A Note on Maximum Likelihood Ratio Test of No Outliers in Regression Models

Abstract

AbstractA derivation of the maximum likelihood ratio test for testing no outliers in regression models is given using the method of WETHERILL (1981, pp. 106–107) for estimating the regression parameters. This method is essentially similar to the one outlined in BARNETT and LEWIS (1978, p. 263), although by our detailed derivation it is easier to see that the maximum likelihood estimate of θ of model (3) under the hypothesis that the ith observation in an outlier is the same as that obtained from model (1) when the ith observation is removed.