• 论文 •

季节异方差序列的季节调整问题研究

• 出版日期:2014-12-15 发布日期:2014-12-15

Research on seasonal adjustment problem of seasonal heteroskedasticity

Zhang Yan Zhang Xiaotong

• Online:2014-12-15 Published:2014-12-15

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.