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Re: st: interrupted time series


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: interrupted time series
Date   Wed, 01 Sep 2010 01:38:14 -0400

Giusi,
    Check out the writings of Richard McCleary and those of George Box and George Tiao.
You'll find that they address interrupted time series analysis, when it is used to 
assess impacts of policies and other phenomena.
    Transfer functions are one way of assessing such impacts.  But transfer functions generally
assume the independence of the transfer function from the arma noise.  Box and Jenkins specifically mention this assumption in their classical work, Time Series Analysis: Forecasting
and Control, 2nd edition.  The VAR may not hold to that assumption and if the IRF is being
applied to that analysis, may not exactly represent a transfer function in the strict classical
definition of the term.
     Regards,
                Robert   

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Steve Samuels <sjsamuels@gmail.com>
Date: Tuesday, August 31, 2010 11:33 pm
Subject: Re: st: interrupted time series
To: statalist@hsphsun2.harvard.edu


> I'm not expert in time series, but I know that transfer functions are
> used for time series analyses of interventions. Stata's -irf- command
> implements transfer functions.
> 
> Steve
> 
> Steven J. Samuels
> sjsamuels@gmail.com
> 18 Cantine's Island
> Saugerties NY 12477
> USA
> Voice: 845-246-0774
> Fax:    206-202-4783
> 
> 
> On Tue, Aug 31, 2010 at 10:27 PM, Conor Hughes <cbhughes@uchicago.edu> 
> wrote:
> > Well, there are (I believe 3 main) different types of interrupted time
> > series analysis, and
> > the model you use also depends on how much data you have available.
> > But in general, can't you use some form of the ARIMA command?
> >
> > - Conor
> >
> > On Tue, Aug 31, 2010 at 4:16 PM, Giuseppina Chiri 
> <gchiri@brandeis.edu> wrote:
> >> Dear list members,
> >> I am looking for guidance on how to do interrupted time series analysis
> >> using Stata. I have looked on the web and in the list archives using
> >> keywords like 'interrupted time series, stata' and 'segmented regression,
> >> stata' to no avail.
> >> I would greatly appreciate any suggestions you can provide.
> >> Giusi
> >>
> >>
> >> __________________________________________
> >> Giuseppina Chiri, Doctoral Student
> >> Lurie Fellow in Disability Policy
> >> The Heller School for Social Policy and Management
> >> Brandeis University
> >>
> >>
> >> *
> >> *   For searches and help try:
> >> *   http://www.stata.com/help.cgi?search
> >> *   http://www.stata.com/support/statalist/faq
> >> *   http://www.ats.ucla.edu/stat/stata/
> >>
> >
> >
> >
> > --
> > Conor Hughes
> > Mathematics and Economics
> > University of Chicago 2011
> >
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/help.cgi?search
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
> >
> 
> *
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*
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