Amry, Zul (2018) BAYESIAN APPROACH FOR INDONESIA INFLATION FORECASTING. International Journal of Economics and Financial Issues, 08 (05). pp. 96-102. ISSN 2146-4138
Reviewer.pdf - Published Version
Download (161kB) | Preview
Similarity.pdf - Published Version
Download (113kB) | Preview
Abstract
This paper presents a Bayesian approach to find the Bayesian model for the point forecast of ARMA model under normal-gamma prior assumption with quadratic loss function in the form of mathematical expression. The conditional posterior predictive density is obtained from the combination of the posterior under normal-gamma prior with the conditional predictive density. The marginal conditional posterior predictive density is obtained by integrating the conditional posterior predictive density, whereas the point forecast is derived from the marginal conditional posterior predictive density. Furthermore, the forecasting model is applied to inflation data and compare to traditional method. The results show that the Bayesian forecasting is better than the traditional forecasting.
Item Type: | Article |
---|---|
Keywords: | Bayes theorem; Inflation; Normal-gamma prior |
Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HJ Public Finance > HJ2240 Revenue. Taxation. Internal revenue > HJ2351 Inflation and taxation Q Science > QA Mathematics |
Divisions: | Fakultas Matematika dan Ilmu Pengetahuan Alam > Matematika |
Depositing User: | Mrs Harly Christy Siagian |
Date Deposited: | 13 Sep 2018 02:08 |
Last Modified: | 13 Sep 2018 02:10 |
URI: | https://digilib.unimed.ac.id/id/eprint/30900 |