IDENTIFIKASI MODEL SELF-EXCITING THRESHOLD AUTOREGRESSIVE DENGAN SWITCHING TWO REGIME (KASUS PADA DATA EKSPOR AGRIKULTUR DI INDONESIA)

Abstract


 A time series model that explain the structural changes associated with data in a certain time period is the Threshold Autoregressive (TAR) model. The basic of the TAR model there are some different usage regimes in autoregressive analysis. One model based on TAR is a self-exciting threshold autoregressive (SETAR) model with the same delay parameters for each regimen. The SETAR model has a linear nature in each regime but being nonlinear if the models of each regime are combined. In addition, this model can improve jump data that cannot be captured by linear time series models. This means that the SETAR model has high-level parameters through an appropriate switching regime that is applied to agricultural export data in Indonesia. The purpose of this reseach is to test the estimated SETAR parameter model and apply it to Indonesian agricultural export data. There are three methods that can be done for estimating of parameter of SETAR model, namely the conditional quadratic sequential method, ordinary least square (OLS) and nonlinear least square (NLS). In this research, the two stage parameter estimation method is used with OLS and the second stage parameter estimation is used to optimisze the parameter values ​​that are not significant in the model. In its application, the SETAR model (2,1,1) was obtained to model agricultural export data in Indonesia and the MAPE value was 25%.