Normality testing after outlier removal

Econometrics and Statistics(2023)

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摘要
The cumulant based normality test after outlier removal is analyzed. It is shown that the standard least squares normalizations can be misleading in this context. The sample cumulants should be standardized according to the truncation imposed at the removal stage and the estimation method being used. New standardizations that lead to chi-squared inference are derived.
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关键词
Least Trimmed Squares Estimator,Robustified Least Squares Estimator,Truncated normality,Misspecification testing,Asymptotic theory
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