The impact of outliers on transitory and permanent components in macroeconomic time series
Olivier Darné and
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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.
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Published in Economics Bulletin, Economics Bulletin, 2008, 3 (60), pp.1-9
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Journal Article: The impact of outliers on transitory and permanent components in macroeconomic time series (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00765362
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