Detecting shocks: Outliers and breaks in time series

DOI10.1016/S0304-4076(97)00050-XzbMath0921.62137OpenAlexW2106970080MaRDI QIDQ1371379

Siem Jan Koopman, Anthony C. Atkinson, Neil Shephard

Publication date: 5 October 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00050-x

zbMATH Keywords

fragilityKalman filterscore testEM-algorithmshocksoutlierdiagnosticsstructural changeMonte Carlo testdynamic linear modelsimulation envelopesadded variabledeletion methodsstructural time-seriesunobserved components model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (10)

Detecting shocks: Outliers and breaks in time series ⋮ Bayesian analysis of autoregressive time series with change points ⋮ Modeling structural breaks in economic relationships using large shocks ⋮ Automatic selective intervention in dynamic linear models ⋮ The Box-Cox transformation: review and extensions ⋮ Robust test for structural instability in dynamic factor models ⋮ Influence diagnostics for multivariate GARCH processes ⋮ On markov chain monte carlo methods for nonlinear and non-gaussian state-space models ⋮ A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS ⋮ LEAVE-K -OUT DIAGNOSTICS IN STATE-SPACE MODELS

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