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The effect of additive outliers on the forecasts from ARIMA models

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  • Ledolter, Johannes

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  • Ledolter, Johannes, 1989. "The effect of additive outliers on the forecasts from ARIMA models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 231-240.
  • Handle: RePEc:eee:intfor:v:5:y:1989:i:2:p:231-240
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    Cited by:

    1. Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2018. "A data-cleaning augmented Kalman filter for robust estimation of state space models," Econometrics and Statistics, Elsevier, vol. 5(C), pages 107-123.
    2. Preminger, Arie & Franck, Raphael, 2007. "Forecasting exchange rates: A robust regression approach," International Journal of Forecasting, Elsevier, vol. 23(1), pages 71-84.
    3. F. Javier TRIVEZ & Angel Mauricio REYES & F. Javier ALIAGA, 2009. "MEXICAN MAQUILA INDUSTRY OUTLOOK. A Quantitative Space-Time Analysis," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 9(1).
    4. repec:sbe:breart:v:31:y:2011:i:1:a:2767 is not listed on IDEAS
    5. Beatriz Catalan & F. Javier Trivez, 2007. "Forecasting volatility in GARCH models with additive outliers," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 591-596.
    6. Bali, Rakesh & Guirguis, Hany, 2007. "Extreme observations and non-normality in ARCH and GARCH," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 332-346.
    7. Andy Lee & John Yick & Yer Van Hui, 2001. "Sensitivity of the portmanteau statistic in time series modeling," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(6), pages 691-702.
    8. Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
    9. Grané, Aurea & Veiga, Helena, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de Estadística.
    10. Onali, Enrico & Goddard, John, 2011. "Are European equity markets efficient? New evidence from fractal analysis," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
    11. F. Javier Trivez & Javier Nievas, 1998. "Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 25(3), pages 409-424.
    12. Martín-Barragán, Belén & Grané, Aurea & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Jussi Tolvi, 2001. "Outliers in eleven Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 14(1), pages 14-32, Spring.
    14. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    15. Victor Guerrero, 2005. "Restricted estimation of an adjusted time series: application to Mexico's industrial production index," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(2), pages 157-177.
    16. Fildes, Robert & Hibon, Michele & Makridakis, Spyros & Meade, Nigel, 1998. "Generalising about univariate forecasting methods: further empirical evidence," International Journal of Forecasting, Elsevier, vol. 14(3), pages 339-358, September.
    17. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
    18. Grané, Aurea & Veiga, Helena, 2009. "Wavelet-based detection of outliers in volatility models," DES - Working Papers. Statistics and Econometrics. WS ws090403, Universidad Carlos III de Madrid. Departamento de Estadística.
    19. Grané, Aurea & Veiga, Helena, 2010. "Wavelet-based detection of outliers in financial time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2580-2593, November.
    20. Justel, Ana & Peña, Daniel & Sánchez, María Jesús, 1994. "Grupos atípicos en modelos econométricos," DES - Documentos de Trabajo. Estadística y Econometría. DS 10755, Universidad Carlos III de Madrid. Departamento de Estadística.
    21. Franses, Philip Hans & Ghijsels, Hendrik, 1999. "Additive outliers, GARCH and forecasting volatility," International Journal of Forecasting, Elsevier, vol. 15(1), pages 1-9, February.
    22. H. Glendinning, Richard, 2001. "Selecting sub-set autoregressions from outlier contaminated data," Computational Statistics & Data Analysis, Elsevier, vol. 36(2), pages 179-207, April.

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