• 论文 •

### 基于季节增长率的一种直接调整方法

• 出版日期:2017-06-15 发布日期:2017-06-20

### A Direct Method Based on Seasonally Adjusted Growth Rate

Zheng Tingguo & Dang Jue

• Online:2017-06-15 Published:2017-06-20

Abstract: Using the traditional seasonal adjustment method to obtain the seasonally adjusted growth rate, in which need to remove its seasonal component first, but it maybe lead to distortions on the raw data information. According to that reason, this paper presents a seasonal growth rate (SGR) model that can not only fit and forecast the original seasonal growth rate, but also extract the seasonally adjusted growth rate from the unadjusted growth rate data directly. Monte Carlo simulation results show that the proposed MLE estimation method for SGR model has a good finite sample performance. Through the empirical applications to China's real GDP and CPI data, we find that the seasonally adjusted growth rate extracted by the SGR model is smoother than by the other seasonally adjustment methods. Moreover, the fitting and forecasting performance of the SGR model is significantly improved compared to that of the BSM model and the SARIMA model. In addition, the SGR model also has the advantage of being easily extended to the nonlinear or multivariate cases.