The Research of ARMA Model in CPI Time Series

Feng Wang Zhang; Wen Gang  Che; Bei Bei  Xu; Jing Zhi Xu

doi:10.4028/www.scientific.net/AMM.347-350.3099

Paper Titles

An Fuzzy Petri Net Model of Accident Evolution Process of Coal and Gas Outburst
p.3079

Fuzzy Clustering for Military Decision Analysis with Remote Sensing Information
p.3085

Research on a Scheme for Improving the Chord Routing Algorithm
p.3089

An Improved Dynamic Programming Algorithm for Bitonic TSP
p.3094

The Research of ARMA Model in CPI Time Series
p.3099

A Novel Fingerprint Matching Algorithm Based on Compatible Multi-Area Alignment
p.3104

The Research and Application of Adaptive Learning System in Learning Programs
p.3109

Adaptive Learning System Designed and Learning Program Optimization Algorithm
p.3114

Rough Set Classification Algorithms Based on Texture Feature
p.3119

HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 347-350The Research of ARMA Model in CPI Time Series

The Research of ARMA Model in CPI Time Series

Abstract:

The changing trend of CPI to a certain extent reflects the degree of inflation, which has a great significance on macro-control and research on national economic. ARMA model is one of the simple and practical models in financial time series analysis with relatively high forecast accuracy. The paper utilizing Eviews software, through the statistical analysis of CPI from the year of 1995 to 2008 monthly in China, through the ADF unit root test [, by dint of the autocorrelation function ACF diagram [ and partial autocorrelation function PACF diagram [ to identify the model consequently establish the model, through the residual serial correlation test of the residuals of the model to select the correct model [. The predications of the model showed that the ARMA model is valid and forecast accuracy is relatively high

You might also be interested in these eBooks

View Preview

Info:

Periodical:

Applied Mechanics and Materials (Volumes 347-350)

Pages:

3099-3103

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.347-350.3099

Citation:

Cite this paper

Online since:

August 2013

Authors:

Feng Wang Zhang, Wen Gang Che, Bei Bei Xu, Jing Zhi Xu

Keywords:

ACF, ARMA, CPI, PACF, Time Series

Export:

RIS, BibTeX

Price:

Permissions CCC:

Request Permissions

Permissions PLS:

Request Permissions

Сopyright:

Citation:

References

[1] Hongyu Pan. Financial Time Series Model. Beijing: University of International Business and Economics Press, (2008).

Google Scholar

[2] Zhongjie Xie. Analysis of Time Series. Beijing: Peking University Press, 1990. 9.

Google Scholar

[3] Xuejiang Chang. Analysis of Time Series. Beijing: Higher Education Press, 1993. 11.

Google Scholar

[4] Desi En, Jiang Du, Zhichao Xie. Applied Econometrics Analysis of Time Series. Beijing: Higher Education Press, 2006. 6.

Google Scholar

[5] Danhui Yi. Analysis of Time Series：Method and Apply. Beijing: China Renmin University Press, 2011. 3.

Google Scholar

[6] Yinhua Ren. EViews Applied Experimental Tutorial. Changsha: Hunan University Press, 2008. 7.

Google Scholar

[7] Jisi Zhan, Chenzhang Wang. Analysis of Time Series Forecasting and Control 4 edition. Beijing: China Machine Press, 2011. 4.

Google Scholar

[8] Cryer Chan, Hongyu Pan. Analysis and apply of Time Series. Beijing: China Machine Press, 2011. 1.

Google Scholar

[9] Chensi Zhang. Time Series Analysis Perspective. Beijing: China Renmin University Press, 2012. 1.

Google Scholar

[10] Mingyue Guo, Zhihong Xiao. Analysis of Time Series and SAS Apply. Wuhan: Wuhan University Press, 2012. 2.

Google Scholar