Times Series Regressions
University of Kansas
It is often of interest to study the impact of a known intervention upon a second variable. Examples include the impact of an increase in tobacco taxes on teenage smoking, the impact of an environmental regulation on pollution, or the impact of an advertising campaign upon sales. Denoting the variable that is believed to be affected by the known intervention by yt, then the relationship
can be used to not only model the impact of the intervention but also to capture the impact of other secondary factors affecting yt. In Equation 8.1 is a row vector of independent variables ...