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DOI	10.1016/j.jeconom.2023.105547
	Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change*
	Jiao, Xiyu; Pretis, Felix; Schwarz, Moritz
发表日期	2024
ISSN	0304-4076
EISSN	1872-6895
起始页码	239
结束页码	1
卷号	239 期号:1
英文摘要	Outlying observations can bias regression estimates, requiring the use of outlier-robust estimators. Comparing robust estimates to those obtained using ordinary least squares (OLS) is a common robustness check, however, such comparisons have been mostly informal due to the lack of available tests. Here we introduce a formal test for coefficient distortion due to outliers in regression models. Our proposed test is based on the difference between OLS and robust estimates obtained using a class of Huber-skip M-type estimators (such as Impulse Indicator Saturation or Robustified Least Squares). We show that our distortion test has an asymptotic chi-squared distribution by establishing the asymptotics of the corresponding Huber-skip M-estimators using an empirical process Central Limit Theorem recently developed in the literature. The test is valid for cross-sectional, as well as panel, and stationary or deterministically-trending time series models. To improve finite sample performance and to alleviate concerns on distributional assumptions, we explore several bootstrap testing schemes. We apply our outlier distortion test to estimates of the macro-economic impacts of climate change allowing for adaptation.
英文关键词	Outlier robustness; Robust estimation; Iterated 1-step Huber -skip M -estimator; Indicator saturation; Climate econometrics; Climate change; Adaptation
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:001198741600001
来源期刊	JOURNAL OF ECONOMETRICS
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/308919
作者单位	University of Gothenburg; University of Victoria; University of Oxford; University of Oxford; Technical University of Berlin
推荐引用方式 GB/T 7714	Jiao, Xiyu,Pretis, Felix,Schwarz, Moritz. Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change*[J],2024,239(1).
APA	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,239(1).
MLA	Jiao, Xiyu,et al."Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change*".JOURNAL OF ECONOMETRICS 239.1(2024).