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Abstract We analyse fifteen post‐World War II US macroeconomic time series using a modified outlier identification procedure based on Tsay (1988a). ‘Large shocks’ appear to be present in all the series we examined. Furthermore, there are three basic outlier patterns: (1) outliers seem to be associated with business cycles, (2) outliers are clustered together—both over time and across series, (3) there appears to be a dichotomy between outlier behaviour of real versus nominal series. Also, after controlling for outliers, much of the evidence of non‐linearity in many of the time series is eliminated.
Balke et al. (Fri,) studied this question.