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Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series

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Author Info
Balke, Nathan S
Fomby, Thomas B

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Abstract

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.

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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
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Handle: RePEc:jae:japmet:v:9:y:1994:i:2:p:181-200

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  1. 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!]
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  2. 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!]
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  3. 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)
  4. 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!]
  5. 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)
  6. 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!]
  7. Prasad Bidarkota & Khurshid M. Kiani, 2003. "On Business Cycle Asymmetries in G7 Countries," Working Papers 0308, Florida International University, Department of Economics. [Downloadable!]
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  8. 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!]
  9. Cizek, Pavel, 2006. "Efficient robust estimation of regression models," Discussion Paper 8, Tilburg University, Center for Economic Research.
  10. 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!]
  11. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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