Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/158552 
Year of Publication: 
2016
Citation: 
[Journal:] SERIEs - Journal of the Spanish Economic Association [ISSN:] 1869-4195 [Volume:] 7 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2016 [Pages:] 99-120
Publisher: 
Springer, Heidelberg
Abstract: 
We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what amounts to a soft form of trimming in the case of t and a soft form of Winsorizing in the case of EGB2. We show how a model with trend and seasonal components can be used as the basis for a seasonal adjustment procedure. The methods are illustrated with US and Spanish data.
Subjects: 
Fat tails
EGB2
Score
Robustness
Student's t
Trimming
Winsorizing
JEL: 
C22
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size
787.08 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.