使用自行回归集成移动平均线 (ARIMA) 和通用时空ARIMA (GSTARIMA) 预测爪岛对通胀的空间影响
Anisya Safira1, Riswanda Ayu Dhiya'ulhaq1, Indah Fahmiyah1
1Data Science Technology, Faculty of Advanced Technology and Multidiscipline, Universitas Airlangga, Surabaya, 60115, Indonesia.
MethodsX
|August 5, 2024
概括
准确的通货膨胀预测在爪岛对经济稳定至关重要. 该研究发现,将空间因素纳入的通用时空ARIMA (GSTARIMA) 模型显著提高了对传统自回归集成移动平均线 (ARIMA) 模型的预测准确性.
科学领域:
- 宏观经济学 宏观经济学
- 计量经济学 计量经济学
- 时间序列分析时间序列分析
背景情况:
- 印尼的通货膨胀是一个持续的宏观经济挑战,在2008年至2023年期间,年利率大幅波动,往往没有达到目标.
- 爪岛的实质性经济贡献和国内生产总值 (GDP) 使其通胀率成为国家经济健康的关键指标.
- 准确的通货膨胀预测对于实施有效的货币政策来控制商品和服务成本至关重要.
研究的目的:
- 为了预测整个爪岛的通货膨胀率.
- 为了比较单变量和时空时间序列模型的预测精度.
- 确定在印尼加强通货膨胀控制政策的最佳模式.
主要方法:
- 使用了2008年1月至2023年12月Java岛所有省份的每月通货膨胀数据.
- 采用了两种时间序列预测方法:自回归集成移动平均 (ARIMA) 用于单变量分析.
- 一般化时空ARIMA (GSTARIMA) 用于多变量分析,结合空间依赖.
主要成果:
- GSTARIMA模型表现出卓越的准确性,与ARIMA模型的0.319相比,实现了0.113的较低的平均根平均平方误差 (RMSE).
- 最优的GSTARIMA模型配置是GSTARIMA(1,1) 使用反向距离矩阵,突出空间坐标的重要性.
- 包括空间因素显著提高了爪岛内通货膨胀预测的准确性.
结论:
- 与标准ARIMA模型相比,通用时空ARIMA (GSTARIMA) 模型为Java岛的通货膨胀预测提供了更准确的方法.
- 空间因素在提高通货膨胀预测的准确性方面发挥着关键作用,为决策者提供了宝贵的见解.
- 这些发现支持使用先进的时空模型来改善印尼的经济规划和通货膨胀管理.
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