01 Analisis Runtut Waktu

POLITEKNIK STATISTIKA STIS
For Better Official Statistics
PENGANTAR
TIME SERIES ANALYSIS:
Konsep dan Pemodelan
Pertemuan I / 2022
PENDAHULUAN
Types of Data
▪ Cross-Section
▪ Time Series
▪ Longitudinal/Panel
3
Cross-Sectional Data
Cross-sectional
data are
observations
collected at a
single point in
time
4
Time Series Data
A time series consists

of data that are
collected, recorded, or
observed over
successive increments
of time.
5
Panel Data
6
Stochastic Process vs. Time Series
7
Two General “Classes” of Processes
✓ Stationary
▪ Unconditional mean and variance constant
▪ Time-invariant covariance
✓ Nonstationary
8
Stationary Processes?
9
Nonstationary Time Series
Nonstationary in Mean Nonstationary in Variance
10
Modelling Time Series Data
Case 1 Case 2
Sales predicted by sales pattern in the past Sales predicted by other relevant variables
https://exceldashboardschool.com/sales-forecast-chart/ https://www.sganalytics.com/blog/choosing-right-price-elasticity-model/
SALEt = a + b.SALEt-1 +et SALEt = a + b.PRICEt +et

SALEt = a + b.t + c.t2+et SALEt = a + b.PRICEt +c.ADVt+et 11
Time Series Analysis
✓ Time Series Forecasting

▪ Menjelaskan pola data berdasarkan waktu
▪ Memprediksi kejadian yang akan datang berdasarkan perilaku variabel tersebut di masa
lalu
✓ Causal Methods
▪ Eksplanatoris atau kausalitas, yakni menganalisis hubungan antar variabel time series
▪ Mengestimasi parameter-parameter hubungan antar variabel ekonomi, seperti elastisitas,
propensitas, multiplier, dsb dengan menggunakan data time series
12
Classification of Forecasting Methods
Forecasting Method
Objective Subjective (Judgmental)

Forecasting Methods Forecasting Methods
Time Series Causal

Analogies
Methods Methods
Naïve Methods Simple Regression

Delphi Method
Moving Averages Multiple Regression
Survey
Exponential Smoothing Neural Networks
Trend Decomposition
Sales Force Composite
ARIMA
Neural Networks
Combination of Time Series – Causal Methods

▪ VAR, VECM
▪ Intervention Model
▪ ARIMAX
▪ VARIMA (VARIMAX)
▪ Neural Networks
References: Makridakis et al; Hanke and Reitsch; Wei, W.W.S.; and Box, Jenkins and Reinsel
Classification of
Forecasting Methods [2]
Sources: Zellner M, Abbas AE, Budescu

DV, Galstyan A (2021)
14
Forecasting Methods Popularity
Most frequently searched forecasting methods Distribution of most frequently searched forecasting
according to Google Scholar over time topics according to Google Scholar over time
Sources: Zellner M, Abbas AE, Budescu

DV, Galstyan A (2021)
15
PEMODELAN DAN
PERAMALAN
Five Steps in the Forecasting Process
Problem formulation and data

1 collection
Data manipulation and
cleaning
2
3 Model building and evaluation
Model implementation
(the actual forecast)
4
5 Forecast evaluation
References: Hanke (2014) 17

Problem Formulation and Data Collection
✓ Specification of a forecasting problem

▪ Why is a forecast needed?
▪ Who will use the forecast?
▪ What level of detail or aggregation is required, and what is the proper time horizon?
▪ What data are available, and will the data be sufficient to generate the needed forecast?
▪ etc.
✓ The relevant data must be available and correct

▪ Data should be reliable and accurate
▪ Data should be relevant
▪ Data should be consistent
▪ Data should be timely
18
Data Manipulation and Cleaning
✓ Periksa kesamaan periode waktu: menit, harian, pekanan, bulanan, triwulanan, tahunan.
Jika belum sama, maka disamakan.
✓ Periksa kesamaan satuan (unit) dan tahun dasar. Jika belum sama, maka disamakan
✓ Atasi “missing data”, dengan interpolasi, deleting cases, dsb
✓ Cek kembali nilai-nilai ekstrim (terlalu tinggi atau terlalu rendah)
✓ Agregasi/Disagregasi data. Pahami data stock (posisi) atau data flow (aliran); bisa
diagregasi atau tidak. Misal jumlah penduduk (posisi), nilai produksi (flow, bisa diagregasi)
✓ dll.
19
Model Building and Evaluation
1 Eksplorasi pola data
2 Memilih teknik peramalan
3 Evaluasi model: perkiraan akurasi ramalan
20
STEP 1
EKSPLORASI POLA
DATA
Eksplorasi Pola Data
The first step is visual inspection: graph and observe your data
“You can observe a lot just by watching”

Yogi Berra
22
Pola Umum Data Time Series
Sebelum memilih model time series yang tepat, pertama kali yang dilakukan adalah
mengeksplorasi pola data.
✓ Pola horizontal (stasioner pada rata-rata)
✓ Pola trend
✓ Pola seasonal
✓ Pola cyclical
23
Pola Horizontal
24
Pola Trend
A trend exists when there is a long-term increase or decrease in the data. 25

Pola Seasonal
Indonesian Economic Growth (Quarter-over-Quarter)

5
0
2011Q1 2011Q2 2011Q3 2011Q4 2012Q1 2012Q2 2012Q3 2012Q4 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
-1
-2
-3
A seasonal pattern occurs when a time series is affected by seasonal factors such as the time of the
year or the day of the week. Seasonality is always of a fixed and known frequency.
26
Pola Cyclic
A cycle occurs when the data exhibit rises and falls that are not of a fixed frequency.
27
Pola Kombinasi
▪ The monthly housing sales (left) show strong seasonality within each year, as well as some strong cyclic
behaviour with a period of about 6–10 years. There is no apparent trend in the data over this period.
▪ The Australian quarterly electricity production (right) shows a strong increasing trend, with strong seasonality.
There is no evidence of any cyclic behaviour here. 28
Pola Kombinasi [2]
29
STEP 2
MEMILIH TEKNIK
PERAMALAN
Forecasting Methods
✓ Subjective (excluded in this course)

✓ Objective
❑ Time Series Forecasting (Univariate)
▪ Deterministic Model
o Smoothing methods
o Time series decomposition
▪ Stochastic (Statistical) Model
o Models for stationary data
o Models for non-stationary data
❑ Causal Methods
▪ Error correction model
▪ Autoregressive distributed lag model
31
How to Select the Method?
To select the appropriate forecasting technique properly, the forecaster must be able to
accomplish the following: (see Hanke, 2014: 32-34)
✓ Define the nature of the forecasting problem.
✓ Explain the nature of the data under investigation.
✓ Describe the capabilities and limitations of potentially useful forecasting techniques.
✓ Develop some predetermined criteria on which the selection decision can be made.
32
Smoothing Methods
Tujuan untuk mengurangi komponen irregular sehingga komponen trend, seasonal, dan cyclic
lebih jelas terlihat
33
Time Series Decomposition
Prinsip dasar dekomposisi time series

adalah menguraikan data time
series ke dalam komponen-
komponen pembentuknya, agar
dapat dipahami lebih baik serta dapat
digunakan untuk peramalan
34
Stochastic Models
Stochastic Model: bersifat probabilistik, ada asumsi-asumsi tertentu pada error term
✓ Models for stationary data: AR, MA, ARMA
✓ Models for non-stationary data: ARIMA, SARIMA
35
Choosing a Forecasting Technique
36
STEP 3
EVALUASI
AKURASI MODEL
Forecast Evaluation – General Idea
✓ Hard to say how a given strategy will perform in the future

▪ Anything can happen?
✓ Idea: estimate the model on a fraction of the available data and use the remaining
part to evaluate out-of-sample forecast performance
38
Example 1
✓ Background: 21 Dec 2012 (Friday) - the end of a long cycle according to the Mayan calendar
✓ Resulting weather forecast:
Is it a good forecast? 39
Example 2
Is this a “good” forecast?

40
Forecast Often!
✓ Forecasts from the same model need to be repeated

▪ Models are evaluated using out-of-sample forecast performance
✓ The properties of a model (correct on average, low volatility) are evaluated using
various statistical measures
▪ Average of the forecast errors, degree of uncertainty
✓ Evaluation has to be repeated
▪ “It is often said there are two types of forecasts … lucky or wrong!”
41
Lucky or Wrong
✓ Economic variables are random processes and therefore each has a probability
distribution
✓ We call that distribution, which is typically unknown, the “data generation process
(DGP)” of that variable
✓ If the variable can have continuous values, the probability of a single point
forecast being equal to the eventual outcome is zero
✓ Therefore, it is only possible to attach a probability to a range of possible
outcomes encompassing the actual outcome
✓ If a point forecast happens to be equal to the actual outcome, it is purely by
chance and quite unlikely to be repeated in the next period
42
Data Generation Process
✓ Every economic variable has an underlying “data generation process (DGP)”

✓ The DGP is a probability density function, for example, 𝑁 𝜇, 𝜎 2
✓ For any sequence of data points, 𝜋𝑡 drawn from this distribution, we may write
𝑦𝑡+1 = 𝐸 𝑦𝑡+1 | 𝐼𝑛𝑓𝑜𝑟𝑚𝑎𝑡𝑖𝑜𝑛𝑡 + 𝜀𝑡+1
Where 𝐸𝑡 is the “conditional expectation operator” and 𝜀𝑡 is a residual error term,
which we expect to have zero mean
43
Why Conditional Means?
✓ The density for 𝑦𝑡+1 is difficult to estimate precisely, requiring a considerable

amount of data in practice
✓ Conditional means can be estimated more readily using a variety of statistical
procedures (models)
✓ For example, it is often assumed that the conditional mean is a linear function of
other explanatory variables (“information set”), and to use ordinary least squares
to estimate the unknowns in that relationship
44
Assuming that Conditional Mean is Known

✓ We still need an estimate of 𝜀𝑡+1 to complete the forecast
✓ Assuming 𝜀𝑡+1 is a white noise process from a normal distribution with zero
mean, say, our best guess for all of its future values is zero
✓ So it is typically impossible to predict the actual outcome exactly
45
Source of Forecast Uncertainty #1
✓ Even if we know the conditional mean, our conditional forecast will necessarily
differ from the outcome
✓ Indeed, the observed forecast errors will obviously reflect the distribution of the
true error term, which is normally unknown
✓ The best we can hope for is that, on average, our actual forecast errors are zero.
Why?
✓ Recall that with as 𝑁 → ∞,
σ𝑛𝑡=1 𝜀𝑡
→0
𝑁 𝑝
46
Additional Sources of Forecast Uncertainty
✓ We will continue with our maintained assumption that the conditional mean is
known and correctly specified
✓ However, now assume it depends on a set of variables, X:
𝑦𝑡+1 = 𝐹 𝑋𝑡+1 ; 𝜃 + 𝜀𝑡+1
✓ These variables might be jointly determined within the same system (economic
model), or be determined outside of the system (exogenous)
✓ The right-hand side or explanatory variables, 𝑋𝑡 , will need to be forecasted using
additional equations, namely:
𝑋𝑡+1 = 𝐺 𝑍𝑡+1 ; 𝛽 + 𝑢𝑡+1
47
✓ Inherent randomness of the explanatory variables

✓ The uncertainty associated with 𝑋𝑡 will also result in a wider forecast confidence
interval for 𝑦𝑡
48
What if Parameters of DGP are Unknown
✓ We will continue with our maintained assumption that the conditional mean is
known
✓ However, let’s now assume that we don’t know the values of the parameters on X,
namely 𝜃
𝑦𝑡+1 = 𝐹 𝑋𝑡+1 ; 𝜃 + 𝜀𝑡+1
49
✓ The unknown parameters need to be estimated from the available data, which are
random
✓ It follows that the estimates of 𝜃 are necessarily random variables and therefore
can contribute to your forecast errors
✓ Why? Estimates of the unknown parameters will typically be different from their
true values: 𝜃መ ≠ 𝜃
50
More Sources of Forecast Uncertainty
✓ The conditional mean is misspecified. Why? Perhaps

▪ The set of variables in X is incomplete
▪ Actual functional form used is wrong (linear or non-linear?)
▪ Underlying parameters may change over time (i.e., structural break)
✓ Estimation Issues:
▪ Parameters are estimated incorrectly (possibly because of misspecification,
measurement error in the explanatory variables and a poor estimation
procedure)
51
What We Learned
𝑦𝑡+1 = 𝐹 𝑋𝑡+1 ; 𝜃 + 𝜀𝑡+1

✓ Sources of forecast uncertainty
▪ Economic variables are inherently random
▪ There are unknown parameters in the conditional mean that need to be
estimated
▪ Explanatory variables also need to be forecast and could be random
quantities themselves
▪ The working form of the conditional mean may be misspecified
52
How to Measure Forecast Uncertainty
53
Measures of Forecast Uncertainty
✓ How can we measure forecast uncertainty?

✓ How do we use a measure of forecast uncertainty in practice?
✓ Unfortunately, there is no unique measure of forecast accuracy and precision
54
Common Statistical Measures
✓ Bias: the difference between the forecasts and the correct outcome (on average)
✓ Variance (“standard forecast error, SE”): A narrow range of outcomes is
compatible with the forecast
✓ Mean Squared Forecast Error (MSFE): A combination of bias and variance that is
commonly reported in forecast comparisons
The smaller they are the better the forecast
55
Measures of Forecast Accuracy
𝑓
1 ✓ Bias : The average of the forecast errors
𝐵𝐼𝐴𝑆 = ෍ 𝐹𝐸𝑡 di mana 𝐹𝐸𝑡 = 𝑦ො𝑡 − 𝑦𝑡
𝑓 ✓ SE : Standard forecast error
𝑡=1
✓ MSE : Mean Squared Error
𝑓
1 ✓ RMSE : Root Mean Squared Error
𝑆𝐸 = ෍ 𝐹𝐸𝑡 − 𝐵𝐼𝐴𝑆 2
𝑓 ✓ MAE : Mean Absolute Error
𝑡=1
✓ MAPE : Mean Absolute Percentage Error
𝑓
1
𝑀𝑆𝐸 = ෍ 𝐹𝐸𝑡2
𝑓
𝑡=1
𝑓
1
𝑅𝑀𝑆𝐸 = ෍ 𝐹𝐸𝑡2
𝑓
𝑡=1
𝑓 𝑓
1 1 𝐹𝐸𝑡
𝑀𝐴𝐸 = ෍ 𝐹𝐸𝑡 𝑀𝐴𝑃𝐸 = ෍
𝑓 𝑓 𝑦𝑡
𝑡=1 𝑡=1 56
Forecast Strategies
✓ When evaluating a model, important to do it for different forecast horizons (short-

and long-run)
✓ Two forecasting strategies
▪ Expanding window
o A model is estimated in [1, 𝑇] and forecast is made for 𝑇 + ℎ
o At 𝑇 + 1 the model is re-estimated on [1, 𝑇 + 1] and a forecast is made for 𝑇 + ℎ + 1
o Estimation window expands as we progress into the future: get data, re-estimate, forecast
o Forecasts are made for the same horizon!
▪ Rolling window
o The size of estimation sample (w) is chosen initially and fixed. 𝑤 can be less than 𝑇
o A model is estimated in [𝑇 − 𝑤 + 1, 𝑇] and a forecast is for 𝑇 + ℎ
o At 𝑇 + 1 the model is re-estimated on [𝑇 − 𝑤 + 2, 𝑇 + 1] and a forecast is made for 𝑇 + ℎ + 1
o Estimation sample rolls forward: get data, re-estimate, forecast
o Again, forecasts are made for the same horizon! Helps you deal with structural breaks too! 57
Expanding vs. Rolling (Sliding) Window
58
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POLITEKNIK STATISTIKA STIS

For Better Official Statistics

A time series consists

Nonstationary in Mean Nonstationary in Variance

SALEt = a + b.SALEt-1 +et SALEt = a + b.PRICEt +et

✓ Time Series Forecasting

Objective Subjective (Judgmental)

Time Series Causal

Naïve Methods Simple Regression

Moving Averages Multiple Regression

Combination of Time Series – Causal Methods

Sources: Zellner M, Abbas AE, Budescu

Sources: Zellner M, Abbas AE, Budescu

Problem formulation and data

3 Model building and evaluation

References: Hanke (2014) 17

✓ Specification of a forecasting problem

✓ The relevant data must be available and correct

1 Eksplorasi pola data

2 Memilih teknik peramalan

3 Evaluasi model: perkiraan akurasi ramalan

“You can observe a lot just by watching”

A trend exists when there is a long-term increase or decrease in the data. 25

Indonesian Economic Growth (Quarter-over-Quarter)

✓ Subjective (excluded in this course)

Prinsip dasar dekomposisi time series

✓ Hard to say how a given strategy will perform in the future

Is this a “good” forecast?

✓ Forecasts from the same model need to be repeated

✓ Every economic variable has an underlying “data generation process (DGP)”

✓ The density for 𝑦𝑡+1 is difficult to estimate precisely, requiring a considerable

𝑦𝑡+1 = 𝐸 𝑦𝑡+1 | 𝐼𝑛𝑓𝑜𝑟𝑚𝑎𝑡𝑖𝑜𝑛𝑡 + 𝜀𝑡+1

✓ Inherent randomness of the explanatory variables

✓ The conditional mean is misspecified. Why? Perhaps

𝑦𝑡+1 = 𝐹 𝑋𝑡+1 ; 𝜃 + 𝜀𝑡+1

✓ How can we measure forecast uncertainty?

✓ When evaluating a model, important to do it for different forecast horizons (short-

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