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Outliers in eleven Finnish macroeconomic time series

  • Jussi Tolvi

    (Department of Economics, University of Turku, Finland)

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    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.

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    File URL: http://www.taloustieteellinenyhdistys.fi/images/stories/fep/f2001_1b.pdf
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    Article provided by Finnish Economic Association in its journal Finnish Economic Papers.

    Volume (Year): 14 (2001)
    Issue (Month): 1 (Spring)
    Pages: 14-32

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    Handle: RePEc:fep:journl:v:14:y:2001:i:1:p:14-32
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    1. Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
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    7. Weiss, Andrew A, 1986. "ARCH and Bilinear Time Series Models: Comparison and Combination," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 59-70, January.
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