Seasonal Outliers in Time Series

Regina Kaiser and Agustin Maravall ()

Working Papers from Banco de España

Abstract: In the analysis of time series, it is frequent to classify perturbations as Additive Outliers (AO), Innovative Outliers (IO), Level Shift (LS) outliers or Transitory Change (TC) outliers. In this paper, a new outlier type, the Seasonal Level Shift (SLS), is introduced in order to complete the usual classification.

Keywords: ECONOMETRICS; TIME SERIES; MATHEMATICAL ANALYSIS (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1999
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9915

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