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Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series

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Nathan S. Balke
Thomas B. Fomby

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File URL: http://dallasfed.org/research/papers/1991/wp9101.pdf
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Paper provided by Federal Reserve Bank of Dallas in its series Research Paper with number 9101.

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Date of creation: 1991
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Handle: RePEc:fip:feddrp:9101

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Keywords: Macroeconomics ; Time-series analysis;

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References listed on IDEAS
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.:
  1. Oliver J. Blanchard & Mark W. Watson, 1986. "Are Business Cycles All Alike?," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 123-180 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:
  2. Hinich, Melvin J & Patterson, Douglas M, 1985. "Evidence of Nonlinearity in Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 69-77, January.
  3. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
    Other versions:
  4. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-77, Supplemen. [Downloadable!] (restricted)
  5. Benjamin M. Friedman & David I. Laibson, 1989. "Economic Implications of Extraordinary Movements in Stock Prices," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(1989-2), pages 137-190. [Downloadable!]
  6. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July. [Downloadable!] (restricted)
  7. Dynarski, Mark & Sheffrin, Steven, 1986. "Asymmetric fluctuations in consumption," Economics Letters, Elsevier, vol. 21(2), pages 117-120. [Downloadable!] (restricted)
  8. Nathan S. Balke, 1991. "Detecting level shifts in time series: misspecification and a proposed solution," Research Paper 9109, Federal Reserve Bank of Dallas. [Downloadable!]
  9. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 71-90, July. [Downloadable!] (restricted)
  10. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
  11. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)
  12. Sichel, Daniel E, 1989. "Are Business Cycles Asymmetric? A Correction," Journal of Political Economy, University of Chicago Press, vol. 97(5), pages 1255-60, October. [Downloadable!] (restricted)
  13. Balke, Nathan S. & Fomby, Thomas B., 1991. "Shifting trends, segmented trends, and infrequent permanent shocks," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 61-85, August. [Downloadable!] (restricted)
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(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.)

  1. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    Other versions:
  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!]
    Other versions:
  3. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502_v1, HAL. [Downloadable!]
  4. 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)
  5. WenShwo Fang & Stephen M. Miller, 2009. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working Papers 0904, University of Nevada, Las Vegas , Department of Economics. [Downloadable!]
    Other versions:
  6. 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:
  7. J. Skalin & T. Ter"Asvirta, . "Another Look at Swedish Business Cycles, 1861-1988," Sonderforschungsbereich 373 1996-96, Humboldt Universitaet Berlin.
    Other versions:
  8. 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!]
  9. PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," CORE Discussion Papers 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  10. Macdonald, Ryan, 2007. "Estimating TFP in the Presence of Outliers and Leverage Points: An Examination of the KLEMS Dataset," Economic Analysis (EA) Research Paper Series 2007047e, Statistics Canada, Analytical Studies Branch. [Downloadable!]
  11. PREMINGER, Arie & FRANCK, Raphael, 2005. "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers 2005025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Other versions:
  12. Zhiguang Wang & Prasad V. Bidarkota, 2008. "A Long-Run Risks Model of Asset Pricing with Fat Tails," Working Papers 0810, Florida International University, Department of Economics. [Downloadable!]
  13. 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!]
  14. Macdonald, Ryan, 2008. "An Examination of Public Capital's Role in Production," Economic Analysis (EA) Research Paper Series 2008050e, Statistics Canada, Analytical Studies Branch. [Downloadable!]
  15. Khurshid Kiani, 2005. "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Springer, vol. 26(1), pages 65-89, August. [Downloadable!] (restricted)
  16. Nathan S. Balke, 1991. "Detecting level shifts in time series: misspecification and a proposed solution," Research Paper 9109, Federal Reserve Bank of Dallas. [Downloadable!]
  17. 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!]
  18. 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!]
  19. Cizek, Pavel, 2006. "Efficient robust estimation of regression models," Discussion Paper 8, Tilburg University, Center for Economic Research.
  20. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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