Tugas Metode Peramalan

Nama : Arismansyah
Nim : 16.9026
Kelas : 3D31

Berikut adalah data NTP Provinsi Riau selama periode Januari 2014 sampai Oktober
2018:
1. Menggunakan Grafik
NTP Riau
106

104

102

100

98

96

94

92
5 10 15 20 25 30 35 40 45 50 55

Berdasarkan grafik di atas maka dapat dilihat bahwa data NTP Provinsi Riau tidak stasioner.
2. Menggunakan Correlogram
Date: 12/03/18 Time: 21:09
Sample: 1 58
Included observations: 58

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.925 0.925 52.241 0.000

2 0.836 -0.133 95.720 0.000
3 0.737 -0.115 130.12 0.000
4 0.625 -0.140 155.29 0.000
5 0.510 -0.071 172.40 0.000
6 0.425 0.144 184.46 0.000
7 0.373 0.171 193.94 0.000
8 0.335 0.012 201.74 0.000
9 0.311 -0.011 208.60 0.000
10 0.290 -0.088 214.68 0.000
11 0.255 -0.144 219.48 0.000
12 0.191 -0.191 222.24 0.000
13 0.105 -0.145 223.08 0.000
14 0.008 -0.056 223.09 0.000
15 -0.090 0.010 223.74 0.000
16 -0.199 -0.152 227.04 0.000
17 -0.263 0.193 232.92 0.000
18 -0.292 0.097 240.33 0.000
19 -0.309 -0.089 248.83 0.000
20 -0.323 -0.182 258.38 0.000
21 -0.316 -0.031 267.79 0.000
22 -0.313 -0.045 277.29 0.000
23 -0.322 0.056 287.61 0.000
24 -0.340 0.022 299.41 0.000

Berdasarkan Correlogram diatas terlihat bahwa data masih belum stasioner pada level. Hal ini
ditunjukkan dengan masih adanya balok yang melewati garis putus-putus.
 3. Menggunakan uji akar unit

Null Hypothesis: NTP_RIAU has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on AIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.009271 0.9343

Test critical values: 1% level -4.130526
5% level -3.492149
10% level -3.174802

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(NTP_RIAU)
Method: Least Squares
Date: 12/04/18 Time: 00:07
Sample (adjusted): 3 58
Included observations: 56 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

NTP_RIAU(-1) -0.061304 0.060741 -1.009271 0.3175

D(NTP_RIAU(-1)) 0.207737 0.142567 1.457115 0.1511
C 6.065948 5.789259 1.047794 0.2996
@TREND("1") -0.001893 0.012086 -0.156654 0.8761

R-squared 0.065225 Mean dependent var -0.043036

Adjusted R-squared 0.011295 S.D. dependent var 1.173658
S.E. of regression 1.167010 Akaike info criterion 3.215517
Sum squared resid 70.81949 Schwarz criterion 3.360185
Log likelihood -86.03447 Hannan-Quinn criter. 3.271604
F-statistic 1.209449 Durbin-Watson stat 1.911205
Prob(F-statistic) 0.315531

Berdasarkan uji akar unit diatas terlihat bahwa probability nya sebesar 0,9343 > 0,05
sehingga keputusannya terima H0. Sehingga dapat disimpulkan bahwa data masih belum
stasioner pada level.
Untuk merubah data menjadi stasioner maka digunakan difference. Berikut adalah
hasil diferensiasi pertama:
a. Collerogram

Date: 12/04/18 Time: 00:41

Sample: 1 58
Included observations: 57

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.173 0.173 1.8018 0.179

2 0.022 -0.009 1.8307 0.400
3 0.162 0.164 3.4609 0.326
4 0.100 0.047 4.0996 0.393
5 -0.139 -0.172 5.3503 0.375
6 -0.161 -0.144 7.0638 0.315
7 -0.055 -0.035 7.2704 0.401
8 -0.042 0.016 7.3922 0.495
9 -0.065 0.018 7.6895 0.566
10 0.204 0.261 10.666 0.384
11 0.222 0.154 14.265 0.219
12 0.100 0.032 15.018 0.240
13 0.026 -0.106 15.071 0.303
14 0.033 -0.127 15.155 0.368
15 0.047 0.023 15.333 0.428
16 -0.306 -0.269 23.000 0.114
17 -0.303 -0.167 30.696 0.022
18 -0.048 0.072 30.892 0.030
19 -0.020 0.162 30.927 0.041
20 -0.141 -0.006 32.741 0.036
21 0.002 -0.045 32.741 0.049
22 0.072 -0.150 33.235 0.059
23 -0.006 -0.173 33.239 0.077
24 0.041 0.028 33.410 0.096

Berdasarkan Correlogram diatas terlihat bahwa semua balok tidak ada yang melewati garis
putus-putus, sehingga data tersebut sudah dapat dikatakan stasioner pada first difference.
b. Uji akar unit

Null Hypothesis: D(NTP_RIAU) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on AIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.130247 0.0000

Test critical values: 1% level -4.130526
5% level -3.492149
10% level -3.174802

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(NTP_RIAU,2)
Method: Least Squares
Date: 12/04/18 Time: 00:37
Sample (adjusted): 3 58
Included observations: 56 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(NTP_RIAU(-1)) -0.834889 0.136192 -6.130247 0.0000

C 0.232254 0.325458 0.713623 0.4786
@TREND("1") -0.009180 0.009694 -0.946964 0.3480

R-squared 0.415740 Mean dependent var -0.015893

Adjusted R-squared 0.393693 S.D. dependent var 1.499010
S.E. of regression 1.167215 Akaike info criterion 3.199202
Sum squared resid 72.20677 Schwarz criterion 3.307703
Log likelihood -86.57766 Hannan-Quinn criter. 3.241268
F-statistic 18.85654 Durbin-Watson stat 1.912388
Prob(F-statistic) 0.000001
Berdasarkan uji akar unit terlihat bahwa probability dari Augmented Dickey-Fuller Test yaitu
0,0000 <0,05 maka keputusannya yaitu tolak HO, sehingga dapat disimpulkan bahwa data
NTP Riau tersebut sudah stasioner

Pengujian Model

1. ARIMA (10,1,10)

Date: 12/04/18 Time: 07:14

Sample: 1 58
Included observations: 57
Q-statistic probabilities adjusted for 2 ARMA terms

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.150 0.150 1.3450

2 -0.018 -0.041 1.3640
3 0.186 0.200 3.5187 0.061
4 0.143 0.087 4.8148 0.090
5 -0.111 -0.139 5.6157 0.132
6 -0.098 -0.093 6.2543 0.181
7 -0.012 -0.040 6.2648 0.281
8 0.015 0.052 6.2803 0.393
9 -0.073 -0.019 6.6557 0.466
10 0.009 0.047 6.6618 0.574
11 0.218 0.201 10.138 0.339
12 0.138 0.088 11.555 0.316
13 0.024 0.008 11.597 0.395
14 -0.002 -0.108 11.598 0.479
15 0.090 0.004 12.250 0.507
16 -0.231 -0.281 16.622 0.277
17 -0.221 -0.116 20.745 0.145
18 -0.030 0.029 20.821 0.186
19 -0.002 0.103 20.821 0.234
20 -0.056 0.139 21.104 0.274
21 -0.043 -0.019 21.280 0.322
22 0.004 -0.115 21.281 0.381
23 0.002 -0.170 21.282 0.442
24 0.036 -0.016 21.411 0.495

Dari correlogram diatas terlihat bahwa residual sudah whitenose yaitu balok-
baloknya berada didalam garis putus-putus. Sehingga data non migas tersebut sudah
stasioner.
 Dependent Variable: D(NTP_RIAU)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 12/04/18 Time: 07:13
Sample: 2 58
Included observations: 57
Convergence achieved after 15 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C -0.100422 0.203923 -0.492448 0.6244

AR(10) -0.024837 0.563731 -0.044058 0.9650
MA(10) 0.389218 0.538999 0.722112 0.4734
SIGMASQ 1.192228 0.362277 3.290931 0.0018

R-squared 0.105537 Mean dependent var -0.051228

Adjusted R-squared 0.054907 S.D. dependent var 1.164775
S.E. of regression 1.132346 Akaike info criterion 3.179571
Sum squared resid 67.95700 Schwarz criterion 3.322943
Log likelihood -86.61777 Hannan-Quinn criter. 3.235290
F-statistic 2.084481 Durbin-Watson stat 1.675680
Prob(F-statistic) 0.113276

Inverted AR Roots .66-.21i .66+.21i .41-.56i .41+.56i

.00-.69i -.00+.69i -.41-.56i -.41+.56i
-.66+.21i -.66-.21i
Inverted MA Roots .87+.28i .87-.28i .53+.74i .53-.74i
.00+.91i -.00-.91i -.53-.74i -.53+.74i
-.87-.28i -.87+.28i

2. ARIMA (16,1,16)

Date: 12/04/18 Time: 07:18

Sample: 1 58
Included observations: 57
Q-statistic probabilities adjusted for 2 ARMA terms

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.076 0.076 0.3506

2 0.031 0.026 0.4112
3 0.191 0.188 2.6776 0.102
4 0.095 0.070 3.2475 0.197
5 -0.063 -0.086 3.5083 0.320
6 -0.091 -0.127 4.0580 0.398
7 -0.109 -0.133 4.8546 0.434
8 0.007 0.050 4.8584 0.562
9 -0.097 -0.039 5.5194 0.597
10 0.115 0.202 6.4611 0.596
11 0.070 0.065 6.8181 0.656
12 0.079 0.071 7.2815 0.699
13 0.074 -0.012 7.7042 0.740
14 -0.125 -0.251 8.9280 0.709
15 0.068 0.043 9.3019 0.750
16 -0.033 -0.061 9.3903 0.805
17 -0.334 -0.229 18.745 0.226
18 -0.096 -0.020 19.532 0.242
19 0.073 0.170 20.003 0.274
20 -0.127 -0.020 21.473 0.256
21 -0.001 0.069 21.473 0.311
22 -0.016 -0.098 21.499 0.368
23 0.016 -0.152 21.525 0.427
24 0.048 0.025 21.757 0.474

Dari correlogram diatas terlihat bahwa residual sudah whitenose yaitu balok-baloknya
berada didalam garis putus-putus. Sehingga data tersebut sudah stasioner.
 Dependent Variable: D(NTP_RIAU)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 12/04/18 Time: 07:17
Sample: 2 58
Included observations: 57
Convergence achieved after 13 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.010065 0.108581 0.092699 0.9265

AR(16) -0.431034 0.397489 -1.084393 0.2831
MA(16) -0.075445 0.464442 -0.162442 0.8716
SIGMASQ 1.041662 0.296927 3.508144 0.0009

R-squared 0.218499 Mean dependent var -0.051228

Adjusted R-squared 0.174263 S.D. dependent var 1.164775
S.E. of regression 1.058432 Akaike info criterion 3.096308
Sum squared resid 59.37472 Schwarz criterion 3.239680
Log likelihood -84.24478 Hannan-Quinn criter. 3.152027
F-statistic 4.939400 Durbin-Watson stat 1.825199
Prob(F-statistic) 0.004251

Inverted AR Roots .93+.19i .93-.19i .79+.53i .79-.53i

.53-.79i .53+.79i .19-.93i .19+.93i
-.19-.93i -.19+.93i -.53-.79i -.53+.79i
-.79-.53i -.79+.53i -.93-.19i -.93+.19i
Inverted MA Roots .85 .79-.33i .79+.33i .60-.60i
.60+.60i .33+.79i .33-.79i .00+.85i
.00-.85i -.33+.79i -.33-.79i -.60+.60i
-.60-.60i -.79-.33i -.79+.33i -.85

3. ARIMA(17,1,17)
Date: 12/04/18 Time: 07:20
Sample: 1 58
Included observations: 57
Q-statistic probabilities adjusted for 2 ARMA terms

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.056 0.056 0.1913

2 0.041 0.038 0.2945
3 0.166 0.162 2.0119 0.156
4 0.095 0.079 2.5812 0.275
5 -0.049 -0.071 2.7384 0.434
6 -0.105 -0.138 3.4633 0.483
7 0.033 0.019 3.5382 0.618
8 -0.088 -0.071 4.0662 0.668
9 -0.130 -0.080 5.2590 0.628
10 0.106 0.139 6.0617 0.640
11 0.109 0.131 6.9227 0.645
12 0.081 0.113 7.4103 0.686
13 -0.048 -0.096 7.5859 0.750
14 0.025 -0.086 7.6339 0.813
15 0.051 -0.015 7.8398 0.854
16 -0.327 -0.333 16.590 0.279
17 -0.042 -0.008 16.741 0.335
18 0.043 0.131 16.900 0.392
19 -0.064 0.118 17.257 0.437
20 -0.096 0.033 18.093 0.450
21 -0.016 -0.072 18.117 0.515
22 0.074 -0.088 18.644 0.545
23 -0.098 -0.170 19.600 0.547
24 0.039 -0.018 19.759 0.598

Dari correlogram diatas terlihat bahwa residual sudah whitenose yaitu balok-baloknya
berada didalam garis putus-putus. Sehingga data tersebut sudah stasioner.
 Dependent Variable: D(NTP_RIAU)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 12/04/18 Time: 07:20
Sample: 2 58
Included observations: 57
Convergence achieved after 25 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C -0.012308 0.092376 -0.133243 0.8945

AR(17) -0.258208 0.383968 -0.672473 0.5042
MA(17) -0.305427 0.461452 -0.661883 0.5109
SIGMASQ 1.019804 0.298391 3.417680 0.0012

R-squared 0.234897 Mean dependent var -0.051228

Adjusted R-squared 0.191590 S.D. dependent var 1.164775
S.E. of regression 1.047268 Akaike info criterion 3.092857
Sum squared resid 58.12883 Schwarz criterion 3.236229
Log likelihood -84.14643 Hannan-Quinn criter. 3.148576
F-statistic 5.423918 Durbin-Watson stat 1.820380
Prob(F-statistic) 0.002500

Inverted AR Roots .91+.17i .91-.17i .79-.49i .79+.49i

.56-.74i .56+.74i .25-.89i .25+.89i
-.09-.92i -.09+.92i -.41-.83i -.41+.83i
-.68-.62i -.68+.62i -.86+.33i -.86-.33i
-.92
Inverted MA Roots .93 .87+.34i .87-.34i .69-.63i
.69+.63i .42-.83i .42+.83i .09-.93i
.09+.93i -.26-.90i -.26+.90i -.56+.74i
-.56-.74i -.79-.49i -.79+.49i -.92+.17i
-.92-.17i

Tahap Selanjutnya yaitu pilih model terbaik dengan mempertimbangkan keempat hal
berikut:
1. Nilai Schwarz criterion yang kecil
2. Nilai Akaike Info criterion yang kecil
3. Nilai Sum Square residual yang kecil
4. Nilai Adjusted R Squared yang terbesar

Model AIC SBC SSE Adj. R Squared

ARIMA (10,1,10) 3,1795 3,3229 67,9570 0,0549
ARIMA (16,1,16) 3,0963 3,2397 59,3747 0,1743
ARIMA (17,1,17) 3,0929 3,2362 58,1288 0,1916

Berdasarkan persamaan regresi diatas maka model terbaik yang digunakan yaitu
ARIMA (17,1,17) . hal ini dikarenakan ARIMA (17,1,17) memiliki nilai Akaike Info
Criterion terkecil, begitu juga nilai Schwarz criterion yang terkecil, nilai SSE terkecil dan
nilai adjusted R squared terbesar dibandingkan ARIMA (10,1,10) dan ARIMA (16,1,16).