to anyone who was mistakenly looking for the armax beer paper using Bierens as the author. I made a mistake and apologize because the author was franses and the paper is at the link below:
http://repub.eur.nl/res/pub/2112/eur_franses_MR1.pdf On Thu, Feb 21, 2013 at 11:23 AM, Paul Bernal <paulberna...@gmail.com>wrote: > Thank you very much my friend. > El 21/02/2013 11:21, "Mark Leeds" <marklee...@gmail.com> escribió: > >> let me look. I have hardcopy so hopefully I have computer copy. get back >> in a few minutes. >> >> >> On Thu, Feb 21, 2013 at 11:06 AM, Paul Bernal <paulberna...@gmail.com>wrote: >> >>> Could you please provide me with a copy of that text? >>> >>> Best regards, >>> >>> Paul >>> El 21/02/2013 10:59, "Mark Leeds" <marklee...@gmail.com> escribió: >>> >>>> Hi: bierens has a paper on modelling beer sales in the netherland ( I'm >>>> pretty sure it's on the net. >>>> if not, I have a copy somewhere I think ) using an ARIMAX. why don't >>>> you >>>> take his paper and his data and see if you get the same estimates using >>>> R. >>>> That's one way if you'll know if you're doing the steps correctly. I >>>> don't >>>> have cryer and chan and I've never used the TSA package so I can't say >>>> anything else. >>>> >>>> >>>> >>>> >>>> >>>> >>>> On Thu, Feb 21, 2013 at 5:26 AM, Jose Iparraguirre < >>>> jose.iparragui...@ageuk.org.uk> wrote: >>>> >>>> > Hi >>>> > >>>> > I'm trying to measure the effect of a policy intervention (Box and >>>> Tiao, >>>> > 1975). >>>> > This query has to do with the coding of the model rather than with the >>>> > particulars of my dataset, so I'm not providing the actual dataset >>>> (or a >>>> > simulated one) in this case, apart from some general description. >>>> > >>>> > The time series are of length n=34 (annual observations between 1977 >>>> and >>>> > 2010). The policy measure was introduced in 2000 and it has been >>>> > implemented once a year ever since. >>>> > >>>> > The variable of interest (VI) is continuous, and I have four >>>> continuous >>>> > covariates (CO1-CO4), plus the dummy intervention variable (DUM) >>>> which is >>>> > equal to 0 between 1977 and 1999 and equal to 1 since 2000. >>>> > >>>> > I thought of using an ARIMAX model, with the arimax() function in the >>>> TSA >>>> > package to fit the transfer function. I'm interested in modelling the >>>> > intervention effect as a step function. >>>> > >>>> > I specified the model thus: >>>> > >>>> > >>>> > a. I've checked the ARIMA properties of each series using the >>>> > auto.arima() function (from the 'forecast' package) -the VI was found >>>> to >>>> > best fit an ARIMA(0,1,1) model and the first covariate an >>>> ARIMA(1,0,0), >>>> > whereas the other covariates were white noise. >>>> > >>>> > >>>> > >>>> > b. To facilitate the specification of the various models (the >>>> > different model specifications dropped variables or added additional >>>> > covariates, etc, without changing the general structure of the syntax >>>> > below), I defined the following design matrix: >>>> > >>>> > >>>> > >>>> > > xreg.1 <- model.matrix(~CO1+ CO2+ CO3+ CO4)[,2:5] >>>> > >>>> > >>>> > >>>> > c. Following Cryer and Chan (2008, ch. 11, p. 255), I wrote >>>> models >>>> > such as this: >>>> > >>>> > >>>> > >>>> > > arimax.1 <- arimax(VI, order=c(0,1,1), >>>> > >>>> > + xtransf=data.frame(xreg.1,dummy1=DUM), >>>> > >>>> > + transfer=list(c(1,0),c(0,0),c(0,0),c(0,0),c(0,0))) >>>> > >>>> > >>>> > d. So, I get estimates for the following coefficients: >>>> > >>>> > >>>> > ma1; CO1-AR1; CO1-MA0; CO2-MA0; CO3-MA0; CO4-MA0; DUM-MA0 >>>> > >>>> > Can you spot any problems with the general modelling approach or in >>>> this >>>> > specification? >>>> > >>>> > Many thanks in advance, >>>> > >>>> > José >>>> > >>>> > >>>> > >>>> > José Iparraguirre >>>> > Chief Economist >>>> > Age UK >>>> > >>>> > T 020 303 31482 >>>> > E jose.iparragui...@ageuk.org.uk<mailto: >>>> jose.iparragui...@ageuk.org.uk> >>>> > Twitter @jose.iparraguirre@ageuk >>>> > >>>> > >>>> > Tavis House, 1- 6 Tavistock Square >>>> > London, WC1H 9NB >>>> > www.ageuk.org.uk<http://www.ageuk.org.uk> | ageukblog.org.uk< >>>> > http://ageukblog.org.uk/> | @ageuk<http://twitter.com/ageukpa >>>> >campaigns >>>> > >>>> > Wrap Up and Run 10k is back! >>>> > >>>> > Also, new for 2013 2km intergenerational walks at selected venues. >>>> So >>>> > recruit a buddy, dust off the trainers and beat the winter blues by >>>> > signing up now: >>>> > >>>> > http://www.ageuk.org.uk/10k >>>> > >>>> > Milton Keynes | Oxford | Sheffield | Crystal Palace | >>>> > Exeter | Harewood House, Leeds | >>>> > Tatton Park, Cheshire | Southampton | >>>> > Coventry >>>> > >>>> > >>>> > >>>> > Age UK Improving later life >>>> > >>>> > http://www.ageuk.org.uk >>>> > >>>> > >>>> > >>>> > >>>> > ------------------------------- >>>> > Age UK is a registered charity and company limited by guarantee, >>>> > (registered charity number 1128267, registered company number >>>> 6825798). >>>> > Registered office: Tavis House, 1-6 Tavistock Square, London WC1H 9NA. >>>> > >>>> > For the purposes of promoting Age UK Insurance, Age UK is an Appointed >>>> > Representative of Age UK Enterprises Limited, Age UK is an Introducer >>>> > Appointed Representative of JLT Benefit Solutions Limited and >>>> Simplyhealth >>>> > Access for the purposes of introducing potential annuity and health >>>> > cash plans customers respectively. Age UK Enterprises Limited, JLT >>>> > Benefit Solutions Limited and Simplyhealth Access are all authorised >>>> and >>>> > regulated by the Financial Services Authority. >>>> > ------------------------------ >>>> > >>>> > This email and any files transmitted with it are >>>> confide...{{dropped:31}} >>>> > >>>> > >>>> > ______________________________________________ >>>> > R-help@r-project.org mailing list >>>> > https://stat.ethz.ch/mailman/listinfo/r-help >>>> > PLEASE do read the posting guide >>>> > http://www.R-project.org/posting-guide.html >>>> > and provide commented, minimal, self-contained, reproducible code. >>>> > >>>> > >>>> >>>> [[alternative HTML version deleted]] >>>> >>>> >>>> >>>> ______________________________________________ >>>> R-help@r-project.org mailing list >>>> https://stat.ethz.ch/mailman/listinfo/r-help >>>> PLEASE do read the posting guide >>>> http://www.R-project.org/posting-guide.html >>>> and provide commented, minimal, self-contained, reproducible code. >>>> >>>> >> [[alternative HTML version deleted]]
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