Research Article Open Access

Specification of Dynamic Time Series Model with Volatile-Outlier Input Series

T. A. Lasisi1, D.K. Shangodoyin1, O. O. Sangodoyin2, W.M. Thupeng1 and P.M. Kgosi1
  • 1 Faculty of Social Sciences, University of Botswana, Botswana
  • 2 Faculty of Business, University of Botswana, Botswana

Abstract

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 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 was a masking effect of volatility with outliers in the series and therefore jeopardizes test criterion for model adequacy because outlier series were embedded in its computation. Conclusion: The analysis of outlier in dynamic model specification can involve the determination of volatility, most especially in economic series for which causal relationship can proffer some evidence based solutions to decision makers on pressing economic issues. The model specified in this study 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 have a combine effect on the precision of output generated.

American Journal of Applied Sciences
Volume 8 No. 11, 2011, 1149-1153

DOI: https://doi.org/10.3844/ajassp.2011.1149.1153

Submitted On: 25 August 2011 Published On: 1 October 2011

How to Cite: Lasisi, T. A., Shangodoyin, D., Sangodoyin, O. O., Thupeng, W. & Kgosi, P. (2011). Specification of Dynamic Time Series Model with Volatile-Outlier Input Series. American Journal of Applied Sciences, 8(11), 1149-1153. https://doi.org/10.3844/ajassp.2011.1149.1153

  • 3,000 Views
  • 2,144 Downloads
  • 0 Citations

Download

Keywords

  • Dynamic model
  • volatility outliers
  • model specification
  • model analyzing residuals
  • outlier series
  • series generated
  • outlier contaminated
  • standard deviation
  • outlying observation