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Re: st: xtreg check for outliers


From   David Hoaglin <dchoaglin@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtreg check for outliers
Date   Wed, 8 Aug 2012 08:37:05 -0400

Dalhia,

In multiple regression, "outliers" can take a variety of forms.

An observation may have an unusual combination of values of the
predictor variables.  Such points are influential.  If the model fits
well there, the corresponding value of y may not be an outlier.
Cook's distance, DFFITS, and DFBETAS help to diagnose various aspects
of influence.

Studentized residuals can show whether the model fits poorly at an
individual observation (in effect, whether that value of y is an
outlier, relative to the model).

The variety of possibilities can make diagnosis of "outliers" challenging.

David Hoaglin

On Wed, Aug 8, 2012 at 7:03 AM, Dalhia <ggs_da@yahoo.com> wrote:
> Hello,
>
> How do I check for outliers when using xtreg, fe? One
> solution I thought of was to demean each variable for each panel, and
> then rerun using regress, and then use the cook's d, dfits, avplot etc.
> to identify outliers. Is this a reasonable solution? Is there a
> different/better way to do this?
>
> Thanks
> Dalhia
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