Outlier detection in structural time series models : the indicator saturation approach

Marczak, Martyna; Proietti, Tommaso

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Marczak, Martyna ; Proietti, Tommaso

Outlier detection in structural time series models : the indicator saturation approach

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URN: urn:nbn:de:bsz:100-opus-9955
URL: http://opus.uni-hohenheim.de/volltexte/2014/995/

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SWD-Schlagwörter:

Strukturwandel , Zeitreihe

Freie Schlagwörter (Englisch):

Indicator saturation , seasonal adjustment , structural time series model , outliers , structural change , general–to–specific approach

Institut 1:

Institut für Volkswirtschaftslehre

Institut 2:

Forschungszentrum Innovation und Dienstleistung

DDC-Sachgruppe:

Wirtschaft

Dokumentart:

ResearchPaper

Schriftenreihe:

FZID discussion papers

Bandnummer:

Sprache:

Englisch

Erstellungsjahr:

2014

Publikationsdatum:

15.09.2014

Lizenz:

Veröffentlichungsvertrag mit der Universitätsbibliothek Hohenheim ohne Print-on-Demand

Kurzfassung auf Englisch:

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.