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

Martyna Marczak and Tommaso Proietti

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

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.

JEL-codes: C22 C51 C53 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/113137/1/VfS_2015_pid_293.pdf (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 (2014)
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:zbw:vfsc15:113137

Access Statistics for this paper

More papers in VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().