中国主要价格指数季节变动模式测定研究Studyofmeasuringthe.pptVIP

Background Defects of Present Methods In china, the most recent values are compared with the corresponding values a year ago to obtain a time series free of seasonal fluctuations. However, an approach based on year-on-year comparisons has following defects: 1.Influenced by the seasonal factors of the base period. 2.Turning points would always be delayed. 3.Seasonal factors would not be eliminated thoroughly. 4.Accurate seasonal mode cannot be measured Measuring Methods 1.TRAMO/SEATS(model-based) [See Bj?rn FISCHER(1995)] 2.X-12-ARIMA(empirical-based) [See D. F. Findley etc(1998)] Empirical Research Main Prices Indexes CPI-Residents Consumer Price Index RCPI-Retail Commodity Price indexes PPIR-Purchasing Price Index of Raw Materials, Fuels and Power PPI-Producer Price Index of Industry Products Original Data: China Economic Information Network Data transformation Length of time series Base year “Increasing the length of the time series will generally increase the accuracy of estimation, but not necessarily in direct proportion to the amount of data. One of the problems with particularly long time series is that frequently the pattern changes with time and using a longer time span may in fact give less accurate results than using only the minimum number of data necessary.”——see Derek Blades(2001) Examine the presence of seasonality by X-12-ARIMA Selecting Rules: 1.Larger Fs-value in test for the presence of seasonality 2.Easy to compare highly-related indexes 3.Less presence of moving seasonality 1996 as base year for CPI RCPI (132 months) 1998 as base year for PPI PPIR (108 months) Measuring the mode of seasonality Software:Seasonal Adjustment Interface DEMETRA for Tramo/Seats and X-12-ARIMA(User manual), EUROSTAT, February 2000 Adjust using default options Since China does not celebrate Easter, we are not going to take it in to account in t