Also, are you familiar with Bernhard Pfaff (2006) Analysis of
Integrated and Cointegrated Time Series with R (Springer) and the
companion urca package (www.pfaffikus.de)? I have not used them, but
my cursory review suggests they might do what you want.
hope this helps.
I'm familiar with Box and Tiao (1975) intervention analysis; I
studied time series under Box and Tiao. I don't know how to do that in
R, but there must be a way. Have you looked at the 'dse' bundle? That
comes with vignettes that make it relatively easy to learn (or at least
to
Does the following illustrate the kind of interevention model you want
IntReg - cbind(It=(1:48)20, It.w=((1:48)20)*(1:48),
It.lh=((1:48)20)*c(0, lh[-48]) )
arima(lh, order = c(1,0,0), xreg=IntReg)
hope this helps.
spencer graves
Berta wrote:
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
