Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series
AbstractWe 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.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 9 (1994)
Issue (Month): 2 (April-June)
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Other versions of this item:
- Nathan S. Balke & Thomas B. Fomby, 1991. "Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series," Research Paper 9101, Federal Reserve Bank of Dallas.
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