Addition of Subset and Dummy Variables in the Threshold Spatial Vector Autoregressive with Exogenous Variables Model to Forecast Inflation and Money Outflow

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dc.authoridhttps://orcid.org/0000-0003-2892-2894
dc.authoridhttps://orcid.org/0000-0003-3809-4527
dc.authoridhttps://orcid.org/0000-0003-1194-769X
dc.authoridhttps://orcid.org/0000-0001-5410-812X
dc.contributor.authorSetiawan, Setiawan
dc.contributor.authorSohibien, Gama Putra Danu
dc.contributor.authorPrastyo, Dedy Dwi
dc.contributor.authorAkbar, Muhammad Sjahid
dc.contributor.authorKamil, Anton Abdulbasah
dc.date.accessioned2025-03-25T10:26:22Z
dc.date.available2025-03-25T10:26:22Z
dc.date.issued2024
dc.departmentİktisadi İdari ve Sosyal Bilimler Fakültesi
dc.description.abstractThe 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.
dc.identifier.citationSetiawan, 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
dc.identifier.doi10.3390/economies12120352
dc.identifier.issn2227-7099
dc.identifier.issue12
dc.identifier.urihttps://hdl.handle.net/11363/9599
dc.identifier.volume12
dc.identifier.wos001386660200001
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.institutionauthorKamil, Anton Abdulbasah
dc.institutionauthoridhttps://orcid.org/0000-0001-5410-812X
dc.language.isoen
dc.publisherMDPI, ST ALBAN-ANLAGE 66, CH-4052 BASEL, SWITZERLAND
dc.relation.ispartofECONOMIES
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectnonlinear time series
dc.subjectthreshold spatial
dc.subjectSpVAR
dc.subjectinflation
dc.subjectsubset variable
dc.subjectTSpVARX
dc.titleAddition of Subset and Dummy Variables in the Threshold Spatial Vector Autoregressive with Exogenous Variables Model to Forecast Inflation and Money Outflow
dc.typeArticle

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