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Seasonal Outliers in Time Series

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Author Info

  • Regina Kaiser
  • Agustín Maravall

Abstract

In the analysis of time series, it is frequent to classify perturbations as Additive Outliers (AO), Innovative Outliers (IO), Level Shift (LS) outliers or Transitory Change (TC) outliers. In this paper, a new outlier type, the Seasonal Level Shift (SLS), is introduced in order to complete the usual classification.

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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9915.

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Length: 34 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:bde:wpaper:9915

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Related research

Keywords: ECONOMETRICS ; TIME SERIES ; MATHEMATICAL ANALYSIS;

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Cited by:
  1. Regina Kaiser & Agustín Maravall, 2000. "An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series," Banco de Espa�a Working Papers 0011, Banco de Espa�a.
  2. Bernardí Cabrer Borrás & David Iranzo Pérez, 2007. "El Efecto De Los Atentados Del 11-s Sobre El Turismo En España," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 25, pages 365-386, Abril.
  3. Luciana Crosilla, 2006. "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers 68, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).

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