Published: Ashok Singh and Rohan Dalpatadu

Ashok Singh (Hospitality) and Rohan J. Dalpatadu (Math) are the authors of an article, "Using HAC Estimators for Intervention Analysis." The purpose of this article is to present an alternative method for intervention analysis of time series data that is simpler to use than the traditional method of fitting an explanatory Autoregressive Integrated Moving Average (ARIMA) model. Time series regression analysis is commonly used to test the  effect of an event on a time series. An econometric modeling method, which  uses a heteroskedasticity and autocorrelation consistent (HAC) estimator of  the covariance matrix instead of fitting an ARIMA model, is proposed as an  alternative. The method of parametric bootstrap is used to compare the two  approaches for intervention analysis. The results of this study suggest that the time series regression method and the HAC method give very similar results.

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