关键词: 季节调整, 模型选择, 结构分量

Abstract: The main work of this paper is to study the selection and robustness of Structural Component model in Seasonal Adjustment. Through constructing the alternative model, employing a normal prior distribution, and deriving a new MCMC sampling scheme, a new model selection method that can distinguish which components to include in the model and whether these components are fixed or time-varying is developed in this paper. Finally, we apply this method to analyze the seasonal series of China’s GDP. The results show that the method we employ has a superior performance, and robust to the prior’s hyperparameter.

Key words: Seasonal Adjustment, Model Selection, Structural Component