INDUSTRIAL PRODUCTION INDEX PREDICTION USING TRANSFER FUNCTION TIME SERIES MODEL (ARIMAX)
Industrial Production Index is one of the important indexes which becomes the part of coincident indicator in measuring the economic condition in United States of America. The index uctuation is in uenced by the investment and the vendor performance. Transfer function time series model (ARIMAX) is o...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/23302 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Industrial Production Index is one of the important indexes which becomes the part of coincident indicator in measuring the economic condition in United States of America. The index uctuation is in uenced by the investment and the vendor performance. Transfer function time series model (ARIMAX) is one of the model in time series analysis which could explain the linear correlation between the input series with the output series. In this thesis, Koyck model with the main order (b; r; h) is used as the transfer function in modelling the industrial production index based on the in uence of S&P 500 stock price index and vendor performance. Predicting the industrial production index for few years ahead will be performed by using the the transfer function time series model which has been constructed then followed by validating the prediction values. |
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