Comparison of GSTARIMA and GSTARIMA-X Model by using Transfer Function Model Approach to Rice Price Data
Year: 2018
Type: conference-paper
Abstract: GSTARIMA-X model is a development of the GSTARIMA model involving exogenous variables. The approach of transfer function model in the GSTARIMA-X model produces a dynamic space-time model. The influence of exogenous variables in a GSTARIMA model can assist in better estimation of response values. In this study, GSTARIMA model will be compared with GSTARIMAX model by using transfer function model approach. Both models are applied to data of medium rice price at the market level in six provinces of Java Island, Indonesia. The exogenous variables in the GSTARIMA-X model use data of dried grain price at the milling level at the same location. The best model of GSTARIMA was GSTARIMA(2 1,1 , 1,0) and GSTARIMA-X with transfer function approach was GSTARIMA-X(0, 2 1,1 , 0,0,0). The performance of comparison model showed that GSTARIMA-X model with a transfer function approach was better model than GSTARIMA model. The RMSEP and MAPE values of GSTARIMA-X model by using transfer function model approach for training and testing data had tendency of lower value compared to GSTARIMA model.
Institutions: Pancasila University, IPB University, Padjadjaran University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W2901243718