Hi R-users,
I am using arima to fit a time series. Now I would like to 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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