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Detecting shocks: outliers and breaks in time series

Abstract:

A single outlier in a regression model can be detected by the effect of its deletion on the residual sum of squares. An equivalent procedure is the simple intervention in which an extra parameter is added for the mean of the observation in question. Similarly, for unobserved components or structural time-series models, the effect of elaborations of the model on inferences can be investigated by the use of interventions involving a single parameter, such as trend or level changes. Because such...

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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:
Tilburg University
Role:
Author
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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Econometrics
Oxford college:
Nuffield College
Role:
Author
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Funding agency for:
Atkinson, A
Publisher:
Elsevier Publisher's website
Journal:
Journal of econometrics Journal website
Volume:
80
Issue:
2
Pages:
387-422
Publication date:
1997-10-01
DOI:
ISSN:
0304-4076

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