Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series
- 1 April 1994
- journal article
- research article
- Published by Wiley in Journal of Applied Econometrics
- Vol. 9 (2) , 181-200
- https://doi.org/10.1002/jae.3950090205
Abstract
We analyse fifteen post‐World War II US macroeconomic time series using a modified outlier identification procedure based on Tsay (1988a). ‘Large shocks’ appear to be present in all the series we examined. Furthermore, there are three basic outlier patterns: (1) outliers seem to be associated with business cycles, (2) outliers are clustered together—both over time and across series, (3) there appears to be a dichotomy between outlier behaviour of real versus nominal series. Also, after controlling for outliers, much of the evidence of non‐linearity in many of the time series is eliminated.Keywords
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