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Detection ot Outliers and Level Shifts in Time Series: an Evaluation of Two Alternatives Procedures

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Listed:
  • Vaage, K.

Abstract

A unified method to detect and handle innovational and additive outliers, and permanent and transient level changes has been presented by R.S. Tsay, N.S. Balke has found that the presence of level changes may lead to misidentification and loss of test-power, and suggests augmenting Tsay's procedure by conducting an additional disturbance search based on a white-noise model.

Suggested Citation

  • Vaage, K., 1999. "Detection ot Outliers and Level Shifts in Time Series: an Evaluation of Two Alternatives Procedures," Norway; Department of Economics, University of Bergen 206, Department of Economics, University of Bergen.
  • Handle: RePEc:fth:bereco:206
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    References listed on IDEAS

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    1. Brander, James & Krugman, Paul, 1983. "A 'reciprocal dumping' model of international trade," Journal of International Economics, Elsevier, pages 313-321.
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    More about this item

    Keywords

    TIME SERIES ; SIMULATION ; REGRESSION ANALYSIS;

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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