Multivariate time series models, control groups and intervention analysis.

Author(s)
Harvey, A.C.
Year
Abstract

A multivariate structural time series model made up of unobserved components such as trends and seasonals is formulated. A homogeneous system, in which any linear combination of the observations follows the same time series process, is shown to correspond to a multivariate structural model in which the covariance matrices of the disturbances are proportional an intervention variable is introduced into a univariate structural model and then into a multivariate model.

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Publication

Library number
B 27076 fo /10 /71 /
Source

London, London School of Economics, 1985, 43 p., 32 ref.

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