缩尾处理可以用来检验稳健性吗(缩尾处理是对所有变量吗)

本期向大家推荐国际顶级会计期刊 The Accounting Review 最新接受发表的一篇论文，认为会计研究中常用的缩尾或截尾数据处理方法存在一定问题，由此导致估计和推断可能会存在偏差，并给出了有关建议。 具体如下：

PS: 歪果仁可真较真，欢迎大家留言评论！

Influential Observations and Inference in Accounting Research

Andrew J. Leone

University of Miami

Miguel Minutti-Meza

University of Miami

Charles E. Wasley

University of Rochester

The Accounting Review, Forthcoming

Accepted: 02.01, 2019; Received: December 16, 2015

Abstract

Accounting studies often encounter observations with extreme values that can influence coefficient estimates and inferences. Two widely used approaches to address influential observations in accounting studies are winsorization and truncation. While expedient, both depend on researcher-selected cutoffs, applied on a variable-by-variable basis, which unfortunately can alter legitimate data points. We compare the efficacy of winsorization, truncation, influence diagnostics (Cook's distance) and robust regression at identifying influential observations. Replication of three published accounting studies shows that the choice impacts estimates and inferences.Simulation evidence shows that winsorization and truncation are ineffective at identifying influential observations. While influence diagnostics and robust regression both outperform winsorization and truncation, overall, robust regression outperforms the other methods. Since robust regression is a theoretically appealing and easily implementable approach based on a model's residuals, we recommend that future accounting studies consider using robust regression, or at least report sensitivity tests using robust regression.

Keywords: robust regression, influential observations, extreme observations, inference problems, winsorization, truncation

Article Citation:

Andrew J. Leone, Miguel Minutti-Meza, and Charles E. Wasley(2019) Influential Observations and Inference in Accounting Research. The Accounting Review In-Press.

https://doi.org/10.2308/accr-52396

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