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Detection and estimation of structural changes and ouliers in unobserved components

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  • Kaiser Remiro, Regina

Abstract

In the framework of decomposing a time series into the sum of signal components plus noise as in detrending or seasonal adjustment, we analyze the situation in which the unobserved components may be subject to the influence of sudden shifts. The kind of perturbation that such shifts cause on the observed series can be classified as an outlier, when the shift affects the noise component, or as a structural change, when the shift affects one of the signal components. The consequences of ignoring these perturbations are important for model specification, parameter estimation and forecasting. We extend and modify the iterative procedure of Chen and Liu (1993) to allow the location, classification and estimation of outliers and structural changes affecting the unobserved components of a time series.

Suggested Citation

  • Kaiser Remiro, Regina, 1998. "Detection and estimation of structural changes and ouliers in unobserved components," DES - Working Papers. Statistics and Econometrics. WS 9847, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:9847
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    References listed on IDEAS

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    1. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 299-307, October.
    2. Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-389, October.
    3. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 313-315, October.
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    Cited by:

    1. Arranz, Miguel A. & Escribano, Álvaro & Mármol, Francesc, 2002. "Effects of Applying Linear and Nonlinear Filters on Tests for Unit Roots with Additive Outliers," UC3M Working papers. Economics we20091101, Universidad Carlos III de Madrid. Departamento de Economía.
    2. Kaiser Remiro, Regina & Maravall, Agustín, 1999. "Seasonal outliers in time series," DES - Working Papers. Statistics and Econometrics. WS 6333, Universidad Carlos III de Madrid. Departamento de Estadística.

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