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

Nairobi Nairobi, Ambya Ambya, Edwin Russel, Sipa Paujiah, D. N. Pratama, Wamiliana Wamiliana and Mustofa Usman
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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

International Journal of Energy Economics and Policy, 2022, vol. 12, issue 2, 120-126

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 (search for similar items in EconPapers)
JEL-codes: E37 L11 Q47 (search for similar items in EconPapers)
Date: 2022
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