The Application Of The State Space Model In Economic Indicators

The study of the economic system is closely related to the math model.One system can be matched by several models,and one of them is the State Space Model. Since 1980s,State Space Model has become strong modeling tools of studying economic system.There is rapidly increasing range of uses for State Space Model, and it has attracted a lot of academic attention.This article used the State Space Model to analyze and predict the consumer price index and Chinese total retail sales of consumer goods.The thesis consists of five parts.1.Firstly,it introduced the history of State Space Model and fundamental information on consumer price index and Chinese total retail sales of consumer goods Traditional analytical methods of it was also elaborated.2.This article introduced the State Space Model and Kalman Filter.Among this, there is the State Space Model represent of ARIMA model,the deduce of the Kalman Filter,Properties of stable stated Kalman Filter,smoothing filter,and the missing value.3.it introduced parameters estimation of the model,Such as maximum likelihood estimation,expectation maximum(EM)algorithm,general expectation maximization(GEM)—expectation maximum algorithm,EM一Newton algorithm, etc.4.Use the CPI and the sum of retail sales of consumer goods to build the model. basic steps as follows:5.According to the predictive value,we can get the conclusion.(1)Next 6 moths,CPI figure has continues grown,but the percentage increases became less than the first half-year.This means the tightening monetary policy that the government announced in the first half-year has taken effect,and CPI figure comes on gain proper control.Combine with the inflation's features,namely investment rose sharply,agricultural and sideline products are too weak,the government needs to contain overinvestment from a certain part of industry,and encourage the weak industries to grow.(2)According to the predictive value,consumer markets runs smoothly this year, and the retail sales of consumer goods have increased fast.The situation of market demand and supply is stable.In the second half of the 2007,the sum of retail sales of consumer goods is RMB15879.69 million,an increase of 17.13%year-on-year.Its rise is the fastest increase over the years.Consumption growth is rising fast,but there have been imbalances between consumption and investment.The government needs to regulate the relationship of consumption and investment,and make an effect to expand the consumer demand.