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Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example

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  • Guerrero, Victor M.
  • Peña, Daniel
  • Poncela, Pilar

Abstract

We consider the problem of estimating the effects of an intervention on a time series vector subject to a linear constraint. Minimum variance linear and unbiased estimators are provided for two different formulations of the problem: (i) When a multivariate intervention analysis is carried out and an adjustment is just needed to fulfill the restriction. (ii) When a univariate intervention analysis was performed on the aggregate series obtained from the linear constraint, previous to the multivariate analysis, and the results of both analyses are required to be made compatible with each other. A banking example that gave rise to this work illustrates our solutions.

Suggested Citation

  • Guerrero, Victor M. & Peña, Daniel & Poncela, Pilar, 1997. "Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example," DES - Working Papers. Statistics and Econometrics. WS 6212, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:6212
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    Keywords

    Linear constraint;

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