[Gretl-users] Interrupted time series

Allin Cottrell cottrell at wfu.edu
Mon May 4 13:31:02 EDT 2015


On Mon, 4 May 2015, Michael Ott wrote:

> To clarify my initial question regarding performing an interrupted 
> time series analysis, I'm looking at time series data before during 
> and after an intervention to see if the intervention resulted in a 
> change to the data. Based on visual inspection of the time series 
> plot there is a large change in the level and a trend change through 
> out the time series. I'm attempting to do something like what is 
> described in the following reference:Elligsen, M., Walker, S. A. N., 
> Pinto, R.  Infect Control Hospital Epidemiol 2012;33(4):354-361

This sounds like a case for the Chow test for a structural break, 
which is available in gretl. See under the Tests menu in the GUI model 
window, or the "chow" command.

Allin Cottrell


More information about the Gretl-users mailing list