Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series.
We analyse fifteen post-World War II US macroeconomic time series using a modified outlier identification procedure based on Tsay (1988a). "Large shocks" appear to be present in all the series we examined. Furthermore, there are three basic outlier patterns: (1) outliers seem to be associated with business cycles, (2) outliers are clustered together--both over time and across series, (3) there appears to be a dichotomy between outlier behaviour of real versus nominal series. Also, after controlling for outliers, much of the evidence of non-linearity in many of the time series is eliminated. Copyright 1994 by John Wiley & Sons, Ltd.
Year of publication: |
1994
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Authors: | Balke, Nathan S ; Fomby, Thomas B |
Published in: |
Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 9.1994, 2, p. 181-200
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Publisher: |
John Wiley & Sons, Ltd. |
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