An application of intervention analysis on the monthly inflation in the Philippines

Date of Publication

2019

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Statistics Major in Actuarial Science

Subject Categories

Physical Sciences and Mathematics

College

College of Science

Department/Unit

Mathematics and Statistics

Abstract/Summary

The primary objective of the study involved investigating the impact of the TRAIN Law and the 2015-2016 El Niño phenomenon on the inflation rate in the Philippines using intervention analysis. Results showed that the inflation rate in the Philippines posed nonstationarity in the mean requiring differencing to achieve stationarity. Based from the patterns shown by the autocorrelation function and partial autocorrelation function of both pre-intervention models, an AR(1) model was fitted. Using SAS software, an intervention model was fitted to both models. Based on the intervention model for the TRAIN Law, the researchers observed that the TRAIN Law has a significant effect on the mean change of the inflation rate in the Philippines. It is also the same for the El Niño phenomenon, it was also found to have a significant effect on the inflation rate of the Philippines as well, indicating temporary structural changes in the series.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTU017671

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

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