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Detecting shocks: Outliers and breaks in time series

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  • Atkinson, A. C.
  • Koopman, S. J.
  • Shephard, N.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3SX1M2Y-C/2/f2d05e236f191007a31e4528f733dabb
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 80 (1997)
Issue (Month): 2 (October)
Pages: 387-422

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Handle: RePEc:eee:econom:v:80:y:1997:i:2:p:387-422

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Balke, Nathan S, 1993. "Detecting Level Shifts in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 81-92, January.
  2. Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-89, October.
  3. Shephard, Neil, 1993. "Distribution of the ML Estimator of an MA(1) and a local level model," Econometric Theory, Cambridge University Press, vol. 9(03), pages 377-401, June.
  4. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Wiley Blackwell, vol. 61(2), pages 247-64, April.
  5. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-77, Supplemen.
  6. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  7. H. Theil & S. Wage, 1964. "Some Observations on Adaptive Forecasting," Management Science, INFORMS, vol. 10(2), pages 198-206, January.
  8. Gersch, Will & Kitagawa, Genshiro, 1983. "The Prediction of Time Series with Trends and Seasonalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 253-64, July.
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Citations

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Cited by:
  1. Manuel Salvador & Pilar Gargallo, 2003. "Automatic selective intervention in dynamic linear models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1161-1184.
  2. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris West - Nanterre la Défense, EconomiX.
  3. Suncica Vujic & Jacques Commandeur & Siem Jan Koopman, 2012. "Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia," Tinbergen Institute Discussion Papers 12-007/4, Tinbergen Institute.
  4. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
  5. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Suncica Vujic & Siem Jan Koopman & Jacques J. F. Commandeur, 2012. "Economic Trends and Cycles in Crime: A Study for England and Wales," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(6), pages 652-677, November.
  7. Matteo M. Pelagatti, . "State Space Methods in Ox/SsfPack," Journal of Statistical Software, American Statistical Association, vol. 41(i03).
  8. Suncica Vujic & Jacques Commandeur & Siem Jan Koopman, 2012. "Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia," Tinbergen Institute Discussion Papers 12-007/4, Tinbergen Institute.
  9. Cizek, P., 2006. "Efficient Robust Estimation of Regression Models (Replaced by DP 2007-87)," Discussion Paper 2006-8, Tilburg University, Center for Economic Research.
  10. Ooms, M. & Franses, Ph.H.B.F., 1998. "A seasonal periodic long memory model for monthly river flows," Econometric Institute Research Papers EI 9842, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

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