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Outliers in eleven Finnish macroeconomic time series

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  • Jussi Tolvi

    (Department of Economics, University of Turku, Finland)

Abstract

Outliers are detected from eleven monthly Finnish macroeconomic time series (from 1922 to 1996), and underlying reasons for the detected outliers suggested. Outliers are found in all of the series. The detected outliers seem to cluster together, both within and across series. Some of the detected outliers are also highly influential with respect to some nonlinearity tests, and the results can change in either direction (from significant nonlinearity to non-significant, or vice versa) after the outliers are taken into account. Mostly, however, the evidence for nonlinearity is reduced after the outliers are taken into account.

Suggested Citation

  • Jussi Tolvi, 2001. "Outliers in eleven Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 14(1), pages 14-32, Spring.
    • Handle: RePEc:fep:journl:v:14:y:2001:i:1:p:14-32
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    References listed on IDEAS

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    Cited by:

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    6. Olivier Darne & Jean-Francois Hoarau, 2007. "The purchasing power parity in Australia: evidence from unit root test with structural break," Applied Economics Letters, Taylor & Francis Journals, vol. 15(3), pages 203-206.
    7. Olivier Darné & Jean-François Hoarau, 2006. "Testing the purchasing power parity in China," EconomiX Working Papers 2006-18, University of Paris Nanterre, EconomiX.
    8. Olivier Darné & Amélie Charles, 2008. "The impact of outliers on transitory and permanent components in macroeconomic time series," Economics Bulletin, AccessEcon, vol. 3(60), pages 1-9.
    9. WenShwo Fang & Stephen M. Miller, 2014. "Output Growth and its Volatility: The Gold Standard through the Great Moderation," Southern Economic Journal, John Wiley & Sons, vol. 80(3), pages 728-751, January.
    10. Olivier Darné & Claude Diebolt, 2006. "Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis," Revue d'économie politique, Dalloz, vol. 116(1), pages 65-78.
    11. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
    12. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.
    13. Halkos, George & Managi, Shunsuke & Zisiadou, Argyro, 2017. "Analyzing the determinants of terrorist attacks and their market reactions," Economic Analysis and Policy, Elsevier, vol. 54(C), pages 57-73.
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    15. Mohamed Ali Houfi & Ghassen El Montasser, 2010. "Effets des points aberrants sur les tests de normalité et de linéarité. Applications à la bourse de Tokyo," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(36), pages 15-51, June.
    16. Charles, Amelie & Darne, Olivier, 2005. "Outliers and GARCH models in financial data," Economics Letters, Elsevier, vol. 86(3), pages 347-352, March.
    17. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
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    19. Halkos, George & Zisiadou, Argyro, 2016. "Exploring the effect of terrorist attacks on markets," MPRA Paper 71877, University Library of Munich, Germany.

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    More about this item

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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