Frances, P., Prof. Kloek, T. and Lucas, A. (1998). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89(1-2):293--315.
4 Key Publications
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Lumsdaine, R. and Ng, S. (1999). Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean Journal of Econometrics, 93(2):257--279. -
van Dijk, D., Franses, P. and Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235. -
van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.