利用中断时间序列模型量化经济损失:南非批发和零售业的应用

IF 2.1 Q2 ECONOMICS
Thabiso Ernest Masena, Sandile Charles Shongwe, Ali Yeganeh
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引用次数: 0

摘要

最近发表的一些关于中断时间序列分析的出版物只进行了干预前的建模,并用它来说明干预后的偏差,而没有量化干预期间的损失额。因此,本研究旨在说明如何利用具有外生成分的季节性自回归综合移动平均(SARIMA)模型(SARIMAX)来估算和量化 COVID-19 大流行病的干预效应对南非每月批发和零售总额的实际负面影响(以南非兰特-扎尔为单位)。此外,SARIMAX 模型还辅以三种间断时间序列拟合方法(也称为脉冲函数协变量向量),分别是(i) 尝试和误差,(ii) 拟合值和实际值的商,以及 (iii) 在整个干预期间的恒定值为 1。模型选择和适当性度量表明,用试错法拟合脉冲函数,在两个数据集上产生的估计值误差最小,因此可以近似得出更准确的经济收入损失。因此,使用后一种方法,大流行病对批发贸易销售产生了直接、严重的负面影响,持续时间长达 15 个月(从 2020 年 3 月到 2021 年 5 月),导致经济损失 3,023.39 亿南非兰特。此外,零售销售也受到了负面影响,但持续时间为 8 个月(从 2020 年 3 月到 2020 年 10 月),滞后或延迟 1 个月,这表明在干预期开始一个月后,该系列就感受到了大流行病的负面影响,并导致经济损失 878.36 亿南非兰特。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Quantifying Loss to the Economy Using Interrupted Time Series Models: An Application to the Wholesale and Retail Sales Industries in South Africa
A few recent publications on interrupted time series analysis only conduct preintervention modelling and use it to illustrate postintervention deviation without quantifying the amount lost during the intervention period. Thus, this study aims to illustrate how to estimate and quantify the actual amounts (in South African Rands—ZAR) that the negative impact of the intervention effects of the COVID-19 pandemic had on the South African total monthly wholesale and retail sales using the seasonal autoregressive integrated moving average (SARIMA) with exogenous components (SARIMAX) model. In addition, the SARIMAX model is supplemented with three approaches for interrupted time series fitting (also known as a pulse function covariate vector), which are: (i) trial and error, (ii) quotient of fitted values and actual values, and (iii) a constant value of 1 throughout the intervention period. Model selection and adequacy metrics indicate that fitting a pulse function with a trial-and-error approach produces estimates with the minimum errors on both datasets, so a more accurate loss in revenue in the economy can be approximated. Consequently, using the latter method, the pandemic had an immediate, severe negative impact on wholesale trade sales, lasting for 15 months (from March 2020 to May 2021) and resulted in a loss of ZAR 302,339 million in the economy. Moreover, the retail sales were also negatively affected, but for 8 months (from March 2020 to October 2020), with a 1-month lag or delay, suggesting the series felt the negative effects of the pandemic one month into the intervention period and resulted in a loss of ZAR 87,836 million in the economy.
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来源期刊
Economies
Economies Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
4.00
自引率
11.50%
发文量
271
审稿时长
11 weeks
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