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beren
2013 Feb 21
2
Arimax with intervention dummy and multiple covariates
Hi
I'm trying to measure the effect of a policy intervention (Box and Tiao, 1975).
This query has to do with the coding of the model rather than with the particulars of my dataset, so I'm not providing the actual dataset (or a simulated one) in this case, apart from some general description.
The time series are of length n=34 (annual observations between 1977 and 2010). The policy