Detecting shocks: Outliers and breaks in time series

DOI10.1016/S0304-4076(97)00050-XzbMATH Open0921.62137OpenAlexW2106970080MaRDI QIDQ1371379FDOQ1371379

Authors: Anthony C. Atkinson, Siem Jan Koopman, 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

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zbMATH Keywords

Kalman filteroutlierfragilityMonte Carlo testscore testEM-algorithmshocksstructural changedynamic linear modeldiagnosticssimulation envelopesadded variabledeletion methodsstructural time-seriesunobserved components model

Mathematics Subject Classification ID

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

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Cited In (17)

• LEAVE-K -OUT DIAGNOSTICS IN STATE-SPACE MODELS
• Bayesian analysis of autoregressive time series with change points
• Modeling structural breaks in economic relationships using large shocks
• Influence diagnostics for multivariate GARCH processes
• Diagnosing seasonal shifts in time series using state space models
• Detecting shocks: Outliers and breaks in time series
• Robust test for structural instability in dynamic factor models
• State space models for time series with patches of unusual observations
• Automatic selective intervention in dynamic linear models
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• Automatic detection and identification of shocks in Gaussian state-space models: a Bayesian approach
• On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
• The Box-Cox transformation: review and extensions
• Maximum Studentized score tests for the detection of outliers in time series regression models
• Outlier identifiability in time series
• OUTLIER DIAGNOSTICS IN TIME SERIES ANALYSIS
• Detecting and identifying interventions with the Whittle spectral approach in a long memory panel data model

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