The impact of outliers on transitory and permanent components in macroeconomic time series

Olivier Darné (1) , Amélie Charles (2)

1 LEMNA - Laboratoire d'économie et de management de Nantes Atlantique
2 Audencia Recherche

In this paper we investigate the effect of the outliers on the decomposition of Nelson-Plosser macroeconomic data set into permanent and transitory components from structural time series models. We show that the outliers can disturb the unobserved-components decomposition, especially the variance of trend and cycle innovations, sometimes dramatically.

Domaines: Gestion et management

Olivier Darné, Amélie Charles. The impact of outliers on transitory and permanent components in macroeconomic time series. Economics Bulletin, 2008, 3 (60), pp.1-9. ⟨hal-00765362⟩