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Re: st: interrupted time series
From
Robert A Yaffee <[email protected]>
To
[email protected]
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 <[email protected]>
Date: Tuesday, August 31, 2010 11:33 pm
Subject: Re: st: interrupted time series
To: [email protected]
> 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
> [email protected]
> 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 <[email protected]>
> 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
> <[email protected]> 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/
> >
>
> *
> * 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/
*
* 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/