Pdf Valid Bayesian Estimation Of The Cointegrating Error Correction Js

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To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. 2003, Journal of Business & Economic Statistics Ghsduwphqw ri Hfrqrplfv dqg Qx!hog Froohjh/ Xqlyhuvlw| ri R{irug/ R{irug R[4 4QI/ XN 4; Mdqxdu| 5333 Suholplqdu| yhuvlrq Devwudfw= Zkhq dqdo|vlqj pdfur hfrqrplf gdwd lw lv riwhq ri uhohydqfh wr doorz iru vwuxfwxudo euhdnv... Model Vector Error Correction (VEC) merupakan salah satu model perkembangan dari Vector Autoregressive (VAR) yang sering digunakan untuk menjelaskan prediksi jangka panjang. Tujuan dari penulisan penelitian ini adalah menjelaskan prosedur dan penerapan model VEC pada harga penutupan indeks saham JKSE, KOSPI, NIKKEI,dan PSEI. Prosedur model VEC meliputi identifikasi model, estimasi parameter, dan uji kesesuaian model.

Identifikasi model meliputi stasioneritas, uji kointegrasi menggunakan uji kointegrasi johansen, dan penentuan lag. Estimasi parameter dan pengujian signifikansi parameter. Pengujian estimasi parameter menggunakan metode maximum likelihood estimation (MLE).Uji kesesuaian model meliputi uji autokorelasi error dengan menyajikan plot ACF/ PACF, dan uji normalitas dengan uji jerque bera. Model VEC yang sesuai pada data JKSE, KOSPI, NIKKEI, dan PSEI yaitu VEC orde 2 dengan nilai kointegrasi 1. Model dengan hasil peramalan yang baik memiliki Mean Absolute Percentage Error (MA... arXivLabs is a framework that allows collaborators to develop and share new arXiv features directly on our website.

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