View source: R/gets-isat-outlier-distortion-source.R
distorttest | R Documentation |
Implements the Jiao-Pretis-Schwarz test for coefficient distortion due to outliers by comparing coefficient estimates obtained using OLS to estimates obtained using the robust IIS estimator implemented using isat
. See the referenced Jiao-Pretis-Schwarz Paper below for more information.
distorttest(x, coef = "all")
x |
object of class |
coef |
Either "all" (Default) to test the distortion on all coefficients or a character vector of explanatory variable names. |
Object of class isat
Xiyu Jiao https://sites.google.com/view/xiyujiao
Felix Pretis http://www.felixpretis.org
Moritz Schwarz https://moritzschwarz.org
Xiyu Jiao, Felix Pretis,and Moritz Schwarz. Testing for Coefficient Distortion due to Outliers with an Application to the Economic Impacts of Climate Change. Available at SSRN: https://www.ssrn.com/abstract=3915040 or doi: 10.2139/ssrn.3915040
isat, distorttestboot
## Not run: data(Nile) nile <- isat(Nile, sis=FALSE, iis=TRUE, plot=TRUE, t.pval=0.01) distorttest(nile) data("hpdata") # Another example with co-variates dat <- hpdata[,c("GD", "GNPQ", "FSDJ")] Y <- ts(dat$GD,start = 1959, frequency = 4) mxreg <- ts(dat[,c("GNPQ","FSDJ")],start = 1959, frequency = 4) m1 <- isat(y = Y, mc = TRUE, sis = FALSE, iis = TRUE) m2 <- isat(y = Y, mc = TRUE, sis = FALSE, iis = TRUE, ar = 1) m3 <- isat(y = Y, mxreg = mxreg, mc = TRUE, sis = FALSE, iis = TRUE) m4 <- isat(y = Y, mxreg = mxreg, mc = TRUE, sis = FALSE, iis = TRUE, ar = 1, t.pval = 0.01) distorttest(m1, coef = "all") distorttest(m2, coef = "all") distorttest(m3, coef = "GNPQ") distorttest(m4, coef = c("ar1", "FSDJ")) ## End(Not run)
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