Lesson 9: Prewhitening; Intervention Analysis
- Read through the Lesson 9 online notes that follow. (Note: There is no reading assignment from the text this week.)
- Complete Lesson 9 Assignment.
This week we'll look at two different topics - (1) prewhitening as an aid in interpreting a CCF, and (2) intervention analysis, which is the analysis of the effect of some sort of intervention to a time series process.
After successfully completing this lesson, you should be able to:
- Know when and how to prewhiten in order to help identify which lags of x predict y
- Identify and interpret various patterns for intervention effects
- Estimate an intervention effect