for outliers based on the maximum internally studentized residual and the RESET test for functional form misspecification. The effects of incorrect specification on the adequate detection of outliers and the presence...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1992
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/256 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |
| id |
sg-smu-ink.soe_research-1255 |
|---|---|
| record_format |
dspace |
| spelling |
sg-smu-ink.soe_research-12552010-09-23T05:48:03Z On the Robustness of Tests of Outliers and Functional Form McAleer, Michael TSE, Yiu Kuen The purpose of this paper is to examine the robustness in finite samples of a test for outliers based on the maximum internally studentized residual and the RESET test for functional form misspecification. The effects of incorrect specification on the adequate detection of outliers and the presence of one or more outliers on the rejection frequencies of RESET are analysed. It is found that, ingeneral, the test for outliers does not seem to be robust to functional form misspecification, while the rejection frequencies of RESET can be reduced, sometimes dramatically, in the presence of outliers. 1992-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/256 info:doi/10.1080/02664769200000038 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics |
| institution |
Singapore Management University |
| building |
SMU Libraries |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Economics |
| spellingShingle |
Economics McAleer, Michael TSE, Yiu Kuen On the Robustness of Tests of Outliers and Functional Form |
| description |
The purpose of this paper is to examine the robustness in finite samples of a test for outliers based on the maximum internally studentized residual and the RESET test for functional form misspecification. The effects of incorrect specification on the adequate detection of outliers and the presence of one or more outliers on the rejection frequencies of RESET are analysed. It is found that, ingeneral, the test for outliers does not seem to be robust to functional form misspecification, while the rejection frequencies of RESET can be reduced, sometimes dramatically, in the presence of outliers. |
| format |
text |
| author |
McAleer, Michael TSE, Yiu Kuen |
| author_facet |
McAleer, Michael TSE, Yiu Kuen |
| author_sort |
McAleer, Michael |
| title |
On the Robustness of Tests of Outliers and Functional Form |
| title_short |
On the Robustness of Tests of Outliers and Functional Form |
| title_full |
On the Robustness of Tests of Outliers and Functional Form |
| title_fullStr |
On the Robustness of Tests of Outliers and Functional Form |
| title_full_unstemmed |
On the Robustness of Tests of Outliers and Functional Form |
| title_sort |
on the robustness of tests of outliers and functional form |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1992 |
| url |
https://ink.library.smu.edu.sg/soe_research/256 |
| _version_ |
1770569088090767360 |