POLITEKNIK STATISTIKA STIS

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PENGANTAR
TIME SERIES ANALYSIS:
Konsep dan Pemodelan

Pertemuan I / 2022
 For Better Official Statistics

DATA
 Cross-Section
 Time Series
 Panel

2
 Pemodelan & Peramalan dengan Data Time Series
Case 1 Sales predicted by sales pattern in the Case 2 Sales predicted by other variables
past that affect it
https://exceldashboardschool.com/sales-forecast-chart/

https://www.sganalytics.com/blog/choosing-right-price-elasticity-model/

SALEt = a + b.SALEt-1 +et SALEt = a + b.PRICEt +et

SALEt = a + b.t + c.t2+et SALEt = a + b.PRICEt +c.ADVt+et
Analisis Time Series
• Time Series Forecasting  pertemuan 1-7
• Menjelaskan pola data berdasarkan waktu
• Memprediksi kejadian yang akan datang berdasarkan perilaku
variabel tersebut di masa lalu

• (Classical) Econometrics
• Eksplanatoris atau causality, yakni menganalisis hubungan antar
variabel time series
• Mengestimasi parameter-parameter hubungan antar variabel
ekonomi, seperti elastisitas, propensitas, multiplier, dsb
menggunakan data time series
Classification of Forecasting Methods
Forecasting Method

Objective Subjective (Judgmental)

Forecasting Methods Forecasting Methods

Time Series Causal

Analogies
Methods Methods

Naïve Methods Simple Regression

Delphi

Moving Averages Multiple Regression

PERT
Exponential Smoothing Neural Networks

Trend Decomposition
Survey techniques

ARIMA

Neural Networks
References :
Combination of Time Series – Causal Methods  Makridakis et al. 
 VAR, VECM
Hanke and Reitsch 
 Intervention Model  Transfer
Function (ARIMAX)  VARIMA (VARIMAX) Wei, W.W.S. 
 Neural Networks Box, Jenkins and Reinsel
Pemodelan dan peramalan
Five steps in the forecasting process (Hanke, 2014):

• Problem formulation and data collection

• Data manipulation and cleaning
• Model building and evaluation
• Model implementation (the actual forecast)
• Forecast evaluation
Determining whether data will be useful (Hanke, 2014):
• Data should be reliable and accurate. Proper care must be taken that data
are col- lected from a reliable source with proper attention given to
accuracy.
• Data should be relevant. The data must be representative of the
circumstances for which they are being used.
• Data should be consistent. When definitions concerning data collection
change, adjustments need to be made to retain consistency in historical
patterns. This can be a problem, for example, when government agencies
change the mix or “market basket” used in determining a cost-of-living
index. Years ago personal computers were not part of the mix of products
being purchased by consumers; now they are.
• Data should be timely. Data collected, summarized, and published on a
timely basis will be of greatest value to the forecaster. There can be too
little data (not enough history on which to base future outcomes) or too
much data (data from irrelevant historical periods far in the past).
Data manipulation & cleaning :
• Periksa kesamaan periode waktu: menit, harian, pekanan, bulanan,
triwulanan, tahunan. Jika belum sama, maka disamakan.
• Periksa kesamaan satuan (unit) dan tahun dasar. Jika belum sama, maka
disamakan
• Mengatasi “missing data”, dengan interpolasi, deleting cases, dsb
• Mengecek kembali nilai-nilai ekstrim (terlalu tinggi atau terlalu rendah)
• Agregasi/Disagregasi. Pahami data stock (posisi) atau data flow
(aliran); bisa diagregasi atau tidak. Misal nilai tukar (posisi), nilai
produksi (flow, bisa diagregasi)
• dll
Model building and evaluation:

• Eksplorasi pola data

• Memilih teknik peramalan
• Evaluasi model: perkiraan akurasi ramalan
Eksplorasi Pola Data
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Pola Umum Data Time Series

Sebelum memilih model time series yang tepat, pertama kali yang
dilakukan adalah mengeksplorasi pola data.

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(i) Stasioner vs Tidak Stasioner
Pola Data tidak stasioner

Tidak Stasioner pada Rata-  Tidak Stasioner pada Varians

rata
Case-1: manakah pola data yang stasioner/tidak stasioner
Case-2: Indeks Produksi, pola data stasioner atau tidak?
Indeks
125.00

120.00

115.00

110.00

105.00 Indeks

100.00

95.00

90.00

85.00

80.00
1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8
Case-3: Pola data stasioner/tidak stasioner?
(ii) Dekomposisi Data Time Series
• Komponen jangka panjang: trend dan siklus (cyclical)
• Komponen jangka pendek: musiman (seasonal)
• Komponen random: irregular, tidak tertangkap oleh pola
Dekomposisi Data Time Series & Stasioneritas
• Trend -> tdk stasioner
• Seasonal ->stasioner
• Trend & seasonal-> tdk stasioner
Trend dan Cyclic
Trend dan Cyclic
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Seasonal
Seasonal atau Calender Variation?
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Seasonal atau Calender Variation?
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Memilih Teknik Peramalan
Forecasting technique (in this course):
• Subjective
• Objective
• Causal Method
• Time Series Forecasting
• Deterministic Model
 Smoothing methods
 Time Series Decomposition
• Stochastic (Statistical) Model
 Models for stationary data
 Models for non-stationary data
To select the appropriate forecasting technique properly, the
forecaster must be able to accomplish the following: (see Hanke,
2014: 32-34)

• Define the nature of the forecasting problem.

• Explain the nature of the data under investigation.
• Describe the capabilities and limitations of potentially useful forecasting
techniques.
• Develop some predetermined criteria on which the selection decision can be
made.
 tujuan untuk mengurangi komponen irregular sehingga
komponen trend, seasonal, dan cyclic lebih jelas terlihat
Smoothing Method
Prinsip dasar dekomposisi
time series adalah
menguraikan data time
series ke dalam komponen-
komponen pembentuknya,
agar dapat dipahami lebih
baik serta dapat digunakan
untuk peramalan
Stochastic models (in this course):

• Stochastic Model: bersifat probabilistic, ada asumsi-asumsi tertentu

tentang error.
Models for stationary data: AR, MA, ARMA
Models for non-stationary data: ARIMA, SARIMA
Evaluation:
Measuring Forecast Accuracy
 Mengukur Kesalahan Peramalan
( Forecast Error  Yt  Ft )
T
• Bias - The arithmetic sum of the errors Bias   (forecast error) /T
• MAD - Mean Absolute Deviation t 1
T

• MAPE – Mean Absolute Percentage   (Y t  Ft ) / T

Error
t 1

T
• MSE - Mean Square Error - Similar to MSE   | forecast error |2 /T
simple sample variance t 1
T
  (Y
t 1
t  Ft ) 2 / T

T T
Makridakis (pp 43) MAD   | forecast error | /T   |Yt  Ft | / T
• Simbol yg lain, lihat Hanke, Business t 1 t 1

Forecasting T
MAPE  100 [|Yt  Ft | / Yt ] / T
t 1
Pemilihan Metode Peramalan Terbaik
Pemilihan Metode Peramalan Terbaik
Data training vs Data testing
For Better Official Statistics

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