Building scenarios of multiple time series that take into account the effects of an expected intervention

DOI10.1002/FOR.2271MaRDI QIDQ4687488zbMATH OpenOpenAlexFDO

Authors Victor M. Guerrero, Eliud Silva, Nicolas Gomez

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2271

zbMATH Keywords

cointegrationstochasticinterventiondeterministicmultiple disturbancecompatibility testingCatlin's static updating theoremvector autoregressive error correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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(2)

• A structural model with interventions for New Zealand sawn timber production
• Restricted estimation of an adjusted time series: application to Mexico's industrial production index

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