Influential Observations in Time Series

Daniel Peña

Journal of Business & Economic Statistics, 1990, vol. 8, issue 2, 235-41

Abstract: This article studies how to identify influential observations in univariate autoregressive integrated moving average time series models and how to measure their effects on the estimated parameters of the model. The sensitivity of the parameters to the presence of either additive or innovational outliers is analyzed, and influence statistics based on the Mahalanobis distance are presented. The statistic linked to additive outliers is shown to be very useful for indicating the robustness of the fitted model to the given data set. Its application is illustrated using a relevant set of historical data.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:8:y:1990:i:2:p:235-41

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