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  • Search: subject:"Simulation envelope"
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EM-algorithm 1 Econometrics 1 Kalman filter 1 Monte-Carlo test 1 Score test 1 Simulation envelope 1 added variable 1 deletion methods 1 diagnostics 1 dynamic linear mode 1 fragility 1 outlier 1 shocks 1 structural change 1 structural time-series model 1 unobserved components models 1
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Atkinson, Anthony C. 1 Koopman, Siem Jan 1 Shephard, Neil 1
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Detecting shocks: outliers and breaks in time series
Atkinson, Anthony C.; Koopman, Siem Jan; Shephard, Neil - 1997
A single outlier in a regression model can be detected by the effect of its deletion on the residual sum of squares. An equivalent procedure is the simple intervention in which an extra parameter is added for the mean of the observation in question. Similarly, for unobserved components or...
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