Outliers in eleven Finnish macroeconomic time series

Jussi Tolvi
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Jussi Tolvi: Department of Economics, University of Turku, Finland

Finnish Economic Papers, 2001, vol. 14, issue 1, 14-32

Abstract: Outliers are detected from eleven monthly Finnish macroeconomic time series (from 1922 to 1996), and underlying reasons for the detected outliers suggested. Outliers are found in all of the series. The detected outliers seem to cluster together, both within and across series. Some of the detected outliers are also highly influential with respect to some nonlinearity tests, and the results can change in either direction (from significant nonlinearity to non-significant, or vice versa) after the outliers are taken into account. Mostly, however, the evidence for nonlinearity is reduced after the outliers are taken into account.

JEL-codes: C5 E3 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (28)

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