Comparison the Error Rate of Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) (Case study: Forecast of Export Quantities in DIY)

Dewi Kusuma Ningrum, Sugiyarto Surono

Abstract

Forecasting is estimating the size or number of something in the future. Regression model that enters current independent variable value, and lagged value is called distributed-lag model, if it enters one or more lagged value, it is called autoregressive. Koyck method is used for dynamic model which the lagged length is unknown, for the known lagged length it is used the Almon method. Vector Autoregressive (VAR) is a method that explains every variable in the model depend on the lag movement from the variable itself and all the others variable. This research aimed to explain the application of Autoregressive distributed-lag model and Vector Autoregressive (VAR) method for the forecasting for export amount in DIY. It takes export amount in DIY and inflation data, kurs, and Indonesias foreign exchange reserve. Forecasting formation: defining Koyck and Almon distributed-lag dynamic model, then the best model is chosen and distribution-lag dynamic forecasting is performed. After that it is performed stationary test, co-integration test, optimal lag examination, granger causality test, parameter estimation, VAR model stability, and performs forecasting with VAR method. The forecasting result shows MAPE value from ARDL method obtained is 0.475812%, while MAPE value from VAR method is 0.464473%. Thus it can be concluded that Vector Autoregressive (VAR) method is more effective to be used in case study of export amount in DIY forecasting.
Keywords: Koyck; Almon; Lag; Autoregressive Distributed-Lag; Vector Autoregressive;

Keywords

Eksakta; MIPA; Matematika

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Eksakta: Journal of Sciences and Data Analysis

E-ISSN 2720-9326 and P-ISSN 2716-0459
Published by: 
Faculty of Mathematics and Natural Sciences
Universitas Islam Indonesia, Yogyakarta

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