Open AccessSpatial vector autoregressive model with calendar variation and its application
Author(s) -
Eni Sumarminingsih,
Set Setiawan,
Agus Suharsono,
Budi Nurani Ruchjana
Publication year - 2020
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1663/1/012005
Subject(s) - autoregressive model , inflation (cosmology) , econometrics , variation (astronomy) , series (stratigraphy) , money supply , time series , estimation , vector autoregression , computer science , statistics , economics , mathematics , monetary policy , macroeconomics , paleontology , physics , management , theoretical physics , astrophysics , biology
The Vector Autoregressive (VAR) model can be used to determine the relationships among several interacting variables in time series data. While the Spatial VAR (SpVAR) model was developed to accommodate temporal dynamics and spatial dynamics simultaneously. Time series data in economics are often influenced by events such as holidays occurring based upon the lunar calendar. Hence, it happens on different dates and months each year. Such holidays are called calendar variations. The purpose of this paper is to develop a SpVAR model with the effects of calendar variations, discuss the parameter estimation method and apply the model to Inflation and Money Supply data in three cities in West Java, Indonesia. Parameters are estimated by using Full Information Maximum Likelihood. The result for the application is there is a relationship between Money Supply in Cirebon and Inflation in Bandung and Tasikmalaya. Also, there are effects of calendar variation on Inflation and Money Supply in all three cities.