The impact of outliers on transitory and permanent components in macroeconomic time series
In this paper we investigate the effect of the outliers on the decomposition of Nelson-Plosser macroeconomic data set into permanent and transitory components from structural time series models. We show that the outliers can disturb the unobserved-components decomposition, especially the variance of trend and cycle innovations, sometimes dramatically.
|Date of creation:||2008|
|Publication status:||Published in Economics Bulletin, Economics Bulletin, 2008, 3 (60), pp.1-9|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00765362|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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