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.

MoreLess

Year of publication:	2008-09-19
Authors:	Darné, Olivier ; Charles, Amélie
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2008, 60, p. 1-9
Publisher:	AccessEcon

More details

Extent:	application/pdf
Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010630332