A mixture‐distribution factor model for multivariate outliers

DOI10.1111/J.1368-423X.2007.00224.XzbMath1130.91381MaRDI QIDQ5433626

Iliyan Georgiev

Publication date: 9 January 2008

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

zbMATH Keywords

outliersfactor modelsasymptotic inferencemixture distributions

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (3)

A mixture‐distribution factor model for multivariate outliers ⋮ A mixture‐distribution factor model for multivariate outliers ⋮ Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables

Cites Work

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• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• A mixture‐distribution factor model for multivariate outliers

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