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Deletion diagnostics for transformations of time series

Abstract:

Deletion diagnostics are derived for the effect of individual observations on the estimated transformation of a time series. The paper uses the modified power transformation of Box and Cox to provide a parametric family of transformations. Inference about the transformation parameter is made through regression on a constructed variable. The effect of deletion of observations on residuals and on the estimate of the regression parameter are obtained. Index plots of the diagnostic quantities are...

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Publication status:
Published
Peer review status:
Peer reviewed

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Institution:
London School of Economics
Role:
Author
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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
"Financial Economics", "Econometrics"
Oxford college:
Nuffield College
Role:
Author
Science and Engineering Research Council More from this funder
Economic and Social Research Council More from this funder
Publisher:
John Wiley & Sons, Ltd. Publisher's website
Journal:
Journal of forecasting Journal website
Volume:
15
Issue:
1
Pages:
1-17
Publication date:
1996-01-01
DOI:
ISSN:
0277-6693
Language:
English
Keywords:
Subjects:
UUID:
uuid:100dc08e-d907-46ba-ac90-5398814e4bf4
Local pid:
ora:2265
Deposit date:
2008-08-12

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