关键词: 季节调整, 季节异方差, HS模型

Abstract: Seasonal adjustment is an important method to reject the seasonal factors from economic series. Classis seasonal adjustment methods become less useful when seasonal heteroscedasticity exists, which causes seasonal factor separated incompletely. This paper improves the HS model to solve the problem of seasonal heteroscedasticity, and then uses the improved model to construct a seasonal heteroscedasticity LR statistics and gets the size and power of the test by Monte Carlo method. At last, it examines the effect of the improved HS model by using it in China’s accomplished tax series seasonal adjustment.

Key words: seasonal adjustment, seasonal heteroscedasticity, HS model