Lesson 9: Prewhitening; Intervention Analysis

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  • Read Example 1.29 (p. 32-33) and Example 5.8 (p. 268-269) of your text
  • Read through the Lesson 9 online notes that follow.
  • 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.

Learning Objectives:

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