PENDUGAAN PARAMETER MODEl DISTRIBUTED LAG POLA POLINOMIAL MENGGUNAKAN METODE ALMON
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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