Open AccessAnalysis of Data Inflation Energy and Gasoline Price by Vector Autoregressive Model
Author(s) -
Nairobi Saib,
Ambya Ambya,
Edwin Russel,
Sipa Paujiah,
D. N. Pratama,
Wamiliana Wamiliana,
Mustofa Usman
Publication year - 2022
Publication title -
international journal of energy economics and policy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.449
H-Index - 33
ISSN - 2146-4553
DOI - 10.32479/ijeep.12497
Subject(s) - vector autoregression , autoregressive model , econometrics , granger causality , impulse response , inflation (cosmology) , economics , time series , gasoline , mathematics , statistics , engineering , mathematical analysis , physics , theoretical physics , waste management
The study of multivariate time series data analysis has become many topics of research in the fields of economics and business. In the present study, we will analyze data energy inflation and gasoline prices of Indonesia over the years from 2014 to 2020. The purpose of this study is to obtain the best model of the dynamic relationship between inflation and gasoline prices. The dynamic modeling that will be used in this research is modeling using the Vector Autoregressive (VAR) model. From the analysis results, the best model is the VAR model with order 3 (p=3), VAR(3). Based on the best model, VAR(3), further studies will be discussed with regard to Granger causality analysis, Impulse Response Function, and Forecasting.