A mixture-distribution factor model for multivariate outliers
Econometrics Journal, 2007, vol. 10, issue 3, 605-636
The aim of the paper is to go beyond the detection of outliers in multivariate time series, and to find regularities in the effect of special events on the series. The tool is a factor model in which the direction of every column of the loading matrix is identified, in contrast with Gaussian factor models, where only the span of the whole loading matrix is identified. Under asymptotics for rare and influential stochastic outliers, it is shown that the outliers' location is estimated consistently, and outliers are consistently classified into the factor components that have generated them. The direction, but not the length, of every column of the loading matrix is also estimated consistently. Inference on the directions, which underlies the interpretation of the factor structure, is asymptotically Gaussian under conditions that include Gaussianity of the innovations after accounting for the outliers. The model, augmented with a VAR specification for the conditional mean, provides a statistically acceptable and historically meaningful description of bond rates series for Denmark, Germany and the Netherlands. Copyright Royal Economic Society 2007
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00224.x link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:10:y:2007:i:3:p:605-636
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().