JAMBURA JOURNAL OF PROBABILITY AND STATISTICS
Vol 2, No 1 (2021): Jambura Journal Of Probability and Statistics

ANALISIS KETERKAITAN ANTAR KELOMPOK PENGELUARAN INFLASI MENGGUNAKAN VECTOR AUTOREGRESSIVE MODEL

DIKSA, I GUSTI BAGUS NGURAH (Unknown)



Article Info

Publish Date
04 Apr 2021

Abstract

In this study, testing steps were carried out, namely the stationarity test, determining the optimum lag, hypothesis testing and the formation of the VAR model, the Granger causality test and classical assumptions. The data used are month to month inflation data for each inflation expenditure group in Indonesia for the period January 2013 to December 2019. The inflation expenditure group is foodstuffs; processed food, beverages, cigarettes and tobacco; housing, water, electricity, gas and fuel; clothing; health; education, recreation and sports; and transportation, communication, and financial services. However, in this study only five inflation expenditure groups were used, namely foodstuffs; processed food, beverages, cigarettes and tobacco; housing, water, electricity, gas and fuel; clothing; as well as transportation, communication and financial services. The purpose of this study is to analyze the relationship between inflation expenditure groups and to find a forecasting model for inflation expenditure groups in Indonesia. After the Granger causality test was carried out, all probability values between endogenous variables, namely the five groups of inflation expenditures were less than 0,05 or rejected H0. Therefore, it can be concluded that there is a causal relationship between endogenous variables.

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Journal Info

Abbrev

jps

Publisher

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Environmental Science Social Sciences

Description

Probability Theory Mathematical Statistics Computational Statistics Stochastic Processes Financial Statistics Bayesian Analysis Survival Analysis Time Series Analysis Neural Network Another field which is related to statistics and the applications Another field which is related to Probability and ...