Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example

Victor M. Guerrero and Pilar Poncela
Authors registered in the RePEc Author Service: Daniel Peña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We consider the problem of estimating the effects of an intervention on a time series vector subject to a linear constraint. Minimum variance linear and unbiased estimators are provided for two different formulations of the problem: (i) When a multivariate intervention analysis is carried out and an adjustment is just needed to fulfill the restriction. (ii) 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 gave rise to this work illustrates our solutions.

Keywords: Linear; constraint; linear; estimators; multivariate; intervention; restricted; estimation; VARTMA; models (search for similar items in EconPapers)
Date: 1997-10
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Related works:
Journal Article: Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6212

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