The impact of outliers on transitory and permanent components in macroeconomic time series

Olivier Darné and Amelie CHARLES

Economics Bulletin, 2008, vol. 3, issue 60, pages 1-9

Abstract: 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.

Keywords: Macroeconomic time series; outliers; unobserved components (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2008 Written
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Persistent link: http://EconPapers.repec.org/RePEc:ebl:ecbull:v:3:y:2008:i:60:p:1-9

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