Outlier Robust Analysis of Economic Time Series
Book
Paperback/Softback
256 pages
978-0-19-924702-8 (ISBN)
Description
This is a concise introduction to the literature on the statistical analysis of atypical observations (outliers) in economic and financial time series. It shows how statistical techniques usually applied to cross-sectional data can be applied to time series in order to avoid the use of inappropriate models.
More details
Series
Language
English
Place of publication
New York
United States
Target group
College/higher education
Professional and scholarly
Dimensions
Height: 234 mm
Width: 156 mm
ISBN-13
978-0-19-924702-8 (9780199247028)
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Classification
Content
PART I: OUTLIER ROBUST TIME SERIES ANALYSIS; 1. Introduction; 2. Outliers; 3. Effects of Outliers; 4. Outlier Robustness; 5. Outlier Robust Estimation; 6. Choosing and Using a Robust Estimator; 7. Outlier Robust Model Selection and Evaluation; PART II: TOPICS IN OUTLIER ROBUST ANALYSIS OF ECONOMIC TIME SERIES; 8. Univariate Outlier Robust Unit Root Testing; 9. Multivariate Outlier Robust Unit Root Testing; 10. Outlier Robust Modeling of Volatility; 11. Extensions and Concluding Remarks