InterventionVar function

Intervention variables

InterventionVar creates an intervention variable to capture the effect of an external event.

InterventionVar(Y, date, type = c("P", "S", "R"), n.ahead = 0)

Arguments

• Y: an object of class ts used to determine the sample period and frequency.
• date: the date of the event, c(year, month).
• type: a character indicating the type of intervention variables: (P) pulse, (S) step, (R).
• n.ahead: number of additional observations to extend the sample period.

Returns

An intervention variable, a 'ts' object.

Examples

Y <- seriesJ$Y
P58 <- InterventionVar(Y, date = 58, type = "P")

References

G. E. P. Box, G. C. Tiao, “Intervention Analysis with Applications to Economic and Environmental Problems”, Journal of the American Statistical Association, Vol. 70, No. 349. (Mar., 1975), pp. 70-79.