Balke, Nathan S; Fomby, Thomas B - In: Journal of Applied Econometrics 9 (1994) 2, pp. 181-200
We analyse fifteen post-World War II US macroeconomic time series using a modified outlier identification procedure based on Tsay (1988a). "Large shocks" appear to be present in all the series we examined. Furthermore, there are three basic outlier patterns: (1) outliers seem to be associated...