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Results tagged with impulse-response
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user 3382
The response of an endogenous system to an exogenous shock. This is an important topic in time-series econometrics.
3
votes
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The theory behind fitting an ARIMAX model
Please see my response to How to use Dynamic Regression models in R to forecast future sales . The whole idea about transfer function model identification is that we filter the stationary X to make i …
- 30k
2
votes
Is normality of residuals necessary for drawing conclusions from Impulse Response function
Normality is required to perform tests of significance and sufficiency. Daily data is better analyzed by using deterministic factors such as day-of-the-week , holiday effects and perhaps even day-of- …
- 30k
0
votes
Looking for techniques to understand the impact of a discrete events (interventions) on a co...
What you are looking for is the de facto period as compared to the de jure period of the interevention. This can be accomplished via Intervention Detection procedures which covers both pulse effects ( …
- 30k