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

• Main Authors: Friginal, Aaron Louis T., Tom, Andrei Joshua S.
• Format: text
• Language: English
• Published: Animo Repository 2019
• Subjects: Physical Sciences and Mathematics
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18584
• Institution: De La Salle University

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.