Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/101948
Authors: 
Marczak, Martyna
Proietti, Tommaso
Year of Publication: 
2014
Series/Report no.: 
FZID Discussion Paper 90-2014
Abstract: 
Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has at- tracted 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.
Subjects: 
indicator saturation
seasonal adjustment
structural time series model
outliers
structural change
general-to-specific approach
state space model
JEL: 
C22
C51
C53
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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