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philosophy
2006 Mar 01
6
interrupted time series analysis using ARIMA models
...o include an intervention component "It (0 before intervention, 1 after)" using different types of impacts, that is, not only trying the simple abrupt permanent impact (yt = w It ) with the xreg option but also trying with a gradual permanent impact (yt= d * yt-1 + w * It ), following the filosophy of Box and Tiao (1975). Intervention analysis with applications to economic and environmental problems. JASA 70: 70-92.
Does anybody know where could I find how to incorporate them using the arima comand (or other), or a statistical package which can incorporate it?
Thanks,
Berta.
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