Nisa, Khoirin and Warsono, Warsono and Putri, Rima Nugrahiya and Widiarti, Widiarti and Russel, Edwin (2020) Analysis of wholesale price indexes with the vector error correction model (VECM) approach. TEST, ENGINEERING & MANAGEMEN, 82. pp. 6898-6913. ISSN 0193-4120

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Abstract

To obtain the wholesale price index (WPI) model and see the causal relationship between variables with the VECM approach based on the period January 2000 to August 2019. In this study, 3 variables are used; (i) Agriculture, (ii) Industry and (iii) Oil and Gas. This research begins with the stationarity test by looking at the plot and unit root test. When the variables are not stationary, a differencing is necessarily needed. The lag assessment is performed by observing at the smallest Aikake Information Criteria (AIC) and Schwarzt Information Criteria (SIC). A cointegration test using Johansen test is conducted to find whether there is a longterm relationship between WPI variables as a condition to proceed to VECM modeling. To see the dynamic behavior of the VECM model the Impulse Response Function (IRF) is used. The best model obtained in this study is VECM(3) and based on the Granger causality analysis we obtained that Industry is affected by Oil and Gas, and Oil and Gas is affected by Industry and Agriculture.

Item Type: Article
Subjects: H Social Sciences > HA Statistics
Divisions: Fakultas Matematika dan Ilmu Pengetahuan Alam (FMIPA) > Prodi Matematika
Depositing User: DR. KHOIRIN NISA
Date Deposited: 27 May 2020 08:15
Last Modified: 27 May 2020 08:15
URI: http://repository.lppm.unila.ac.id/id/eprint/20706

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