The robustness of tests of outliers and functional form
作者:
Michael Mcaleer,
Y. K. Tse,
期刊:
Journal of Applied Statistics
(Taylor Available online 1992)
卷期:
Volume 19,
issue 4
页码: 427-436
ISSN:0266-4763
年代: 1992
DOI:10.1080/02664769200000038
出版商: Carfax Publishing Company
数据来源: Taylor
摘要:
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.
点击下载:
PDF (484KB)
返 回