st: univariate time series intervention analysis

 From keto04 To statalist@hsphsun2.harvard.edu Subject st: univariate time series intervention analysis Date Tue, 18 Jul 2006 16:51:15 +0200

Hello, does anyone have some experience with time series and intervention analysis? I have the following yearly time series:

0,661458

0,738889

0,766667

0,638889

0,727778

0,688889

0,611111

0,722222

0,661111

0,711111

0,744444

0,672222

0,633333

0,666667

0,777778

0,722222

0,755556

0,727778

0,744444

0,777778

0,727778

0,627778

0,661111

0,683333

0,694444

0,805556

0,7

0,75

0,783333

0,805556

This is for one country. (i have also data for other countries, also between 0 and 1)
I want to find out whether significant changes have occured over time. Especially the evolution since time index 22 (when using a time variable, going from 1 to 30). I want to find whether the series has increased linearly after this season. How do I do this? I thought I start with Phillips Perron test for stationarity: there I find stationarity (I just use the: 'statistics', 'time series', 'test', 'pp', include trend+default lags. I get z(rho) and z(t) larger than the critical values so stationarity. So no differences necessary I thought. If I look at the autocorrelations (also via clicking) than the auto and partial corr give four peaks but if I do same in SPSS, they fall between the confidence intervals so I thought then no need of AR or MA. If I do a PPplot to test normality in SPSS (I can not do so in STATA since get remark, even with simple graph: system limit exceeded, and many green notations but no graph) all are nicely close to the 45°line.
So I thought I just need to estimate:
xt = w/(1-B)It+Nt following the book of Mills. With xt my time series from above, It a dummy with zero for t = 1-21 and 1 for t=22-30. Nt is just the errorterm since no found ARMA. Now how do I this practically??? I thought rewritten this model means xt(1-B)=wIt + Nt (1-B), so diff xt= wIt + diff Nt. But do I this as follows: 'statistics', 'time series', 'ARIMA', choose d=1 and ma=1, dependent xt, as independent the dummy and check box of suppress constant, I then get:

Wald chi2(2) = 13.24
Log likelihood = 43.61512 Prob > chi2 = 0.0013

Coef. Std. Err. z P>z [95% Conf. Interval]
dumcl
D1. -.0707794 .060909 -1.16 0.245 -.1901589 .0486002 ma
L1. -.6275359 .2040303 -3.08 0.002 -1.027428 -.227644
/sigma .0533161 .0078506 6.79 0.000 .0379293 .068703

Can I then conclude that there is evidence that the change in time period 22 is significant? Because coeff of D1 falls between the confidence interval?

What if I need to look at two events but that I do not know the exact date of the first intervention? (if look at graph of series on vertical and time on horizontal seems that since timeperiod 13 or 14 also change)
Hope someone can help me soon. Thank you!

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