Detecting shocks: outliers and breaks in time series
A single outlier in a regression model can be detected by the effect of its deletion on the residual sum of squares. An equivalent procedure is the simple intervention in which an extra parameter is added for the mean of the observation in question. Similarly, for unobserved components or structural...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
1997
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| Subjects: |