Addition of Subset and Dummy Variables in the Threshold Spatial Vector Autoregressive with Exogenous Variables Model to Forecast Inflation and Money Outflow
Yükleniyor...
Dosyalar
Tarih
2024
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
MDPI, ST ALBAN-ANLAGE 66, CH-4052 BASEL, SWITZERLAND
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
nonlinear time series, threshold spatial, SpVAR, inflation, subset variable, TSpVARX
Kaynak
ECONOMIES
WoS Q DeÄŸeri
Q2
Scopus Q DeÄŸeri
Cilt
12
Sayı
12
Künye
Setiawan, Setiawan, Gama
Putra Danu Sohibien, Dedy Dwi
Prastyo, Muhammad Sjahid Akbar,
and Anton Abdulbasah Kamil. 2024.
Addition of Subset and Dummy
Variables in the Threshold Spatial
Vector Autoregressive with
Exogenous Variables Model to
Forecast Inflation and Money Outflow.
Economies 12: 352. https://doi.org/
10.3390/economies12120352
