Jiao-Pretis-Schwarz Outlier Distortion Test

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.

Usage

distorttest(x, coef = "all")

Arguments

x: object of class isat
coef: Either "all" (Default) to test the distortion on all coefficients or a character vector of explanatory variable names.

Value

Object of class isat

References

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

Author

Xiyu Jiao https://sites.google.com/view/xiyujiao

Felix Pretis http://www.felixpretis.org

Moritz Schwarz https://moritzschwarz.org

Examples

if (FALSE) { # \dontrun{  
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"))
 } # }