Beruflich Dokumente
Kultur Dokumente
CPI
Xiang Huang , Wenjie Huang,
Teng
Wang , Hong Wang Benjamin Wright ,
Naiwen Chang, Jake Stamper
Definition
The consumer price index (CPI) measures
the cost of a standard basket of goods and
services commonly purchased by
households.
The index is published monthly by the
Bureau of Labor Statistics, and is used to
calculate the rate of inflation.
Trace
220
200
180
160
140
24
Histogram
Series: CPI
Sample 1 340
Observations 340
20
16
120
12
100
80
50
100
150
200
250
300
8
4
0
100 110 120 130 140 150 160 170 180 190 200 210 220
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
158.9701
159.7500
224.4330
97.90000
36.57263
0.045908
1.864855
Jarque-Bera
Probability
18.37395
0.000102
Correlogram of CPI
Evidence of an
evolutionary series.
Use first-differencing
to pre-whiten and
obtain a stationary
series.
First-Difference of CPI
Trace
DCPI
3
2
1
Histogram
140
Series: DCPI
Sample 1 340
Observations 339
120
100
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0
80
-1
60
-2
40
-3
20
Jarque-Bera 7138.795
Probability
0.000000
-4
50
100
150
200
250
300
0.373254
0.400000
2.700000
-3.928000
0.481705
-2.153560
25.06468
-4
-3
-2
-1
Correlogram of DCPI
Add
AR(1),AR(2),and
MA(12)
Unit Root of
DCPI
Augmented
Dickey-Fuller is
sufficiently
negative, rejecting
the presence of a
unit root.
ARIMA MODEL OF
DCPI
Tan
Cycle
theta=0.36/0.28=1.
Calculation:
2857
Theta=52.125
degree
Cycle=360/52.125=6
.9 years
140
Histogram of Residuals
-2
Series: Residuals
Sample 4 340
Observations 337
120
1
0
-4
100
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
80
-1
-2
60
-3
50
100
150
Residual
200
Actual
250
300
40
Fitted
4.09e-05
-0.024544
2.109857
-2.862702
0.413371
-1.009439
14.32945
Jarque-Bera 1859.569
Probability 0.000000
20
0
-3
-2
-1
Correlogram of
Residuals
Breusch-Godfrey
Serial Correlation Test
Correlogram
of Square
Residuals
Add ARCH(1)
Correlogram
Drop AR(2)
Trace of the
standardized residuals
SDRESID
5
4
3
2
1
0
-1
-2
-3
-4
50
100
150
200
250
300
Correlogram of Standardized
Squared Residuals
Histogram of
Standardized Squared
Residuals
50
Series: SDRESID
Sample 1 340
Observations 338
40
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
30
20
10
0.044213
-0.031016
4.034350
-3.266398
1.000513
0.540747
4.851605
Jarque-Bera 64.75614
Probability 0.000000
0
-3
-2
-1
Exponential Smoothing
Forecast
Sample: 1 340
Included observations: 340
Method: Single Exponential
Original Series: CPI
Forecast Series: CPISM
Parameters:
Alpha
0.9990
1027.477
1.738388
Mean
223.442055779
Unemployment Rate
Capacity Utilization
Industrial Production
Manufacturing Production
Commercial and Industrial
Loans
Consumer Loans
Consumer Sentiment
Money Supply (M2)
Federal Funds Rate
Without Granger
Causality, no
distributed lag
model could be
crated
Comparison of Different
Models
Method
Forecast of CPI for April
Time Trend
Forecast
ARIMA Model
GARCH(1,1)
MODEL
Exponential
Smoothing
2011
221.89
224.19
224.14
223.44
225.05
Monthly
Inflation Rate
(Annualized)
3.37%
224.22 to
225.88
-1.12% to
8.03%
CPI
Point Forecast
95 Percent
Confidence
Interval