PEMODELAN JUB DAN BI RATE TERHADAP INFLASI DAN KURS RUPIAH MENGGUNAKAN REGRESI SEMIPARAMETRIK BIRESPON BERDASARKAN ESTIMATOR PENALIZED SPLINE

Abstract

Some indicators of the Indonesian economy are inflation and the exchange rate of rupiah against US dollar. Inflation and the rupiah exchange rate are thought to be influenced by the money supply (JUB) and the BI Rate. The money supply has a nonparametric relationship pattern to inflation and the rupiah exchange rate, while the BI Rate has a parametric relationship pattern to inflation and the rupiah exchange rate. The right method for detecting the relationship between inflation and the exchange rate with JUB and BI Rate is birespon semiparametric regression with a splined penalized estimator. The semiparametric regression coefficient of birespon spline penalized is estimated using the Weighted Least square (WLS) method which is determined based on the degree of polynomials, the number and location of the optimal knot points, and the optimal lambda determined based on the minimum of Generalized Cross Validation (GCV). This research uses the R Program. Based on the results of the analysis, the best spline penalized birespon semiparametric regression model is located in the number of knots is 5 at the knot points of 5257,783; 6649,469; 8976,871; 11099,19 and 13535,51 found in the first degree of response is 1 and the second degree of response is 2 with an optimal lambda of 99,99. The results of the performance evaluation of the model produce value of is 99,9007%, meaning that the model's performance is very good for out samples of the data and the MAPE value of 2.89169% is less than 10% which means the model's performance is very good.