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Biometrika 1993 80(4):847-854; doi:10.1093/biomet/80.4.847
© 1993 by Biometrika Trust
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Detecting and treating outliers in dynamic regression models

ALAN PANKRATZ

Department of Economics and Management, 514 S. College, #5 FOB, DePauw University Greencastle, Indiana 46135, U.S.A.

This paper offers an approach to detecting outliers in multiple time series by studying transfer functions with one input where outliers in the input may or may not be passed to the output.

Key Words: Dynamic regression • Intervention • Multiple time series • Multivariate restricted least squares • Outlier • Transfer function


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