Time series: theory and methods
Time series: theory and methods
Sensitivity analysis in linear regression
Sensitivity analysis in linear regression
Measuring influence in dynamic regression models
Technometrics
Computational Statistics & Data Analysis - Special issue: Computational econometrics
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A statistical methodology for detecting influential observations in long-memory models is proposed. The identification of these influential points is carried out by case-deletion techniques. In particular, a Kullback-Leibler divergence is considered to measure the effect of a subset of observations on predictors and smoothers. These techniques are illustrated with an analysis of the River Nile data where the proposed methods are compared to other well-known approaches such as the Cook and the Mahalanobis distances.