|This centre is a member of The LSE Research Laboratory [RLAB]: CASE | CEE | CEP | FMG | SERC | STICERD||Cookies?|
Paper No' EM/1992/245:
Save Reference as: BibTeX File | EndNote Import File
Keywords: Deletion diagnostics; structural time series models; regression parameters; index plots.
Is hard copy/paper copy available? YES - Paper Copy Still In Print.
This Paper is published under the following series: Econometrics
Share this page: Google Bookmarks | Facebook | Twitter
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.
Copyright © STICERD & LSE 2005 - 2013 | LSE, Houghton Street, London WC2A 2AE | Tel: +44(0)20 7955 6699 | Email: email@example.com | Site updated 25 May 2013