[R] Arimax with intervention dummy and multiple covariates
Jose Iparraguirre
Jose.Iparraguirre at ageuk.org.uk
Thu Feb 21 17:48:31 CET 2013
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
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Mark Leeds
Sent: 21 February 2013 16:38
To: Paul Bernal; r-help at r-project.org
Subject: Re: [R] Arimax with intervention dummy and multiple covariates
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 <paulbernal07 at gmail.com>wrote:
> Thank you very much my friend.
> El 21/02/2013 11:21, "Mark Leeds" <markleeds2 at 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 <paulbernal07 at gmail.com>wrote:
>>
>>> Could you please provide me with a copy of that text?
>>>
>>> Best regards,
>>>
>>> Paul
>>> El 21/02/2013 10:59, "Mark Leeds" <markleeds2 at gmail.com> escribió:
>>>
>>>> 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.
>>>>
>>>>
>>>>
>>>>
>>>>
>>>>
>>>> On Thu, Feb 21, 2013 at 5:26 AM, Jose Iparraguirre <
>>>> Jose.Iparraguirre at ageuk.org.uk> wrote:
>>>>
>>>> > 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
>>>> > Chief Economist
>>>> > Age UK
>>>> >
>>>> > T 020 303 31482
>>>> > E Jose.Iparraguirre at ageuk.org.uk<mailto:
>>>> Jose.Iparraguirre at ageuk.org.uk>
>>>> > Twitter @jose.iparraguirre at ageuk
>>>> >
>>>> >
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[[alternative HTML version deleted]]
Wrap Up and Run 10k is back!
Also, new for 2013 – 2km intergenerational walks at selected venues. So recruit a buddy, dust off the trainers and beat the winter blues by
signing up now:
http://www.ageuk.org.uk/10k
Milton Keynes | Oxford | Sheffield | Crystal Palace | Exeter | Harewood House, Leeds |
Tatton Park, Cheshire | Southampton | Coventry
Age UK Improving later life
http://www.ageuk.org.uk
-------------------------------
Age UK is a registered charity and company limited by guarantee, (registered charity number 1128267, registered company number 6825798).
Registered office: Tavis House, 1-6 Tavistock Square, London WC1H 9NA.
For the purposes of promoting Age UK Insurance, Age UK is an Appointed Representative of Age UK Enterprises Limited, Age UK is an Introducer
Appointed Representative of JLT Benefit Solutions Limited and Simplyhealth Access for the purposes of introducing potential annuity and health
cash plans customers respectively. Age UK Enterprises Limited, JLT Benefit Solutions Limited and Simplyhealth Access are all authorised and
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