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Econometric Applications of the Forward Search in Regression: Robustness, Diagnostics, and Graphics


  • Anthony Atkinson


The article illustrates the use of the forward search to provide robust analyses of econometric data. The emphasis is on informative plots that reveal the inferential importance of each observation. The division of observations into “good” and “bad” leverage points is shown to be potentially misleading.

Suggested Citation

  • Anthony Atkinson, 2009. "Econometric Applications of the Forward Search in Regression: Robustness, Diagnostics, and Graphics," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 21-39.
  • Handle: RePEc:taf:emetrv:v:28:y:2009:i:1-3:p:21-39 DOI: 10.1080/07474930802387803

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    References listed on IDEAS

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    10. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    11. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
    12. Tan, Hui Boon & Ashley, Richard, 1999. "Detection And Modeling Of Regression Parameter Variation Across Frequencies," Macroeconomic Dynamics, Cambridge University Press, vol. 3(01), pages 69-83, March.
    13. Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64 Elsevier.
    14. Engle, Robert F, 1978. "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, vol. 46(4), pages 869-881, July.
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    16. Edmund S. Phelps, 1968. "Money-Wage Dynamics and Labor-Market Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 76, pages 678-678.
    17. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
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