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