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The impact of outliers on transitory and permanent components in macroeconomic time series

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  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes)

  • Amélie Charles

    (Audencia Recherche - Audencia Business School)

Abstract

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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  • Olivier Darné & Amélie Charles, 2008. "The impact of outliers on transitory and permanent components in macroeconomic time series," Post-Print hal-00765362, HAL.
    • Handle: RePEc:hal:journl:hal-00765362
    Note: View the original document on HAL open archive server: https://hal.science/hal-00765362
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    Cited by:

    1. Rainer Metz, 2011. "Do Kondratieff waves exist? How time series techniques can help to solve the problem," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(3), pages 205-238, October.

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    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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