Missing Observations and Additive Outliers in Time Series Models
AbstractThe paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is analogous to the removal of an outlier effect; both problems are closely related with the signal plus noise decomposition of the series.
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9612.
Length: 48 pages
Date of creation: 1996
Date of revision:
TIME SERIES; EVALUATION; ECONOMETRICS;
Other versions of this item:
- Maravall, Agustín & Peña, Daniel, . "Missing observations and additive outliers in time series models," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/2888, Universidad Carlos III de Madrid.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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.:
- Maravall, Agustin, 1987. "Minimum Mean Squared Error Estimation of the Noise in Unobserved Component Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 115-20, January.
- Pena, Daniel, 1990. "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 235-41, April.
- Gomez, Victor & Maravall, Agustin & Pena, Daniel, 1998. "Missing observations in ARIMA models: Skipping approach versus additive outlier approach," Journal of Econometrics, Elsevier, vol. 88(2), pages 341-363, November.
- Pedro Delicado & Ana Justel, 1997. "Forecasting with missing data: Application to a real case," Economics Working Papers 213, Department of Economics and Business, Universitat Pompeu Fabra.
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