Regression for Time Series Data – Part II. Modeling the Dynamic Effect of Independent Variables. Intervention Analysis. Box and Tiao, 1975. Timeplot with Indication of Intervention Periods . Timeplot/ Freeze/ Line/Shade. Data Generating Process. Data t = Intervention Effect t + Noise t
Modeling the Dynamic Effect of Independent Variables
Box and Tiao, 1975
Intervention Effect = Fixed Function of t
Noise= Effect of all other factors
(ARIMA is used for modeling)
Let t = the time (known) the intervention has taken.