State-Dependent Model Based on Singular Spectrum Analysis Vector for Modeling Structural Breaks: Forecasting Indonesian Export
Abstract
:1. Introduction
2. Materials and Methods
2.1. Dataset
2.2. Singular Spectrum Analysis (SSA)
2.3. SSA Parameter Coefficient Mofdeling Using SDM
2.4. SSA Vector Parameter Coefficient Modeling Using SDM
- Form a matrix that is a linear operator showing orthogonal projections c , where , and is a modified LRF parameter coefficient based on the EKF in Equation (17).
- Forming SSAV operator , which is formulated as follows:
- The matrix is a combination of matrices G and , where the matrix , for i = K + 1, …, K + h + L − 1. The vectors that make up the matrix are denoted as follows:
- Applying a diagonal averaging process to the matrix to obtain prediction in the 1st to n-th and the next h-th point prediction, . Therefore, the forecasting results in the next h period are denoted as follows: .
2.5. Accuracy Evaluation
3. Results and Discussion
3.1. Modeling Indonesian Export Data Using SSAR, SSAV, SDM-SSAR, SDM-SSAV, Hybrid ARIMA-LSTM, and VARI
3.2. Simulation Study
3.3. Forecasting Indonesian Export Using SDM-SSAV
4. Conclusions
Author Contributions
Funding
Data Availability Statement
Acknowledgments
Conflicts of Interest
References
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No. | Statistics | |
---|---|---|
1. | Observations (month) | 360 |
2. | Mean (million US$) | 9983 |
3. | Standard deviation (million US$) | 5627.53 |
4. | Struct. breaks by Bai-Perron test | 2000 (January), 2005 (August), 2010 (February), 2018 (June) |
5. | Linearity by Teräsvirta test | p-value = 0.0342 * |
8. | Normality by Shapiro-Wilk test | p-value = 1.398 × 10−13 * |
9. | Stationarity by Zivot-Andrews test | Test statistics = −5.5793 *; Critical values: 0.05= −5.08 |
h | SDM-SSAV | SSAR | RRMSE | Diebold-Mariano Test (p-Value) |
---|---|---|---|---|
t | 0.1153 | 0.1354 | 0.8521 | 2.20 × 10−16 * |
2 | 0.1223 | 0.1434 | 0.8530 | 3.01 × 10−8 * |
3 | 0.1288 | 0.1512 | 0.8518 | 1.64 × 10−5 * |
4 | 0.1334 | 0.1588 | 0.8401 | 4.97 × 10−5 * |
5 | 0.1370 | 0.1662 | 0.8242 | 4.08 × 10−5 * |
6 | 0.1403 | 0.1734 | 0.8090 | 3.64 × 10−5 * |
7 | 0.1431 | 0.1804 | 0.7934 | 4.48 × 10−5 * |
8 | 0.1465 | 0.1872 | 0.7826 | 0.0001 * |
9 | 0.1504 | 0.1940 | 0.7754 | 0.0004 * |
10 | 0.1552 | 0.2008 | 0.7728 | 0.0012 * |
11 | 0.1605 | 0.2075 | 0.7734 | 0.0036 * |
12 | 0.1659 | 0.2143 | 0.7743 | 0.0097 * |
h | SDM-SSAV | SSAV | RRMSE | Diebold-Mariano Test (p-Value) |
---|---|---|---|---|
1 | 0.1153 | 0.1153 | 1.0003 | 0.9637 |
2 | 0.1223 | 0.1248 | 0.9802 | 0.1565 |
3 | 0.1288 | 0.1352 | 0.9525 | 0.0179 * |
4 | 0.1334 | 0.1449 | 0.9210 | 0.0024 * |
5 | 0.1370 | 0.1541 | 0.8892 | 0.0003 * |
6 | 0.1403 | 0.1630 | 0.8607 | 7.92 × 10−5 * |
7 | 0.1431 | 0.1710 | 0.8368 | 7.97 × 10−5 * |
8 | 0.1465 | 0.1791 | 0.8183 | 0.0001 * |
9 | 0.1504 | 0.1865 | 0.8064 | 0.0005 * |
10 | 0.1552 | 0.1939 | 0.8003 | 0.0016 * |
11 | 0.1605 | 0.2008 | 0.7993 | 0.0049 * |
12 | 0.1659 | 0.2076 | 0.7991 | 0.0126 * |
h | SDM-SSAV | SDM-SSAR | RRMSE | Diebold-Mariano Test (p-Value) |
---|---|---|---|---|
1 | 0.1153 | 0.1350 | 0.8543 | 2.20 × 10−16 * |
2 | 0.1223 | 0.1406 | 0.8698 | 5.82 × 10−8 * |
3 | 0.1288 | 0.1454 | 0.8857 | 8.59 × 10−5 * |
4 | 0.1334 | 0.1496 | 0.8916 | 0.0006 * |
5 | 0.1370 | 0.1535 | 0.8925 | 0.0013 * |
6 | 0.1403 | 0.1571 | 0.8933 | 0.0021 * |
7 | 0.1431 | 0.1603 | 0.8929 | 0.0026 * |
8 | 0.1465 | 0.1633 | 0.8976 | 0.0054 * |
9 | 0.1504 | 0.1662 | 0.9053 | 0.0161 * |
10 | 0.1552 | 0.1689 | 0.9189 | 0.0556 ** |
11 | 0.1605 | 0.1712 | 0.9376 | 0.1886 |
12 | 0.1659 | 0.1734 | 0.9569 | 0.4973 |
h | SDM-SSAV | Hybrid ARIMA-LSTM | RRMSE | Diebold-Mariano Test (p-Value) |
---|---|---|---|---|
1 | 0.1153 | 0.2987 | 0.3860 | 2.89 × 10−8 * |
2 | 0.1223 | 0.3030 | 0.4036 | 0.0003 * |
3 | 0.1288 | 0.3074 | 0.4190 | 0.0021 * |
4 | 0.1334 | 0.3120 | 0.4276 | 0.0062 * |
5 | 0.1370 | 0.3168 | 0.4324 | 0.0111 * |
6 | 0.1403 | 0.3218 | 0.4360 | 0.0151 * |
7 | 0.1431 | 0.3271 | 0.4375 | 0.0187 * |
8 | 0.1465 | 0.3327 | 0.4403 | 0.0216 * |
9 | 0.1504 | 0.3386 | 0.4442 | 0.0234 * |
10 | 0.1552 | 0.3448 | 0.4501 | 0.0248 * |
11 | 0.1605 | 0.3514 | 0.4567 | 0.0258 * |
12 | 0.1659 | 0.3581 | 0.4633 | 0.0255 * |
h | SDM-SSAV | VAR(2,1) | RRMSE | Diebold-Mariano Test (p-Value) |
---|---|---|---|---|
1 | 0.1153 | 0.2739 | 0.4210 | 2.2 × 10−16 * |
2 | 0.1223 | 0.2777 | 0.4404 | 6.29 × 10−10 * |
3 | 0.1288 | 0.2817 | 0.4572 | 1.13 × 10−6 * |
4 | 0.1334 | 0.2859 | 0.4666 | 3.25 × 10−5 * |
5 | 0.1370 | 0.2885 | 0.4749 | 0.0002 * |
6 | 0.1403 | 0.2867 | 0.4894 | 0.0008 * |
7 | 0.1431 | 0.2891 | 0.4950 | 0.0018 * |
8 | 0.1465 | 0.2936 | 0.4990 | 0.0036 * |
9 | 0.1504 | 0.2978 | 0.5050 | 0.0059 * |
10 | 0.1552 | 0.3029 | 0.5124 | 0.0088 * |
11 | 0.1605 | 0.3086 | 0.5201 | 0.0122 * |
12 | 0.1659 | 0.3147 | 0.5272 | 0.0161 * |
Scenario | Sample Size | π | ρ | β | η | υ | |
---|---|---|---|---|---|---|---|
1 | n = 157 | n1 = 50 | 10 | 2.8 | 0.009 | 0.3 | 0.4 |
n2 = 57 | 6 | 4.2 | −0.007 | −0.5 | −0.3 | ||
n3 = 50 | 12 | −1.5 | 0.002 | 0.4 | 0.3 | ||
2 | n = 207 | n1 = 60 | 12 | −1.5 | 0.002 | 0.2 | 0.3 |
n2 = 77 | 7 | 4.2 | −0.007 | −0.2 | −0.3 | ||
n3 = 70 | 10 | 1.5 | 0.009 | 0.3 | 0.2 | ||
3 | n = 365 | n1 = 120 | 8 | −1.0 | 0.003 | 0.2 | 0.2 |
n2 = 120 | 7 | 0.6 | −0.003 | −0.3 | −0.4 | ||
n3 = 125 | 9 | −1.2 | 0.002 | 0.2 | 0.2 | ||
4 | n = 405 | n1 = 140 | 7 | 1.3 | 0.003 | 0.2 | 0.3 |
n2 = 120 | 7 | 0.6 | −0.004 | −0.3 | −0.2 | ||
n3 = 145 | 5 | 2.1 | 0.004 | 0.2 | 0.2 |
No | Characteristics | 1st Scenario | 2nd Scenario | 3rd Scenario | 4th Scenario |
---|---|---|---|---|---|
1. | Sample size | 157 | 207 | 365 | 405 |
2. | Stationary (critical value = −5.08) | −5.57 * | −5.57 * | −5.57 * | −5.57 * |
3. | Struct. Breaks (breakpoints t-th) | 25, 50, 74, 110 | 60, 105, 137, 170 | 66, 120, 240, 306 | 60, 140, 212, 285, 345 |
4. | Linearity (p-value) | 0.01098 * | 0.00319 * | 0.00189 * | 0.00402 * |
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Share and Cite
Sasmita, Y.; Kuswanto, H.; Prastyo, D.D. State-Dependent Model Based on Singular Spectrum Analysis Vector for Modeling Structural Breaks: Forecasting Indonesian Export. Forecasting 2024, 6, 152-169. https://doi.org/10.3390/forecast6010009
Sasmita Y, Kuswanto H, Prastyo DD. State-Dependent Model Based on Singular Spectrum Analysis Vector for Modeling Structural Breaks: Forecasting Indonesian Export. Forecasting. 2024; 6(1):152-169. https://doi.org/10.3390/forecast6010009
Chicago/Turabian StyleSasmita, Yoga, Heri Kuswanto, and Dedy Dwi Prastyo. 2024. "State-Dependent Model Based on Singular Spectrum Analysis Vector for Modeling Structural Breaks: Forecasting Indonesian Export" Forecasting 6, no. 1: 152-169. https://doi.org/10.3390/forecast6010009
APA StyleSasmita, Y., Kuswanto, H., & Prastyo, D. D. (2024). State-Dependent Model Based on Singular Spectrum Analysis Vector for Modeling Structural Breaks: Forecasting Indonesian Export. Forecasting, 6(1), 152-169. https://doi.org/10.3390/forecast6010009