A Multivariate Intervention Model for the Dutch Mint Circulation: Estimation and Monte Carlo Simulation
For each of the five Dutch coinage denominations, a transfer-function model is estimated. The output variables are monthly observations of coins in circulation. Two input variables represent transaction flows; all other inputs are step functions, representing the occurrence of interventions. Using the method of cross-correlating the residuals of the individual equations, a multivariate transfer-function model is constructed and estimated. Next Monte Carlo simulation is…