Detection of outliers in panel data of intervention effects model based on variance of remainder disturbance

DOI10.1155/2015/902602MaRDI QIDQ1666883zbMATH OpenOpenAlexWikidataFDO

Authors Yanfang Lyu

Publication date 27 August 2018

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2015/902602

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Summary: The presence of outliers can result in seriously biased parameter estimates. In order to detect outliers in panel data models, this paper presents a modeling method to assess the intervention effects based on the variance of remainder disturbance using an arbitrary strictly positive twice continuously differentiable function. This paper also provides a Lagrange Multiplier (LM) approach to detect and identify a general type of outlier. Furthermore, fixed effects models and random effects models are discussed to identify outliers and the corresponding LM test statistics are given. The LM test statistics for an individual-based model to detect outliers are given as a particular case. Finally, this paper performs an application using panel data and explains the advantages of the proposed method.

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Cited in

(2)

• Detecting and identifying interventions with the Whittle spectral approach in a long memory panel data model
• Testing equality of the regression coefficients in panel data models

Describes a project that uses

Uses Software

• Stata
• rreg

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