Open Journal of Statistics

Volume 10, Issue 1 (February 2020)

ISSN Print: 2161-718X   ISSN Online: 2161-7198

Google-based Impact Factor: 0.53  Citations  

Using HAC Estimators for Intervention Analysis

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DOI: 10.4236/ojs.2020.101003    185 Downloads   426 Views  Citations

ABSTRACT

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 for intervention analysis, and hence the proposed HAC method should be used for intervention analysis, instead of the more complicated method of ARIMA modeling. The alternative method presented here is expected to be very helpful in gaming and hospitality research.

Share and Cite:

Singh, A. and Dalpatadu, R. (2020) Using HAC Estimators for Intervention Analysis. Open Journal of Statistics, 10, 31-51. doi: 10.4236/ojs.2020.101003.

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