Forecasting the Remittances of the Overseas Filipino Workers in the Philippines

Merry Christ E. Manayaga and Roel F. Ceballos

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Abstract: This study aims to find a Box-Jenkins time series model for the monthly OFW's remittance in the Philippines. Forecasts of OFW's remittance for the years 2018 and 2019 will be generated using the appropriate time series model. The data were retrieved from the official website of Bangko Sentral ng Pilipinas. There are 108 observations, 96 of which were used in model building and the remaining 12 observations were used in forecast evaluation. ACF and PACF were used to examine the stationarity of the series. Augmented Dickey Fuller test was used to confirm the stationarity of the series. The data was found to have a seasonal component, thus, seasonality has been considered in the final model which is SARIMA (2,1,0)x(0,0,2)_12. There are no significant spikes in the ACF and PACF of residuals of the final model and the L-jung Box Q* test confirms further that the residuals of the model are uncorrelated. Also, based on the result of the Shapiro-Wilk test for the forecast errors, the forecast errors can be considered a Gaussian white noise. Considering the results of diagnostic checking and forecast evaluation, SARIMA (2,1,0)x(0,0,2)_12 is an appropriate model for the series. All necessary computations were done using the R statistical software.

Date: 2019-06
New Economics Papers: this item is included in nep-for and nep-sea
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Published in International Journal of Statistics and Economics, 20(3), 2019

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