Valid Inference Corrected for Outlier Removal

29 Nov 2017Shuxiao ChenJacob Bien

Ordinary least square (OLS) estimation of a linear regression model is well-known to be highly sensitive to outliers. It is common practice to (1) identify and remove outliers by looking at the data and (2) to fit OLS and form confidence intervals and p-values on the remaining data as if this were the original data collected... (read more)

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