Theory & Methods: Pseudo–Modelling of Outliers for Estimation of Regression And Time Series Models

Ross H. Taplin

Australian & New Zealand Journal of Statistics, 2002, vol. 44, issue 3, 295-310

Abstract: This paper documents situations where the variance inflation model for outliers has undesirable properties. The model is commonly used to accommodate outliers in a Bayesian analysis of regression and time series models. The alternative approach provided here does not suffer from these undesirable properties but gives inferences similar to those of the variance inflation model when this is appropriate. It can be used with regression, time series, and regression with correlated errors in a unified way, and adheres to the scientific principle that inference should be based on the data after obvious outliers have been discarded. Only one parameter is required for outliers; it is interpretable as the a priori willingness to remove observations from the analysis.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:bla:anzsta:v:44:y:2002:i:3:p:295-310

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