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9780199247028

Outlier Robust Analysis of Economic Time Series

by ; ;
  • ISBN13:

    9780199247028

  • ISBN10:

    0199247021

  • Format: Paperback
  • Copyright: 2011-07-14
  • Publisher: Oxford University Press
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Summary

This is a concise introduction to the literature on the statistical analysis of atypical observations 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.

Table of Contents

Outlier Robust Time Series Analysis
Introduction
Outliers
Effects of Outliers
Outlier Robustness
Outlier Robust Estimation
Choosing and Using a Robust Estimator
Outlier Robust Model Selection and Evaluation
Topics in Outlier Robust Analysis of Economic Time Series
Univariate Outlier Robust Unit Root Testing
Multivariate Outlier Robust Unit Root Testing
Outlier Robust Modeling of Volatility
Extensions and Concluding Remarks
Table of Contents provided by Publisher. All Rights Reserved.

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