PENDUGAAN PARAMETER MODEl DISTRIBUTED LAG POLA POLINOMIAL MENGGUNAKAN METODE ALMON

  • Fitria Virgantari Pakuan University
  • Wilda Rahayu
DOI: https://doi.org/10.30598/barekengvol15iss4pp761-772
Keywords: parameter estimation, distributed lag model, Almon method, polynomial lag

Abstract

The distributed lag model is a regression  model that describes the relationship between the dependent variable of a given period and the independent variables of a certain or previous periods. The model can be used to determine the impact of the independent variable to dependent variables over time and forecast time series data for the next periods. There are two forms of distributed lag model that have been widely proposed in the estimation of distributed lag regression model. The first form  is proposed by Koyck and the second form by Almon. This paper aims to apply the Almon model to examine the effect of  the ratio of BOPO (Operating Cost and Operating Income) to the ROA (Return on Asset) of a government bank based on quarterly data, to estimate its parameters, to examine the feasibility of the model, and to predict the next quarter.  Results shows that distributed lag model is  = 10.110 - 0.078  + 0.015  + 0.026  – 0.045  with Yt is ROA, and Xt is the ratio BOPO  on the 1st quarter until the previous 3 quarters. The model is quite good according to the determination coefficient that is 0.75, no autocorrelation in the model, t test and F test are also significant. Based on the model, the value of ROA ratio next quarter predicted 4.63%. The decrease in profitability ROA ratio is due to an increase in interest expense while interest income can not compensate

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Published
2021-12-01
How to Cite
[1]
F. Virgantari and W. Rahayu, “PENDUGAAN PARAMETER MODEl DISTRIBUTED LAG POLA POLINOMIAL MENGGUNAKAN METODE ALMON”, BAREKENG: J. Math. & App., vol. 15, no. 4, pp. 761-772, Dec. 2021.
Issue
Vol 15 No 4 (2021): BAREKENG: Jurnal Ilmu Matematika dan Terapan
Section
Articles

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