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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

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