The impact of outliers on transitory and permanent components in macroeconomic time series

In this paper we investigate the effect of the outliers on the decomposition of Nelson-Plosser macroeconomic data set into permanent and transitory components from structural time series models. We show that the outliers can disturb the unobserved-components decomposition, especially the variance of trend and cycle innovations, sometimes dramatically.

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Year of publication:	2008
Authors:	Darne, Olivier ; Charles, Amélie
Institutions:	HAL

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00765362 Published, Economics Bulletin, 2008, 3, 60, 1-9
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010898931