Ikromah, Nidaul (2009) Peramalan nilai tukar nominal rupiah dan inflasi Indonesia dengan metode vektor autoregresi (VAR) / Nidaul Ikromah. Diploma thesis, Universitas Negeri Malang.
Full text not available from this repository.Abstract
Vector Autoregressive (VAR) is a one famous model for the analysis economics studies main use of VAR models are to forecast some time series multivariate variable. VAR can be named as a simultaneus multivariable time series model. VAR is an alternative model which can overcome the existance of autocorrelation and cross correlation in the data which formed simultaneous equation model. In VAR model the endogenous variabel is affected by current and past their value and also effected by the past value of the other endogenous variabel in a model. In this research we present the use of multivariate time series method that is vector Autoregressive (VAR) for modelling and forecasting of Rupiah Nominal Exchange againts US Dollar and Inflation of Indonesian. The data used here was the monthly of Rupiah Nominal Exchange and Inflation for 68 month (January 2003 until Agustus 2008). The first step in data analysis was identification that the started with the examination of stationery assumption. The first data plot Autocorrelation and Partial Autocorrelation plot examination result indicated that were non-stationerity in mean and variance so that differencing was done to overcome non stationerity in mean and transformation of lamda was done to overcome on sationerity in variance afterthat VAR method was applied to the stationer data. Modelling with VAR to Rupiah Nominal Exchange and Inflation yield the best model VAR (3) it has the form 1.000490 - 7.83e-05Rt-5 and 0.005897 1.153719 - 0.2658821 where NEt as Rupiah Nominal Exchange variabel at t periode and Pt as a Inflation variabel at t periode.
| Item Type: | Thesis (Diploma) |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Fakultas Matematika dan IPA (FMIPA) > Departemen Matematika (MAT) > S1 Matematika |
| Depositing User: | library UM |
| Date Deposited: | 15 Jun 2009 04:29 |
| Last Modified: | 09 Sep 2009 03:00 |
| URI: | http://repository.um.ac.id/id/eprint/16835 |
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