Title

On the Robustness of Tests of Outliers and Functional Form

Publication Type

Journal Article

Publication Date

1992

Abstract

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.

Discipline

Economics

Research Areas

Econometrics

Publication

Journal of Applied Statistics

Volume

19

Issue

4

First Page

427

Last Page

436

ISSN

0266-4763

Identifier

10.1080/02664769200000038

Publisher

Taylor and Francis

Additional URL

http://dx.doi.org/10.1080/02664769200000038

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