interrupted time series analysis using ARIMA models
I have a time series with different impacts I want to evaluate.
An appropriate model, for a particular impact input variable is:
Y_t=(w/(1-d)B) X_t + ARIMA part, using notation as in Box and Tiao (1975)
I would like to know if there exists a library with which I could estimate this model, or with
if with arima(y, order=c(0, 0,1), xreg=" ") do it.
SAS call them transfer functions and easily acomodate them using
proc ARIMA estimate q=1 input=(/(1)x) ;
Please if someone is sure that it is not possible in R, please let me know as well!!!