Interventions in ingarch processes

Konstantions Fokianos and Roland Fried

No 2009,11, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We study the problem of intervention effects generating various types of outliers in a linear count time series model. This model belongs to the class of observation driven models and extends the class of Gaussian linear time series models within the exponential family framework. Studies about effects of covariates and interventions for count time series models have largely fallen behind due to the fact that the underlying process, whose behavior determines the dynamics of the observed process, is not observed. We suggest a computationally feasible approach to these problems, focusing especially on the detection and estimation of sudden shifts and outliers. To identify successfully such unusual events we employ the maximum of score tests, whose critical values in finite samples are determined by parametric bootstrap. The usefulness of the proposed methods is illustrated using simulated and real data examples.

Keywords: parametric bootstrap; generalized linear models; observation driven models; level shifts; transient shifts; outliers (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200911

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