Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach

Martyna Marczak and Tommaso Proietti

No 325, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The general–to–specific approach to the detection of structural change, currently implemented in Autometrics via indicator saturation, has proven to be both practical and effective in the context of stationary dynamic regression models and unit–root autoregressions. By focusing on impulse–and step–indicator saturation, we investigate via Monte Carlo simulations how this approach performs for detecting additive outliers and level shifts in the analysis of nonstationary seasonal time series. The reference model is the basic structural model, featuring a local linear trend, possibly integrated of order two, stochastic seasonality and a stationary component. Further, we apply both kinds of indicator saturation to detect additive outliers and level shifts in the industrial production series in five European countries.

Keywords: Indicator saturation; seasonal adjustment; structural time series model; outliers; structural change; general–to–specific approach; state space model (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2014-08-08, Revised 2014-08-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://ceistorvergata.it/RePEc/rpaper/RP325.pdf Main text (application/pdf)

Related works:
Journal Article: Outlier detection in structural time series models: The indicator saturation approach (2016)
Working Paper: Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach (2015)
Working Paper: Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach (2014)
Working Paper: Outlier detection in structural time series models: The indicator saturation approach (2014)
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:rtv:ceisrp:325

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
https://ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().