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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, 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.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2008-09-19
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