تحلیل مانایی سری زمانی شاخص قیمت مصرف کننده در ایران و ارائه یک مدل ARIMA برای پیش بینی آن
الموضوعات :
صمد کاظمی
1
(دانشگاه علم و صنعت)
پوریا سوری
2
(دانشگاه علم و صنعت)
مهدي غضنفري
3
(دانشگاه علم و صنعت)
میرسامان پیشوایی
4
(دانشگاه علم و صنعت)
الکلمات المفتاحية: سری زمانی آزمون ریشه واحد مانایی مدل خودرگرسیو انباشته با میانگین متحرک پیش بینی,
ملخص المقالة :
در این پژوهش برای تعیین مانایی یا غیر مانایی داده های سری زمانی شاخص قیمت مصرف کننده در ایران از سال 1359 تا 1391 به قیمت های ثابت سال 1383، پس از کشف روند تغییرات داده های سری زمانی و تعیین مرتبه خود رگرسیو، میانگین متحرک و میانگین متحرک خودرگرسیو سری زمانی، آزمون ریشه واحد را روی داده های سری زمانی انجام می دهیم و عدم مانایی سری مشخص می شود. در ادامه با انجام آزمون دیکی فولر تکمیل شده، مشخص می شود که سری زمانی تنها یک ریشه واحد دارد. پس از حصول اطمینان از داشتن تنها یک ریشه واحد، مدل فرایند خودرگرسیون انباشته با میانگین متحرک را برای این سری زمانی برآورد می کنیم. سپس کفایت مدل را با آزمون پورتمن تیو بررسی کرده و تصادفی خالص بودن سری زمانی مشخص می شود. در نهایت با استفاده از مدل به دست آمده، مقادیر آینده داده های سری زمانی را در دو فاصله اطمینان 80 و 95 درصد از سال 1392 تا 1401 پیش بینی می کنیم.
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