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Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series

  • Balke, Nathan S
  • Fomby, Thomas B

We analyse fifteen post-World War II US macroeconomic time series using a modified outlier identification procedure based on Tsay (1988a). "Large shocks" appear to be present in all the series we examined. Furthermore, there are three basic outlier patterns: (1) outliers seem to be associated with business cycles, (2) outliers are clustered together--both over time and across series, (3) there appears to be a dichotomy between outlier behaviour of real versus nominal series. Also, after controlling for outliers, much of the evidence of non-linearity in many of the time series is eliminated. Copyright 1994 by John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 9 (1994)
Issue (Month): 2 (April-June)
Pages: 181-200

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Handle: RePEc:jae:japmet:v:9:y:1994:i:2:p:181-200
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  9. Nathan S. Balke, 1991. "Detecting level shifts in time series: misspecification and a proposed solution," Research Paper 9109, Federal Reserve Bank of Dallas.
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