[R] Arimax with intervention dummy and multiple covariates

[Jose Iparraguirre]

Hi

I'm trying to measure the effect of a policy intervention (Box and Tiao, 1975).
This query has to do with the coding of the model rather than with the particulars of my dataset, so I'm not providing the actual dataset (or a simulated one) in this case, apart from some general description.

The time series are of length n=34 (annual observations between 1977 and 2010). The policy measure was introduced in 2000 and it has been implemented once a year ever since.

The variable of interest (VI) is continuous, and I have four continuous covariates (CO1-CO4), plus the dummy intervention variable (DUM) which is equal to 0 between 1977 and 1999 and equal to 1 since 2000.

I thought of using an ARIMAX model, with the arimax() function in the TSA package to fit the transfer function. I'm interested in modelling the intervention effect as a step function.

I specified the model thus:


a. I've checked the ARIMA properties of each series using the auto.arima() function (from the 'forecast' package) -the VI was found to best fit an ARIMA(0,1,1) model and the first covariate an ARIMA(1,0,0), whereas the other covariates were white noise.



b. To facilitate the specification of the various models (the different model specifications dropped variables or added additional covariates, etc, without changing the general structure of the syntax below), I defined the following design matrix:



> xreg.1 <- model.matrix(~CO1+ CO2+ CO3+ CO4)[,2:5]



c. Following Cryer and Chan (2008, ch. 11, p. 255), I wrote models such as this:



> arimax.1 <- arimax(VI, order=c(0,1,1),

+ xtransf=data.frame(xreg.1,dummy1=DUM),

+ transfer=list(c(1,0),c(0,0),c(0,0),c(0,0),c(0,0)))


d. So, I get estimates for the following coefficients:


ma1; CO1-AR1; CO1-MA0; CO2-MA0; CO3-MA0; CO4-MA0; DUM-MA0

Can you spot any problems with the general modelling approach or in this specification?

Many thanks in advance,

José



José Iparraguirre
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[Mark Leeds]

Hi: bierens has a paper on modelling beer sales in the netherland ( I'm
pretty sure it's on the net.
if not, I have a copy somewhere I think ) using an ARIMAX. why don't you
take his paper and his data and see if you get the same estimates using R.
That's one way if you'll know if you're doing the steps correctly. I don't
have cryer and chan and I've never used the TSA package so I can't say
anything else.

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> and provide commented, minimal, self-contained, reproducible code.
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[[alternative HTML version deleted]]

[Mark Leeds]

to anyone who was mistakenly looking for the armax beer paper using Bierens
as the author. I made a mistake and apologize because the author was
franses and the paper is at the link below:

http://repub.eur.nl/res/pub/2112/eur_franses_MR1.pdf


On Thu, Feb 21, 2013 at 11:23 AM, Paul Bernal <paulbe...@gmail.com>wrote:

> Thank you very much my friend.
> El 21/02/2013 11:21, "Mark Leeds" <markl...@gmail.com> escribió:
>
>> let me look. I have hardcopy so hopefully I have computer copy. get back
>> in a few minutes.
>>
>>
>> On Thu, Feb 21, 2013 at 11:06 AM, Paul Bernal <paulbe...@gmail.com>wrote:
>>
>>> Could you please provide me with a copy of that text?
>>>
>>> Best regards,
>>>
>>> Paul

[Jose Iparraguirre]

Thanks Mark.

I had looked up "herman bierens beer netherlands" but nothing came up, except the paper by Philip Hans Franses which I didn't know so I'll have a look at it. Thanks for letting others note about this.
I had toyed with the idea of contacting the authors of the TSA package directly rather than posting the query on the list, but I preferred to cast the net wide even though the topic in question is very specific. They may even be reading these lines...

Best,

José

>>>> > Also, new for 2013 - 2km intergenerational walks at selected venues.

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