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The Seasonal Adjustment Models And Their Applications Of Sub-annual Economic Time Series

Posted on:2012-02-28Degree:DoctorType:Dissertation
Country:ChinaCandidate:W L GuiFull Text:PDF
GTID:1117330335464529Subject:Statistics
Abstract/Summary:PDF Full Text Request
Almost all of the sub-annual (monthly or quarterly) economic time series seasonal factors are included, so the role and significance of seasonally adjusted prevalence. The basic meaning of seasonal adjustment, as the International Monetary Fund (IMF) are that the seasonally adjusted due to seasonal demand for the emergence of low-frequency dynamics will change and the basic relationships between them become more blurred. National statistical agencies publish seasonally adjusted data to help users to grasp the basic trend. Derivative meaning of seasonal adjustment of economic time series, including down into various components, making the sub-annual data are comparable, identifying business cycle and turning point in the measure, calculating seasonally adjusted annual rate of chain indices, etc. Early in the 20th century and the early 50s, foreign science and practice in the field of statistics began to seasonal adjustment methods and application of research. Today, the theory and practice of seasonal adjustment has been well established in developed countries, in developing countries are constantly being perfected. But all of our time series with seasonal factors have not been seasonally adjusted. One of the main methods to remove incomparability of seasonal factors is using the index over the same period of last year. As China's economy continued into the process of economic integration in the world, traditional statistical methods in China present new challenges demand that we approach with international standards. The introduction of time series seasonal adjustment method, not only to improve the value of data analysis, but also the traditional manner of statistical data collection requirements for reform.Research in this article contains a deep knowledge of mathematical statistics, involving application of specific areas of macroeconomic, but also requires the use of computer software and programs for support. Therefore it is very good interpretation of the scientific content in statistics, seasonal adjustment can be described as the epitome of modern statistics. Methods used in this paper include:(1) system of law. By collecting the existing literature at home and abroad, organize, summarize, review and improve and eventually formed a complete system of research system and research framework about the theory and application of seasonal adjustment; (2)Combination of methods. Including the combination of international and domestic research, methods combined introduction and absorption. Drawing on international theory and method of seasonal adjustment, based on the actual situation in our country to be improved, it eventually became a real model for seasonal adjustment of China; (3) Combination of theory and application methods. Seasonal adjustment theory has always been based on the practical problems arising in macroeconomic and resolving the various hot spots or focus problems in macroeconomic.The research in this paper about seasonal adjustment is the currently most systems theory and application of research results. Theoretical aspects on the seasonal adjustment filter both methods based on model-based approach also includes. Both the current widely popular X-12-ARIMA and TRAMO-SEATS method can also include the research stage still are theoretical models, such as the state space model for seasonal adjustment, Bayes model for seasonal adjustment. It also includes the current international has just developed, is about to put into actual use of theâ…©-13A-S model. In addition, the current domestic research on the application of seasonal adjustment confined to the defects in the basic application level, this part in applied research carried out in-depth study.Overall, this paper made three main aspects of domestic and innovative research.First, in a limited space, the in-depth and systematic study of the various seasonal adjustment models of representative. Which, TRAMO-SEATS model,â…©-13A-S model, based on information filtering RMS seasonally adjusted state space model and including the trading day effects of Bayesian seasonal adjustment model used in China is the first time. This is premise of a seasonal adjustment model to be reasonable international improvements, and a truly practical model for seasonal adjustment in China. Seasonally adjusted so as to further study the theory provides a help.Second, in the application of research, not just stay in the Seasonal Adjustment of Time Series in the basis of the application level, but according to the meaning of seasonal adjustment model, did some more in-depth extension and applied research. Including China's consumer price index selection of real-time monitoring; The price of food consumption in China operating characteristics; China's producer price and consumer price transmission relationship; The bottom line to improve tourism, and to study the crisis on China's tourism foreign exchange earnings and the impact of the railway passenger traffic; High rate of investment in recent years, the problem of lower consumption rate and economy of our holiday issue. Related to the macroeconomic indicators, including quarterly GDP, total retail sales of social consumer goods, the consumer price index (CPI) and producer price index (PPI) and consumer food prices, the consumption rate, tourism foreign exchange earnings, railway passenger traffic and so on.Third, this is not only a single application of seasonal adjustment model and carry out independent research, while more than a comparative study of seasonal adjustment model. The introduction of a variety of advanced diagnostic methods and models to carry out empirical research, including not only the popular interval of the smooth, modified historical method, seasonal stability test, spectral analysis method also includes the stochastic simulation analysis methods. In short, this paper theory and application of seasonal adjustment research draw some meaningful conclusions and policy recommendations. This theory of seasonal adjustment for the further development in China provides a theoretical contribution, for the economic operation of the other economic issues such as economic cycle research study provides a foundation for early, but also for all levels of government departments in an accurate grasp of the existence of some macroeconomic aspects of support, so as to develop targeted policy measures to provide a scientific basis.
Keywords/Search Tags:Seasonal adjustment, X-12-ARIMA model, TRAMO-SEATS model, X-13A-S, state space model for seasonal adjustment, RMS information filtering, Bayesian seasonal adjustment model, Sub-annual time series
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