Missing Observations and Additive Outliers in Time Series Models.

The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is analogous to the removal of an outlier effect; both problems are closely related with the signal plus noise decomposition of the series.

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Year of publication:	1996
Authors:	Maravall, Agustín ; Peña, Daniel
Institutions:	Banco de España
Subject:	TIME SERIES \| EVALUATION \| ECONOMETRICS

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Series:	Banco de España Working Papers.
Type of publication:	Book / Working Paper
Notes:	48 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005022239