Bayesian Approach for Indonesia Inflation Forecasting
<p class="04-AbtractCxSpFirst">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...
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| Format: | Article |
| Language: | English |
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EconJournals
2018-09-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/6870 |
| _version_ | 1828015248442916864 |
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| author | Zul - Amry |
| author_facet | Zul - Amry |
| author_sort | Zul - Amry |
| collection | DOAJ |
| description | <p class="04-AbtractCxSpFirst">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.</p><p class="04-AbtractCxSpLast"><strong>Keywords: </strong>ARMA model, Bayes theorem, Inflation, Normal-gamma prior</p><div><p><strong>JEL Classifications: </strong>C13, C15, C22</p></div> |
| first_indexed | 2024-04-10T10:15:51Z |
| format | Article |
| id | doaj.art-8700a852a7a947f8876a4dd166e28f1e |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T10:15:51Z |
| publishDate | 2018-09-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-8700a852a7a947f8876a4dd166e28f1e2023-02-15T16:21:56ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382018-09-0185961023438Bayesian Approach for Indonesia Inflation ForecastingZul - Amry0State University of Medan<p class="04-AbtractCxSpFirst">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.</p><p class="04-AbtractCxSpLast"><strong>Keywords: </strong>ARMA model, Bayes theorem, Inflation, Normal-gamma prior</p><div><p><strong>JEL Classifications: </strong>C13, C15, C22</p></div>https://www.econjournals.com/index.php/ijefi/article/view/6870 |
| spellingShingle | Zul - Amry Bayesian Approach for Indonesia Inflation Forecasting International Journal of Economics and Financial Issues |
| title | Bayesian Approach for Indonesia Inflation Forecasting |
| title_full | Bayesian Approach for Indonesia Inflation Forecasting |
| title_fullStr | Bayesian Approach for Indonesia Inflation Forecasting |
| title_full_unstemmed | Bayesian Approach for Indonesia Inflation Forecasting |
| title_short | Bayesian Approach for Indonesia Inflation Forecasting |
| title_sort | bayesian approach for indonesia inflation forecasting |
| url | https://www.econjournals.com/index.php/ijefi/article/view/6870 |
| work_keys_str_mv | AT zulamry bayesianapproachforindonesiainflationforecasting |