This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series Author info | Abstract | Publisher info | Download info | Related research | Statistics Balke, Nathan S
Fomby, Thomas B
Additional information is available for the following
registered author(s):
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 with business cycles, (2) outliers are clustered together--both over time and across series, (3) there appears to be a dichotomy between outlier behaviour of real versus nominal series. Also, after controlling for outliers, much of the evidence of non-linearity in many of the time series is eliminated. Copyright 1994 by John Wiley & Sons, Ltd.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics .
Volume (Year): 9 (1994)
Issue (Month): 2 (April-June)
Pages: 181-200
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Handle: RePEc:jae:japmet:v:9:y:1994:i:2:p:181-200Contact details of provider: Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Order Information: Email: Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Other versions of this item:
Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)Skalin, Joakim & Teräsvirta, Timo, 1996.
"Another Look at Swedish Business Cycles, 1861-1988 ,"
Working Paper Series in Economics and Finance
130, Stockholm School of Economics.
[Downloadable!]
Other versions:
J. Skalin & T. Ter"Asvirta, .
"Another Look at Swedish Business Cycles, 1861-1988 ,"
Sonderforschungsbereich 373
1996-96, Humboldt Universitaet Berlin.
Skalin, Joakim & Terasvirta, Timo, 1999.
"Another Look at Swedish Business Cycles, 1861-1988 ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 14(4), pages 359-78, July-Aug..
[Downloadable!] Dijk, Dick van & Franses, Philip Hans & Lucas, Andr•, 1996.
"Testing for smooth transition nonlinearity in the presence of outliers ,"
Econometric Institute Report
56, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Other versions: Prasad Bidarkota, 1999.
"Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 3(4), pages 191-200.
[Downloadable!] (restricted)
João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006.
"Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital ,"
Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting]
10, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
[Downloadable!]
A. Espasa & E. Senra & R. Albacete, 2002.
"Forecasting inflation in the European Monetary Union: A disaggregated approach by countries and by sectors ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 8(4), pages 402-421, December.
[Downloadable!] (restricted)
Ester Ruiz & Fernando Lorenzo, 1998.
"The relation between the level and uncertainty of inflation ,"
Documentos de Trabajo (working papers)
0698, Department of Economics - dECON.
[Downloadable!]
Prasad Bidarkota & Khurshid M. Kiani, 2003.
"On Business Cycle Asymmetries in G7 Countries ,"
Working Papers
0308, Florida International University, Department of Economics.
[Downloadable!]
Other versions: M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001.
"Outliers And Conditional Autoregressive Heteroscedasticity In Time Series ,"
Statistics and Econometrics Working Papers
ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
[Downloadable!]
Cizek, Pavel, 2006.
"Efficient robust estimation of regression models ,"
Discussion Paper
8, Tilburg University, Center for Economic Research.
Olivier Darné & Jean-François Hoarau, 2006.
"Testing the purchasing power parity in China ,"
EconomiX Working Papers
2006-18, University of Paris West - Nanterre la Défense, EconomiX.
[Downloadable!]
Pavel Cizek & Wolfgang Härdle, 2006.
"Robust Econometrics ,"
SFB 649 Discussion Papers
SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Access and
download statistics Did you know? RePEc and its associated services are free for contributors and users, and do not accept any advertising.
This page was last updated on 2008-8-5.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .