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Comparison of ARIMA, SSA, and ARIMA – SSA hybrid model performance in Indonesian economic growth forecasting

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Listed:
  • Fajar, Muhammad
  • Hartini, Sri

Abstract

The aim of this research is to compare among the performance of ARIMA, Singular Spectrum Analysis (SSA), and ARIMA-SSA hybrid model which is applied to Indonesian economic growth forecasting. Data used in this research is economic growth (quarter to quarter, q to q) 1983 Q2 – 2018Q2 taken from Badan Pusat Statistik (BPS). The result of this research concludes that ARIMA-SSA hybrid method shows a better performance in economic growth forecasting compared to ARIMA and SSA based on the RMSE results.

Suggested Citation

  • Fajar, Muhammad & Hartini, Sri, 2020. "Comparison of ARIMA, SSA, and ARIMA – SSA hybrid model performance in Indonesian economic growth forecasting," MPRA Paper 105045, University Library of Munich, Germany, revised 16 Jun 2020.
    • Handle: RePEc:pra:mprapa:105045
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    References listed on IDEAS

    as
    1. Qiang Zhang & Ben-De Wang & Bin He & Yong Peng & Ming-Lei Ren, 2011. "Singular Spectrum Analysis and ARIMA Hybrid Model for Annual Runoff Forecasting," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 25(11), pages 2683-2703, September.
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    More about this item

    Keywords

    hybrid model; ARIMA-SSA; forecasting; growth;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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