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ResearchPaper
2014
Outlier detection in structural time series models : the indicator saturation approach
Outlier detection in structural time series models : the indicator saturation approach
Abstract (English)
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.
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Notes
Publication license
Publication series
FZID discussion papers; 90
Published in
Faculty
State Institutes
Faculty of Business, Economics and Social Sciences
Faculty of Business, Economics and Social Sciences
Institute
Forschungszentrum Innovation und Dienstleistung
Institute of Economics
Institute of Economics
Examination date
Supervisor
Edition / version
Citation
Identification
DOI
ISSN
ISBN
Language
English
Publisher
Publisher place
Classification (DDC)
330 Economics
Original object
Free keywords
Indicator saturation Seasonal adjustment Structural time series model Outliers Structural change General–to–specific approach
Standardized keywords (GND)
Sustainable Development Goals
BibTeX
@techreport{Proietti2014,
url = {https://hohpublica.uni-hohenheim.de/handle/123456789/5825},
author = {Proietti, Tommaso and Marczak, Martyna},
title = {Outlier detection in structural time series models : the indicator saturation approach},
year = {2014},
school = {Universität Hohenheim},
series = {FZID discussion papers},
}