CONTOH DATA FORECASTING

A. DATA MENTAH

Diketahui: Awalan nama B = 2 = genap.

Menggunakan data ekspor atau konsumsi. Disini saya memilih data Ekspor.
Tabel 1. Data mentah Time Series Ekspor
Tahun Ekspor
1992.1 7470
1992.2 7891
1992.3 8776
1992.4 9659
1993.1 8977
1993.2 8906
1993.3 9380
1993.4 9344
1994.1 8874
1994.2 9555
1994.3 10760
1994.4 11034
1995.1 10812
1995.2 11998
1995.3 12082
1995.4 12562
1996.1 11112
1996.2 12528
1996.3 12816
1996.4 13732
1997.1 12962
1997.2 14737
1997.3 14364
1997.4 14234
1998.1 12827
1998.2 13193
1998.2 13466
1998.4 10885
1999.1 10811
1999.2 12403
1999.3 14269
1999.4 13769
2000.1 15113
2000.2 15738
2000.3 17829
2000.4 16728
 2001.1 15399
2001.2 15005
2001.3 14231
2001.4 12729
2002.1 12725
2002.2 15114
2002.3 16311
2002.4 15081
2003.1 16075
2003.2 15484

B. UJI CORRELOGRAM

Uji correlogram didapat hasil tingkat level, 1 st difference, dan 2nd difference
adalah sebagai berikut:

1. Tingkat Level
Date: 01/20/21 Time: 11:42
Sample: 1992Q1 2003Q2
Included observations: 46

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.855 0.855 35.841 0.000

2 0.711 -0.071 61.240 0.000
3 0.608 0.066 80.239 0.000
4 0.527 0.016 94.829 0.000
5 0.397 -0.220 103.31 0.000
6 0.342 0.224 109.76 0.000
7 0.357 0.185 116.96 0.000
8 0.364 -0.013 124.66 0.000
9 0.311 -0.127 130.44 0.000
10 0.266 -0.058 134.77 0.000
11 0.255 0.075 138.86 0.000
12 0.192 -0.137 141.26 0.000
13 0.088 -0.107 141.78 0.000
14 0.008 -0.057 141.78 0.000
15 -0.005 0.072 141.78 0.000
16 -0.036 -0.016 141.88 0.000
17 -0.096 -0.128 142.58 0.000
18 -0.093 0.124 143.26 0.000
19 -0.054 0.013 143.50 0.000
20 -0.053 -0.011 143.73 0.000
2. Tingkat 1st difference
Date: 01/20/21 Time: 11:44
Sample: 1992Q1 2003Q2
Included observations: 45

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 -0.032 -0.032 0.0502 0.823

2 -0.114 -0.115 0.6859 0.710
3 -0.133 -0.142 1.5706 0.666
4 0.259 0.242 5.0394 0.283
5 -0.329 -0.378 10.757 0.056
6 -0.377 -0.415 18.451 0.005
7 -0.064 -0.121 18.679 0.009
8 0.234 -0.020 21.819 0.005
9 -0.023 -0.012 21.850 0.009
10 -0.182 -0.230 23.857 0.008
11 0.237 0.009 27.365 0.004
12 0.315 0.097 33.731 0.001
13 -0.014 -0.010 33.744 0.001
14 -0.313 -0.186 40.436 0.000
15 0.102 -0.035 41.165 0.000
16 0.121 0.038 42.225 0.000
17 -0.148 -0.004 43.869 0.000
18 -0.186 0.115 46.565 0.000
19 0.155 0.040 48.525 0.000
20 0.121 -0.100 49.757 0.000

3. Tingkat 2nd difference

Date: 01/20/21 Time: 11:45
Sample: 1992Q1 2003Q2
Included observations: 44

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 -0.453 -0.453 9.6608 0.002

2 -0.047 -0.318 9.7678 0.008
3 -0.179 -0.491 11.342 0.010
4 0.485 0.185 23.268 0.000
5 -0.282 0.033 27.401 0.000
6 -0.186 -0.331 29.239 0.000
7 0.013 -0.345 29.249 0.000
8 0.271 -0.292 33.367 0.000
9 -0.056 -0.028 33.550 0.000
10 -0.279 -0.232 38.179 0.000
11 0.192 -0.219 40.428 0.000
12 0.184 -0.101 42.572 0.000
13 -0.006 0.095 42.574 0.000
14 -0.363 -0.074 51.458 0.000
15 0.215 -0.137 54.696 0.000
16 0.131 -0.039 55.940 0.000
17 -0.122 -0.108 57.053 0.000
18 -0.205 -0.001 60.329 0.000
19 0.208 0.127 63.822 0.000
20 0.045 -0.123 63.995 0.000

Hasil pada diagram batang diatas masih melewati garis berarti tidak
signifikan, maka digunakan Uji Root Test
C. UJI ROOT TEST

Digunakan aplikasi eviews 9 menggunakan uji root test maka didapat hasil
tingkat level, 1st difference, dan 2nd difference adalah sebagai berikut:

1. Tingkat Level

Null Hypothesis: Y has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -1.948404  0.3079

Test critical values: 1% level -3.584743
5% level -2.928142
10% level -2.602225

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(Y)
Method: Least Squares
Date: 01/20/21 Time: 11:49
Sample (adjusted): 1992Q2 2003Q2
Included observations: 45 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

Y(-1) -0.119456 0.061310 -1.948404 0.0579

C 1675.977 784.5253 2.136294 0.0384

R-squared 0.081124    Mean dependent var 178.0889

Adjusted R-squared 0.059754    S.D. dependent var 1082.015
S.E. of regression 1049.189    Akaike info criterion 16.79285
Sum squared resid 47334314    Schwarz criterion 16.87315
Log likelihood -375.8391    Hannan-Quinn criter. 16.82278
F-statistic 3.796278    Durbin-Watson stat 1.982686
Prob(F-statistic) 0.057912
2. Tingkat 1st difference
Null Hypothesis: D(Y) has a unit root
Exogenous: Constant
Lag Length: 5 (Automatic - based on SIC, maxlag=9)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -5.360220  0.0001

Test critical values: 1% level -3.610453
5% level -2.938987
10% level -2.607932

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(Y,2)
Method: Least Squares
Date: 01/20/21 Time: 11:50
Sample (adjusted): 1993Q4 2003Q2
Included observations: 39 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

D(Y(-1)) -2.117848 0.395105 -5.360220 0.0000

D(Y(-1),2) 0.989977 0.339877 2.912751 0.0065
D(Y(-2),2) 1.032088 0.319343 3.231909 0.0028
D(Y(-3),2) 0.733193 0.260446 2.815144 0.0083
D(Y(-4),2) 0.950710 0.209385 4.540481 0.0001
D(Y(-5),2) 0.564873 0.173817 3.249817 0.0027
C 313.0537 160.1700 1.954509 0.0594

R-squared 0.735197    Mean dependent var -27.30769

Adjusted R-squared 0.685547    S.D. dependent var 1641.094
S.E. of regression 920.2617    Akaike info criterion 16.64834
Sum squared resid 27100213    Schwarz criterion 16.94693
Log likelihood -317.6427    Hannan-Quinn criter. 16.75547
F-statistic 14.80746    Durbin-Watson stat 1.913079
Prob(F-statistic) 0.000000

Karena di tingkat 1st difference sudah signifikan, selanjutnya dilakukan

cek stasioner.
D. CEK STASTIONER

Berikut ini merupakan model terbaik yang diperoleh dalam

pengamatan suatu data time series ekspor: Tabel 2. Model Terbaik
Data Time Series Ekspor

Model c Ar (1) Ma(1) Ar (2) Ma (2) R2 S

110 0 0 0.001095
101 0 0 1.001.443
111 *** *** 0 0.151927
210 0 0 0.013277
211 0 0 0 0.015929
120 0 0 0.009079
112 0 0 0 0.011677
212 0 *** *** 0.198332

Keterangan:

1) Tingkat Kepercayaan 99% = ***

2) Tingkat Kepercayaan 95% = **
3) Tingkat Kepercayaan 90% = *

E. HASIL PERAMALAN / FORECASTING

Hasil Forecasting didapat dengan menggunakan metode ARIMA serta

menggunkan uji root test 1st difference adalah sebagai berikut:

Dependent Variable: D(Y)

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 01/20/21 Time: 12:05
Sample: 1992Q2 2003Q2
Included observations: 45
Convergence achieved after 28 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.  

AR(2) -0.983665 0.066652 -14.75821 0.0000

MA(2) 0.898900 0.191471 4.694702 0.0000
SIGMASQ 947066.1 236464.3 4.005112 0.0002

R-squared 0.172679    Mean dependent var 178.0889

Adjusted R-squared 0.133283    S.D. dependent var 1082.015
S.E. of regression 1007.330    Akaike info criterion 16.76626
Sum squared resid 42617973    Schwarz criterion 16.88671
Log likelihood -374.2409    Hannan-Quinn criter. 16.81116
Durbin-Watson stat 1.966450
Inverted AR Roots -.00+.99i     -.00-.99i
Inverted MA Roots -.00+.95i     -.00-.95i

Tabel dibawah ini merupakan tabel peramalan / forecasting data time

series ekspor 5 tahun kedepan. Tabel 3. Peramalan / Forecasting Data
Time Series Ekspor 5 Tahun Kedepan

Last updated: 01/20/21 - 12:06

Modified: 1992Q1 2008Q4 // forecast(e, g) yf
1992Q1 NA
1992Q2 NA
1992Q3 NA
1992Q4 8.878.223.807.119.870
1993Q1 886.347.538.066.932
1993Q2 9.092.922.246.818.500
1993Q3 9.437.261.950.932.620
1993Q4 954.174.738.084.784
1994Q1 9.533.382.403.339.770
1994Q2 9.760.607.851.179.400
1994Q3 1.009.867.758.384.280
1994Q4 1.020.534.494.229.010
1995Q1 1.020.313.847.601.110
1995Q2 1.042.822.078.309.300
1995Q3 1.076.024.148.333.950
1995Q4 1.086.901.388.429.400
1996Q1 1.087.274.891.780.600
1996Q2 1.109.576.360.336.520
1996Q3 1.142.194.842.485.730
1996Q4 1.153.275.169.157.640
1997Q1 1.154.221.886.041.360
1997Q2 1.176.323.878.256.530
1997Q3 1.208.379.336.793.200
1997Q4 1.219.655.593.748.700
1998Q1 122.115.532.546.947
1998Q2 124.306.487.042.055
1998Q3 1.274.577.144.971.370
1998Q4 1.286.042.428.088.510
1999Q1 1.288.075.687.705.300
1999Q2 1.309.799.566.780.840
1999Q3 1.340.787.797.870.770
1999Q4 1.352.435.446.312.590
2000Q1 1.354.983.433.558.340
2000Q2 1.376.528.189.186.710
2000Q3 1.407.010.842.873.660
2000Q4 1.418.834.430.515.440
2001Q1 1.421.879.007.600.210
2001Q2 1.443.250.951.670.020
2001Q3 14.732.458.433.115
2001Q4 1.485.239.170.470.000
2002Q1 1.488.762.838.736.890
2002Q2 1.509.968.060.720.640
2002Q3 1.539.492.377.902.890
2002Q4 155.164.946.335.713
2003Q1 1.555.635.340.760.700
2003Q2 1.576.679.715.552.240
2003Q3 160.575.004.021.142
2003Q4 1.618.065.113.504.550
2004Q1 1.622.496.912.882.920
2004Q2 1.643.386.108.358.640
2004Q3 167.201.843.812.253
2004Q4 1.684.485.932.135.040
2005Q1 1.689.347.940.247.550
2005Q2 1.710.087.424.561.240
2005Q3 1.738.297.193.338.860
2005Q4 1.750.911.737.123.400
2006Q1 1.756.188.794.427.030
2006Q2 17.767.838.430.476
2006Q3 1.804.585.940.893.350
2006Q4 1.817.342.352.762.140
2007Q1 1.823.019.833.900.440
2007Q2 1.843.475.536.401.700
2007Q3 1.870.884.328.679.540
2007Q4 188.377.760.953.525
2008Q1 1.889.841.404.514.930
2008Q2 1.910.162.671.126.090
2008Q3 1.937.192.016.998.350
2008Q4 1.950.217.343.900.080