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2017•Open Journal of Social SciencesOpen access

Seasonal Adjustment of the Consumer Price Index

Tianyi Zhang

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Abstract

This paper firstly introduces the significance of seasonal adjustments of the consumer price index (CPI). Then this paper focuses on the theory of seasonal adjustments and the ARIMA model with regression. Based on X-13 ARIMA-SEATS program, we develop a statistically robust method to conduct seasonal adjustment on China’s monthly CPI with respect to moving holidays, especially, Chinese Spring Festival. It is demonstrated that seasonally adjusted CPI time series are more sensitive and conducive to monitor the macro economy.

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What this paper is about

This paper firstly introduces the significance of seasonal adjustments of the consumer price index (CPI). Then this paper focuses on the theory of seasonal adjustments and the ARIMA model with regression. Based on X-13 ARIMA-SEATS program, we develop a statistically robust method to conduct seasonal adjustment on China’s monthly CPI with respect to moving holidays, especially, Chinese Spring Festival. It is demonstrated that seasonally adjusted CPI time series are more sensitive and conducive to monitor the macro economy.

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Available abstract

This paper firstly introduces the significance of seasonal adjustments of the consumer price index (CPI). Then this paper focuses on the theory of seasonal adjustments and the ARIMA model with regression. Based on X-13 ARIMA-SEATS program, we develop a statistically robust method to conduct seasonal adjustment on China’s monthly CPI with respect to moving holidays, especially, Chinese Spring Festival. It is demonstrated that seasonally adjusted CPI time series are more sensitive and conducive to monitor the macro economy.

Key concepts: Autoregressive integrated moving average, Seasonal adjustment, Index (typography), Econometrics, Macro, Consumer price index (South Africa), Economics, China

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