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许多宏观经济序列存在季节效应,必须进行季节调整。季节调整既是时间序列分析的起点,也是研究动态随机一般均衡模型的基础。X-12-ARIMA程序是一种主要的季节调整方法,包括X-11和RegARI-MA两个子模块。在本文中,对这两个子模块的原理、结构、特点以及应用进行了全面的讨论。X-12-ARIMA程序没有预设春节效应调整功能;本文讨论了春节效应的调整方法,并将之应用于中国火力发电量的春节效应的诊断和调整。
Many macroeconomic sequences have seasonal effects and must be seasonally adjusted. Seasonal adjustment is not only the starting point of time series analysis, but also the basis for studying the dynamic stochastic general equilibrium model. The X-12-ARIMA program is a major seasonal adjustment method and includes two sub-modules X-11 and RegARI-MA. In this paper, the principle, structure, characteristics and applications of these two sub-modules are discussed in detail. The X-12-ARIMA program does not preset the Spring Festival effect adjustment function; this article discusses the adjustment method of the Spring Festival effect and applies it to the diagnosis and adjustment of the Spring Festival effect of the Chinese thermal power generation.