Journal of Fundamental Mathematics and Applications (JFMA)
Vol 7, No 1 (2024)

ROBUST PREDICTION INTERVALS FOR INDONESIAN INFLATION: A BIAS-CORRECTED BOOTSTRAP APPROACH

Mahmudah, Umi (Unknown)
Fatimah, Siti (Unknown)



Article Info

Publish Date
30 Jun 2024

Abstract

Inflation is important to be analyzed due to its impact is felt across various aspects of the economy and individuals' lives. This research aimed to develop robust and reliable predictions concerning Indonesian inflation using the bias-corrected bootstrap method for an AR model. The data utilized spanned from January 2020 to September 2023 and was obtained from Bank Indonesia's website. The analysis provided the optimal order in the AR model, which resulted in p=2 as the best order (AIC=-1.858, BIC=-1.698, and HQ=-1.798). The number of bootstrap replications used was B=100, 250, 500, and 1000. The analysis was conducted using R Studio. The analysis results indicated that the model employed for prediction analysis was highly stable, with all point forecasts indicating result consistency. The prediction results suggested that inflation in Indonesia was expected to decrease in the upcoming 5 months. The results also revealed that the bias-corrected bootstrap approach could provide forecasting results with a higher level of accuracy. This research contributed to the understanding and forecasting of Indonesian inflation, emphasizing model stability and consistent results.

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Journal Info

Abbrev

jfma

Publisher

Subject

Decision Sciences, Operations Research & Management

Description

Journal of Fundamental Mathematics and Applications (JFMA) is an Indonesian journal published by the Department of Mathematics, Diponegoro University, Semarang, Indonesia. JFMA has been published regularly in 2 scheduled times (June and November) every year. JFMA is established to highlight the ...