春节模型的设计与应用

 季节调整是经济数据预处理中非常重要的一个步骤。现有的主流季节调整方法X-12-ARIMA 和TRAMO/SEATS中都包含节假日因素的调整。由于不同的国家节假日一般不同，因此各国在进行经济数据的季节调整时，都需要结合本国的假日对季节调整方法进行修正。春节是中国最为重要而且持续时间最长的节日，具体日期可以出现在一月也可以在二月。本文基于X-12-ARIMA方法，同时考虑春节对经济指标的正负性影响效应、春节影响的变化速率以及春节效应的时长三个因素，设计了十二个不同类型的春节模型。本文应用Eviews软件和Demetra软件，采集不同的经济指标，对所设计的春节模型进行了应用研究，并根据异常值改善标准，对最佳的春节模型进行了选择与比较分析。

Design and Application of the Chinese Spring Festival Models

Seasonal adjustment is a very important step during the economic data preprocessing. Holiday adjustment is an inevitable step for the popular seasonal adjustment methods which include X-12-ARIMA and TRAMO/SEATS. Because different countries have different kinds of holidays, the popular seasonal adjustment methods must be modified when they are used in different countries. For China, the Spring Festival is a very important and comparatively long holiday, and it happens in January or February. In this paper, on the basis of the X-12-ARIMA method, we design different kinds of Spring Festival adjustment models considering this holiday’s influence on economic indicators, the rate of change of the influence and spans of the spring festival effects. By applying different economic indicators, the paper tests these different Spring Festival models by using software Demetra and Eviews. At last, the best Spring Festival adjustment models are picked out in the criteria of outlier percentage reduction.