EconPapers    
Economics at your fingertips  
 

The impact of outliers on transitory and permanent components in macroeconomic time series

Olivier Darné and Amelie Charles

Post-Print from HAL

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.

Date: 2008
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00765362
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in Economics Bulletin, Economics Bulletin, 2008, 3 (60), pp.1-9

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-00765362/document (application/pdf)

Related works:
Journal Article: The impact of outliers on transitory and permanent components in macroeconomic time series (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00765362

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2019-08-20
Handle: RePEc:hal:journl:hal-00765362