All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

Olivier Darné and Amélie Charles
''The impact of outliers on transitory and permanent components in macroeconomic time series''
( 2008, Vol. 3 No.60 )
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.
JEL: C2 - Single Equation Models; Single Variables: General
Manuscript Received : Sep 18 2008 Manuscript Accepted : Sep 19 2008

  This abstract has been downloaded 1677 times                The Full PDF of this paper has been downloaded 144695 times