Academic Journal
Addition of Subset and Dummy Variables in the Threshold Spatial Vector Autoregressive with Exogenous Variables Model to Forecast Inflation and Money Outflow.
| Τίτλος: | Addition of Subset and Dummy Variables in the Threshold Spatial Vector Autoregressive with Exogenous Variables Model to Forecast Inflation and Money Outflow. |
|---|---|
| Συγγραφείς: | Setiawan, Setiawan1 (AUTHOR) dedy-dp@statistika.its.ac.id, Sohibien, Gama Putra Danu2 (AUTHOR) gamaputra@stis.ac.id, Prastyo, Dedy Dwi1 (AUTHOR) m_sjahid_a@its.ac.id, Akbar, Muhammad Sjahid1 (AUTHOR), Kamil, Anton Abdulbasah3 (AUTHOR) akamil@gelisim.edu.tr |
| Πηγή: | Economies. Dec2024, Vol. 12 Issue 12, p352. 27p. |
| Θεματικοί όροι: | *Inflation forecasting, *Prices, *Time series analysis, Dummy variables, 'Īd al-Fitr |
| Περίληψη: | The TSpVARX model can be used in inflation and money outflow forecasting by accommodating the reciprocal relationship among endogenous variables, the influence of exogenous variables, inter-regional linkages, and the nonlinearity of the relationship between endogenous and predetermined variables. However, the impact of some events, such as Eid al-Fitr and fuel price adjustments, still cannot be accommodated in the TSpVARX model. This condition causes inflation and money outflow forecasting using TSpVARX to be unsatisfactory. Our study is to improve the forecasting performance of the TSpVARX model by adding subset and dummy variables. We use a 12th lag subset variable to capture seasonal effects and a dummy variable to represent fuel price changes. These additions enhance the model's accuracy in forecasting inflation and money outflow by accounting for recurring patterns and specific events, like fuel price changes. Based on the RMSE values of the training and testing data, we can conclude that forecasting inflation and money outflow using TSpVARX with the addition of subset and dummy variables is better than the regular TSpVARX. The inflation and money outflow forecasting generated after the addition of subset and dummy variables are also more fluctuating as in the movement of the actual data. [ABSTRACT FROM AUTHOR] |
| Copyright of Economies is the property of MDPI and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Βάση Δεδομένων: | Business Source Index |
καταχωρήστε σχόλιο πρώτοι!