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TECHNICAL NOTE

A Common Error in Time Series Intervention Modeling

Pages 135-136 | Received 01 Oct 1981, Published online: 09 Jul 2007
 

Abstract

A common error in intervention modeling of time series is described and the correct procedure is presented. The error involves applying the intervention to the differenced time series rather than the the original series. The correct procedure involves “dividing” both sides of the preliminary ARIMA equation by any differencing factors to transfer them to the denominator of the noise term before incorporating an intervention term into the equation.

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