Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example

Victor M Guerrero, Daniel Peña and Pilar Poncela

Journal of Business & Economic Statistics, 1998, vol. 16, issue 4, 489-97

Abstract: The authors consider the problem of estimating the effects of an intervention on a time-series vector subjected to a linear constraint. Minimum variance linear and unbiased estimators are provided for two different formulations of the problem--(1) when a multivariate intervention analysis is carried out and an adjustment is needed to fulfill the restriction and (2) when a univariate intervention analysis was performed on the aggregate series obtained from the linear constraint, previous to the multivariate analysis, and the results of both analyses are required to be made compatible with each other. A banking example that motivated this work illustrates the authors' solutions.

Date: 1998
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Working Paper: Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example (1997)
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