Abstract for:

Deletion Diagnostics and Transformations for Time Series

A.C. Atkinson, N.G. Shephard,  1992
Paper No' EM/1992/245:

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Keywords: Deletion diagnostics; structural time series models; regression parameters; index plots.

JEL Classification:

Is hard copy/paper copy available? YES - Paper Copy Still In Print.

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This Paper is published under the following series: Econometrics

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Abstract:

Deletion diagnostics are developed for structural time series models. These show the effect of the deletion of individual observations on residuals and on the estimates of regression parameters. The methods are extended to the transformation of time series through regression on a constructed variable. Index plots of the diagnostic quantities are shown to be highly informative.