Specification of Dynamic Time Series Model with Volatile-Outlier Input Series | Science Publications

American Journal of Applied Sciences

O. O. Sangodoyin¹  T. A. Lasisi¹  D. K. Shangodoyin¹ 

关键词: Dynamic model;    volatility outliers;    model specification;    model analyzing residuals;    outlier series;    series generated;    outlier contaminated;    standard deviation;    outlying observation;   

DOI  :  10.3844/ajassp.2011.1149.1153

学科分类：自然科学（综合）

来源: Science Publications

【 摘 要 】

Problem statement: This study considers the precision of the output series generated from aberrant input series in the context of the distribution of the dynamic estimate and also investigate the relative merit of analyzing residuals with outliers for a volatility input dynamic model. Approach: The study developed a methodology for checking volatility at every time point and evaluates the influence of volatility and outliers on both the estimates of the fitted Dynamic Model (DM) and test criterion for model adequacy. Results: Both the analytical and empirical findings in this study reveal that outliers affect significantly the estimates of the dynamic model and there is a masking effect of volatility with outliers in the series and therefore jeopardizes test criterion for model adequacy because outlier series are embedded in its computation. Conclusion: The analysis of outlier in dynamic model specification should involve the determination of volatility, most especially in economic series for which causal relationship will proffer some evidence based solutions to decision makers on pressing economic issues. Moreover, the model specified in this paper has shown the influence of outlier embedded with volatility in empirical study on dynamic function modelling. In the first instance, outlier significantly affects the estimates of the model, apart from this; the model residual is affected, these will have a combine effect on the precision of output generated.

【 授权许可】

Unknown