月度CPI的季节调整
发布时间：2018-09-07 10:46
【摘要】：从改革开放到现在,我国的年度数据只有30多个。对于很多经济研究来说这样的数据量是远远不够的,所以对于季度、月度等子年度时间序列的研究显得特别重要。子年度数据所包含的信息会受到季节性的影响,很多经济时间序列之间的动态关系由于受到季节因素的干扰变得模糊不清,如果存在很强的季节影响,时间序列的真实关系可能会被掩盖,经季节调整的数据可以消除季节性因素的影响,反映经济序列的真实情况,所以对于子年度数据季节调整方法的研究有重要的理论意义与应用价值。文章首先介绍了对CPI进行季节调整的背景及意义,并从国内外两个角度分别详细列举了前人对季节调整的研究情况。在总结国内外学者对季节调整研究内容的基础上,提出CPI存在季节性的问题,并使用X-13A-S模型对CPI进行季节调整,此模型是美国普查局正在研究并将进行实施的最新成果。虽然对季节调整的文献数量非常多,但是具体到最新的X-13A-S模型,前人的研究并不充分,需要后人进行更详细的补充。由于X-13A-S包括X-12-ARIMA模型和TRAMO-SEATS模型的功能,所以理论介绍包含对X-12-ARIMA模型和TRAMO-SEATS模型的介绍以及X-13A-S对他们的继承和发展。在理论介绍的基础上文章将X-13A-S模型应用于CPI的季节调整,并将春节因素引入其中。在得到季节调整模型后,文章使用谱图对其调整效果进行检测。从得到的图形中,可以看出经过季节调整后的序列已经不再包含季节性和交易日效应,说明模型的调整效果很好。当然,采用X-13A-S模型进行季节调整的实证过程并不是没有任何瑕疵的,之后文章指出了在进行季节调整时存在的缺陷,以期以后的研究者可以加以改进。文章的最后对我国的季节调整给出了几点展望,也指出了未来一段时期内我国季节调整的目标和方向。文章的创新之处主要体现在两个方面：第一,首次使用Win Genhol软件将春节变量引入模型,为以后对移动假日的引入提供了参考,使得移动假日的调整变得更容易；第二,文章首次对X-13A-S进行了详细系统的描述,然后将其应用于对CPI的季节调整,并且得到了很好的调整效果。
[Abstract]:Since the reform and opening up to the present, China's annual data only more than 30. This amount of data is far from enough for many economic studies, so the study of the monthly equivalent annual time series is particularly important for the quarter. The information contained in the sub-annual data is affected by seasonality, and the dynamic relationship between many economic time series is blurred by the interference of seasonal factors, if there is a strong seasonal effect, The true relationship of the time series may be masked. Seasonally adjusted data can eliminate the effects of seasonal factors and reflect the true state of the economic series. Therefore, the study of seasonal adjustment method of sub-annual data has important theoretical significance and application value. This paper first introduces the background and significance of seasonal adjustment of CPI, and enumerates in detail the previous researches on seasonal adjustment from two angles at home and abroad. On the basis of summarizing the domestic and foreign scholars' research on seasonal adjustment, this paper puts forward that CPI has seasonal problems, and uses X-13A-S model to adjust CPI seasonally. This model is the latest achievement that the US Census Bureau is studying and will implement. Although the number of seasonally adjusted literature is very large, but to the latest X-13A-S model, previous studies are not sufficient, and need to be supplemented in more detail. Because X-13A-S includes the functions of X-12-ARIMA model and TRAMO-SEATS model, the theoretical introduction includes the introduction of X-12-ARIMA model and TRAMO-SEATS model, as well as the inheritance and development of X-13A-S to them. Based on the theoretical introduction, the paper applies the X-13A-S model to the seasonal adjustment of CPI, and introduces the Spring Festival factors into it. After getting the seasonal adjustment model, the adjustment effect is detected by spectrum diagram. From the figure obtained we can see that the seasonally adjusted series no longer contain seasonal and trading day effects which shows that the adjustment effect of the model is very good. Of course, the empirical process of seasonal adjustment using X-13A-S model is not without any defects, and then the paper points out the defects in the process of seasonal adjustment, so that the future researchers can improve it. At the end of this paper, some prospects of seasonal adjustment in China are given, and the aim and direction of seasonal adjustment in the future are also pointed out. The innovation of this paper is mainly reflected in two aspects: first, the introduction of Spring Festival variables into the model by using Win Genhol software for the first time, which provides a reference for the introduction of mobile holidays in the future and makes the adjustment of mobile holidays easier; second, In this paper, X-13A-S is described in detail for the first time, then it is applied to the seasonal adjustment of CPI, and a good adjustment effect is obtained.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F726;F224
本文编号：2228042
[Abstract]:Since the reform and opening up to the present, China's annual data only more than 30. This amount of data is far from enough for many economic studies, so the study of the monthly equivalent annual time series is particularly important for the quarter. The information contained in the sub-annual data is affected by seasonality, and the dynamic relationship between many economic time series is blurred by the interference of seasonal factors, if there is a strong seasonal effect, The true relationship of the time series may be masked. Seasonally adjusted data can eliminate the effects of seasonal factors and reflect the true state of the economic series. Therefore, the study of seasonal adjustment method of sub-annual data has important theoretical significance and application value. This paper first introduces the background and significance of seasonal adjustment of CPI, and enumerates in detail the previous researches on seasonal adjustment from two angles at home and abroad. On the basis of summarizing the domestic and foreign scholars' research on seasonal adjustment, this paper puts forward that CPI has seasonal problems, and uses X-13A-S model to adjust CPI seasonally. This model is the latest achievement that the US Census Bureau is studying and will implement. Although the number of seasonally adjusted literature is very large, but to the latest X-13A-S model, previous studies are not sufficient, and need to be supplemented in more detail. Because X-13A-S includes the functions of X-12-ARIMA model and TRAMO-SEATS model, the theoretical introduction includes the introduction of X-12-ARIMA model and TRAMO-SEATS model, as well as the inheritance and development of X-13A-S to them. Based on the theoretical introduction, the paper applies the X-13A-S model to the seasonal adjustment of CPI, and introduces the Spring Festival factors into it. After getting the seasonal adjustment model, the adjustment effect is detected by spectrum diagram. From the figure obtained we can see that the seasonally adjusted series no longer contain seasonal and trading day effects which shows that the adjustment effect of the model is very good. Of course, the empirical process of seasonal adjustment using X-13A-S model is not without any defects, and then the paper points out the defects in the process of seasonal adjustment, so that the future researchers can improve it. At the end of this paper, some prospects of seasonal adjustment in China are given, and the aim and direction of seasonal adjustment in the future are also pointed out. The innovation of this paper is mainly reflected in two aspects: first, the introduction of Spring Festival variables into the model by using Win Genhol software for the first time, which provides a reference for the introduction of mobile holidays in the future and makes the adjustment of mobile holidays easier; second, In this paper, X-13A-S is described in detail for the first time, then it is applied to the seasonal adjustment of CPI, and a good adjustment effect is obtained.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F726;F224
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