Detection of outliers and level shifts in time series: an evaluation of two alternative procedures
✍ Scribed by Kjell Vaage
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 180 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0277-6693
No coin nor oath required. For personal study only.
✦ Synopsis
A uni®ed method to detect and handle innovational and additive outliers, and permanent and transient level changes has been presented by R. S. Tsay. N. S. Balke has found that the presence of level changes may lead to misidenti®cation and loss of test-power, and suggests augmenting Tsay's procedure by conducting an additional disturbance search based on a white-noise model. While Tsay allows level changes to be either permanent or transient, Balke considers only the former type. Based on simulated series with transient level changes this paper investigates how Balke's whitenoise model performs both when transient change is omitted from the model speci®cation and when it is included. Our ®ndings indicate that the alleged misidenti®cation of permanent level changes may be in¯uenced by the restrictions imposed by Balke. But when these restrictions are removed, Balke's procedure outperforms Tsay's in detecting changes in the datagenerating process.