Department of Economics and Business Economics

Outlier Detection in Structural Time Series Models: The Indicator Saturation Approach

Research output: Working paperResearch


  • rp14_20

    Submitted manuscript, 474 KB, PDF document

Structural change affects the estimation of economic signals, like the underlying
growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its
detection by an expert procedure. The general–to–specific approach to the detection of structural change, currently implemented in Autometrics via indicator saturation, has proven to be both practical and effective in the context of stationary dynamic regression models and unit–root autoregressions. By focusing on impulse– and step–indicator saturation, we investigate via Monte Carlo simulations how this approach performs for detecting additive outliers and level shifts in the analysis of nonstationary seasonal time series. The reference model is the basic structural model, featuring a local linear trend, possibly integrated of order two, stochastic seasonality and a stationary component. Further, we apply both kinds of indicator saturation to detect additive outliers and level shifts in the industrial production series in five European countries.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages45
Publication statusPublished - 11 Aug 2014
SeriesCREATES Research Papers

    Research areas

  • Indicator saturation, Seasonal adjustment, Structural time series model, Outliers, Structural change, general-to-specific approach, State space model

See relations at Aarhus University Citationformats

Download statistics

No data available

ID: 79560049