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

Proietti, Tommaso; Marczak, Martyna

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

dc.contributor.author	Proietti, Tommaso	de
dc.contributor.author	Marczak, Martyna	de
dc.date.accessioned	2024-04-08T08:50:00Z
dc.date.available	2024-04-08T08:50:00Z
dc.date.created	2014-09-15
dc.date.issued	2014
dc.description.abstract	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.	en
dc.identifier.swb	414535006
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/5825
dc.identifier.urn	urn:nbn:de:bsz:100-opus-9955
dc.language.iso	eng
dc.relation.ispartofseries	FZID discussion papers; 90
dc.rights.license	publ-ohne-pod	en
dc.rights.license	publ-ohne-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_ubh.php
dc.subject	Indicator saturation	en
dc.subject	Seasonal adjustment	en
dc.subject	Structural time series model	en
dc.subject	Outliers	en
dc.subject	Structural change	en
dc.subject	General–to–specific approach	en
dc.subject.ddc	330
dc.subject.gnd	Strukturwandel	de
dc.subject.gnd	Zeitreihe	de
dc.title	Outlier detection in structural time series models : the indicator saturation approach	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.export.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}, }
local.export.bibtexAuthor	Proietti, Tommaso and Marczak, Martyna
local.export.bibtexKey	Proietti2014
local.export.bibtexType	@techreport
local.faculty.number	7	de
local.faculty.number	3	de
local.institute.number	795	de
local.institute.number	520	de
local.opus.number	995
local.series.issueNumber	90
local.series.title	FZID discussion papers
local.university	Universität Hohenheim	de
local.university.faculty	Landesanstalten	de
local.university.faculty	Faculty of Business, Economics and Social Sciences	en
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.institute	Forschungszentrum Innovation und Dienstleistung	de
local.university.institute	Institute for Economics	en
local.university.institute	Institut für Volkswirtschaftslehre	de

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