宜春学院学报
宜春學院學報
의춘학원학보
Journal of Yichun University
2015年
11期
39-42,124
,共5页
SARIMA模型%Census X-12季节调整%季节因子%通货膨胀率
SARIMA模型%Census X-12季節調整%季節因子%通貨膨脹率
SARIMA모형%Census X-12계절조정%계절인자%통화팽창솔
SARIMA model%Census X-12 seasonal adjustment%Seasonal Factors%Inflation
选取2000年以后的我国通货膨胀率月度环比数据,采用Census X-12季节调整方法对环比数据进行季节滤波处理,对季节波动因子作图表明通货膨胀率序列确实存在明显的季节效应。对季节波动进一步分析,建立SARIMA模型并对其估计的残差进行检验,残差检验结果表明SARIMA(1,0,1)(2,1,1)12模型的残差服从正态分布,残差信息已充分提取,可运用该模型对我国通货膨胀率进行短期预测。
選取2000年以後的我國通貨膨脹率月度環比數據,採用Census X-12季節調整方法對環比數據進行季節濾波處理,對季節波動因子作圖錶明通貨膨脹率序列確實存在明顯的季節效應。對季節波動進一步分析,建立SARIMA模型併對其估計的殘差進行檢驗,殘差檢驗結果錶明SARIMA(1,0,1)(2,1,1)12模型的殘差服從正態分佈,殘差信息已充分提取,可運用該模型對我國通貨膨脹率進行短期預測。
선취2000년이후적아국통화팽창솔월도배비수거,채용Census X-12계절조정방법대배비수거진행계절려파처리,대계절파동인자작도표명통화팽창솔서렬학실존재명현적계절효응。대계절파동진일보분석,건립SARIMA모형병대기고계적잔차진행검험,잔차검험결과표명SARIMA(1,0,1)(2,1,1)12모형적잔차복종정태분포,잔차신식이충분제취,가운용해모형대아국통화팽창솔진행단기예측。
This paper uses Census X-12 seasonal adjustment method to analyze the county’s MoM inflation data after 2000,which derives the existence of inflation obvious seasonal effects. Establishing SARIMA model,analy-zing its residual test and using the conclusion forecast Chinaˊs short-term for inflation. The results show high accu-racy of the SARIMA(1,0,1)(2,1,1)12 model and the model residuals follow a normal distribution,residual infor-mation have fully extracted. So we can use this model to predict the short-term inflation rate.