CAJ | 학술논문

目的研究基于ARIMA模型的春节因素调整方法.方法构建通用的春节因素变量,将其作为回归变量纳入季节性ARIMA回归模型(regARIMA或TRAMO),采用AIC或BIC对模型的效果进行判断,确定最优模型.采用广义最小二乘法或最大似然法进行参数估计,并根据估计出的回归系数计算春节因素的影响程度.通过实例分析对上述方法进行实证.结果实例分析表明,引入春节因素变量后的季节调整方法能有效地消除春节因素对时间序列的影响.并能定量分析春节因素的影响程度.结论构建的春节因素变量具有较好的适用性,基于ARIMA模型的春节因素调整方法能有效地运用于时间序列的季节调整,为分析春节因素的影响提供了一种新的方法.
목적 연구기우ARIMA모형적춘절인소조정방법.방법 구건통용적춘절인소변량,장기작위회귀변량납입계절성ARIMA회귀모형(regARIMA혹TRAMO),채용AIC혹BIC대모형적효과진행판단,학정최우모형.채용엄의최소이승법혹최대사연법진행삼수고계,병근거고계출적회귀계수계산춘절인소적영향정도.통과실례분석대상술방법진행실증.결과 실례분석표명,인입춘절인소변량후적계절조정방법능유효지소제춘절인소대시간서렬적영향.병능정량분석춘절인소적영향정도.결론 구건적춘절인소변량구유교호적괄용성,기우ARIMA모형적춘절인소조정방법능유효지운용우시간서렬적계절조정,위분석춘절인소적영향제공료일충신적방법.
Objective To study the methods of the Chinese New Year (CNY) Factor's Adjustment based on the ARIMA models. Methods First, a common regressor for CNY was created. Then, the re-gressor was included in the seasonal ARIMA regressive model(regARIMA or TRAMO) ,AIC or BIC was used for model selection,and the generalized least squares method or maximum likelihood method was used for the earl-mation of model parameter. The estimated regressive coefficient was used for analyzing the degree of the CNY factor. A case was analyzed with the adjustment methods. Results The analysis on the case showed that the methods of the CNY factor's adjustment could remove the effects of the CNY factor on the time series, and the degree of the effects could be esti-mated in quantity. Conclusion The regressor for CNY is applicable,and the methods of the CNY factor's adjustment based on the ARIMA models can be used in seasonal adjustment on the time series. It's a new approach to analyze the effects of the CNY factor.