| X-12-ARIMA季节调整中春节模型的改进与应用 |
| Alternative Title | The Improvement and Application of Spring Festival Model in X-12-ARIMA Seasonal Adjustment
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| 曾国巍 |
| Thesis Advisor | 焦桂梅
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| 2014-06-01
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| Degree Grantor | 兰州大学
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| Place of Conferral | 兰州
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| Degree Name | 硕士
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| Keyword | X-12-ARIMA模型
季节调整
春节效应
三区段指数权重春节模型
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| Abstract | X-12-ARIMA模型是国际上广泛使用的基于过滤器的季节调整模型,其中最值得研究的是春节模型,因为春节作为中国最重要的传统节日之一深刻影响着人们的消费习惯、市场行为以及国家政策.当前应用最多的春节模型主要有单变量等权重、多变量等权重和三区段线性权重模型.本文在此基础上对春节模型进行了扩展,提出了流量数据和存量数据的三区段指数权重春节模型,并将其应用于社会消费品零售总额、居民消费价格指数和货币供应量M0的季节调整中,研究结果显示社会消费品零售总额的春节前和春节中效应比较明显,春节后效应不显著;居民消费价格指数的春节前、春节中和春节后效应都比较显著;而作为存量数据的货币供应量M0的春节前、春节中和春节后效应却非常显著. |
| Other Abstract | X-12-ARIMA model is an internationally widely used seasonal adjustment method based on filters, and while Spring Festival is one of the most important traditional festival, it has a profound impact on people's spending habits, market behavior, as well as national policy. Currently the widely used spring festival methods include Univariate average-weights models, Multivariate average-weights models and Multivariate varing-weight models, based on these, this paper proposes a new Multivariate varing-weight models, the 3-period exponent-moving weight spring festival model for both flow data and stock data. The results show that pre-holiday effect and holiday effect of spring festival on the total retail sales of consumer goods were significant, the after-holiday effect was not significant; all three effects of spring festival on the consumer price index were significant; as a stock data, the whole holiday effects of spring festival on money supply M0 were also significant. |
| URL | 查看原文
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| Language | 中文
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| Document Type | 学位论文
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| Identifier | https://ir.lzu.edu.cn/handle/262010/225645
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| Collection | 数学与统计学院
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Recommended Citation
GB/T 7714 |
曾国巍. X-12-ARIMA季节调整中春节模型的改进与应用[D]. 兰州. 兰州大学,2014.
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