Deletion Diagnostics and Transformations for Time Series

Deletion diagnostics are developed for structural time series models. These show the effect of the deletion of individual observations on residuals and on the estimates of regression parameters. The methods are extended to the transformation of time series through regression on a constructed variable. Index plots of the diagnostic quantities are shown to be highly informative.

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Year of publication:	1992
Authors:	Atkinson, A.C. ; Shephard, N.G.
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	Deletion diagnostics \| structural time series models \| regression parameters \| index plots

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Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010720249