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

DOI10.1002/FOR.2271zbMATH Open1397.91509OpenAlexW1494005504MaRDI QIDQ4687488FDOQ4687488

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

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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)

Cited In (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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