Analysis of Data Inflation Energy and Gasoline Price by Vector Autoregressive Model

Authors

  • Nairobi Nairobi Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia
  • Ambya Ambya Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia
  • Edwin Russel Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia
  • Sipa Paujiah Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia
  • D. N. Pratama Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia
  • Wamiliana Wamiliana Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, Indonesia
  • Mustofa Usman Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, Indonesia

DOI:

https://doi.org/10.32479/ijeep.12497

Abstract

The study of multivariate time series data analysis has become many topics of research in the fields of economics and business. In the present study, we will analyze data energy inflation and gasoline prices of Indonesia over the years from 2014 to 2020. The purpose of this study is to obtain the best model of the dynamic relationship between inflation and gasoline prices. The dynamic modeling that will be used in this research is modeling using the Vector Autoregressive (VAR) model. From the analysis results, the best model is the VAR model with order 3 (p=3), VAR(3). Based on the best model, VAR(3), further studies will be discussed with regard to Granger causality analysis, Impulse Response Function, and Forecasting.

Keywords:

AICC, VAR(p) model, Granger causality, Impulse Response Function, Forecasting

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Author Biographies

Nairobi Nairobi, Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia

Dept. of EconomicsFaculty of Economics and BusinessUniversitas Lampung

Ambya Ambya, Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia

Dept. of EconomicsFaculty of Economics and BusinessUniversitas Lampung

Edwin Russel, Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia

Dept. of EconomicsFaculty of Economics and BusinessUniversitas Lampung

Sipa Paujiah, Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia

Dept. of EconomicsFaculty of Economics and BusinessUniversitas Lampung

D. N. Pratama, Department of Economic Development, Faculty of Economics and Business, Universitas Lampung, Indonesia

Dept. of EconomicsFaculty of Economics and BusinessUniversitas Lampung

Wamiliana Wamiliana, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, Indonesia

Dept. of MathematicsUniversitas LampungIndonesia

Mustofa Usman, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, Indonesia

Dept. of MathematicsUniversitas LampungIndonesia

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Published

2022-03-20

How to Cite

Nairobi, N., Ambya, A., Russel, E., Paujiah, S., Pratama, D. N., Wamiliana, W., & Usman, M. (2022). Analysis of Data Inflation Energy and Gasoline Price by Vector Autoregressive Model. International Journal of Energy Economics and Policy, 12(2), 120–126. https://doi.org/10.32479/ijeep.12497

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