distorttest function

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.

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.

Returns

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 tools:::Rd_expr_doi("10.2139/ssrn.3915040")

Author(s)

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

Felix Pretis https://felixpretis.climateeconometrics.org/

Moritz Schwarz https://moritzschwarz.org

See Also

isat, distorttestboot

Examples

## 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)