Professional Documents
Culture Documents
Pendekatan Basis Peramalan ekstrapolatif Ekstrapolasi trend Teknik Analisis rangkaian-waktu Teknik benang-hitam Teknik OLS Pembobotan eksponensial Transformasi data Metode katastrofi Pemetaan teori Analisis jalur Analisis Input Output Input-Output Pemrograman linier Analisis regresi Estimasi interval Analisis hubungan Delphi konvensional Delphi kebijakan Analisis dampak-silang Penilaian kelayakan Hasil Projeksi
Peramalan Teoretis
Teori
Prediksi
Peramalan intuitif
Penilaian subjektif
Konjektur
AsumsiPeramalanEkstrapolatif
1. Keajegan(persistence):Polayangterjadidimasa laluakantetapterjadidimasamendatang.Mis: jikakonsumsienergidimasalalumeningkat,ia jika konsumsi energi di masa lalu meningkat, ia akanselalumeningkatdimasadepan. 2. Keteraturan(regularity):Variasidimasalaluakan secarateraturmunculdimasadepan.Mis:jika secara teratur muncul di masa depan Mis: jika banjirbesardiJakartaterjadisetiap16tahun sekali,polaygsamaakanterjadilagi. 3. Keandalan(reliability)dankesahihan(validity) data:Ketepatanramalantergantungkepada keandalandankesahihandataygtersedia.Mis: yg datattglaporankejahatanseringkalitidaksesuai dginsidenkejahatanygsesungguhnya,datattggaji bukanmerupakanukurantepatdaripendapatan bukan merupakan ukuran tepat dari pendapatan masyarakat.
2
Klasifikasi MetodePeramalan
Forecasting Method
Objective Forecasting Methods
Time Series Methods M th d Nave Methods Moving Averages Exponential Smoothing Simple Regression ARIMA Neural Networks References : Causal Methods M th d Simple Regression Multiple Regression Neural Networks PERT
Delphi
Survey techniques
Makridakis et al. Hanke and Reitsch Wei, W.W.S. Box, Jenkins and Reinsel
Combination of Time Series Causal Methods Yt= f (Yt-j , j>0 ; Xt-i , i0)
Examples : sales(t) = f (sales(t-1), advert(t), advert(t-1), )
References : Timo Terasvirta, Dag Tjostheim and Clive W.J. Granger, (1994) Aspects of Modelling Nonlinear Time Series Aspects Series
Handbook of Econometrics, Volume IV, Chapter 48. Edited by R.F. Engle and D.I. McFadden
POLA DATATimeSeries O e Se es
GeneralTimeSeries PATTERN General Time Series PATTERN Stationer Trend (linear or nonlinear) Seasonal (additiveormultiplicative) ( p ) Cyclic CalendarVariation Calendar Variation
Intervention models
Contoh DATAEKONOMI 1
Time S eries Plot of Inflasi
3
Eidsholiday effects
12 12 12 1 11 12 11
Inflasi
11
-1 Month Year Yea Jan 1999 Jan 2000 Jan 2001 Jan 2002 Jan 2003 Jan 2004 Jan 2005
Contoh DATAEKONOMI 2
Reference :
Contoh DATAEKONOMI 3
Krisis di Indonesia Terjadi Mulai Pertengahan 1997
Reference :
10
ModelmodelTimeSeriesRegression g
1. ModelRegresiuntukLINEARTREND
Yt =a+b.t+error t=1,2,(dummywaktu)
2. ModelRegresiuntukDataSEASONAL (variasikonstan)
Yt =a+b1 D1 ++bS1 DS1 +error dengan : D1,D2,,DS 1 adalah dummy waktu dalam : D DS1 adalahdummywaktudalam satuperiodeseasonal.
11
12
(continued)
13
R-Sq = 97.7%
R-Sq(adj) = 97.3%
MS 215601 951
F 226.65
P 0.000
15
TimeSeriesPlot(Datatrend danseasonal)
16
DummyVariable
17
MTB > Regress 'Sales' 4 't' 'Kuartal.1'-'Kuartal.3' The regression equation is Sales = 413 + 19.7 t + 130 Kuartal.1 - 108 Kuartal.2 - 228 Kuartal.3 16 cases used 4 cases contain missing values d t i i i l Predictor Constant t Kuartal.1 K artal 1 Kuartal.2 Kuartal.3 S = 35.98 Coef 412.81 19.719 130 41 130.41 -108.06 -227.78 SE Coef 26.99 2.012 26 15 26.15 25.76 25.52 T 15.30 9.80 4 99 4.99 -4.19 -8.92 P 0.000 0.000 0 000 0.000 0.001 0.000
R-Sq = 96.3%
R-Sq(adj) = 95.0%
Analysis of Variance Source Regression Residual Error Total DF 4 11 15 SS 371967 14243 386211 MS 92992 1295 F 71.82 P 0.000
18
Forecast
KasusSalesVideoStore K S l Vid St Kriteria kesalahan ramalan MSE 66.6963 28.7083 21.6829 MAD 6.68889 4.4236 3.73048 MAPE 0.9557 0.6382 0.5382
KasusSalesDataKuartalan K S l D t K t l Kriteria kesalahan ramalan MSE 4372.69 890.215 MAD 52.29 23.2969 MAPE 9.67 4.3122
Contoh
Tahun2000: Penjualanmobil =Rp.300M Indekshargamobil =135 Tahun2001: Penjualanmobil =Rp.350M Indekshargamobil =155 Pertanyaan: Berapa peningkatan nominal ? Berapapeningkatannominal? Berapapeningkatanriilnya?
21
Perhitungan g
Peningktan Nominal PeningktanNominal Rp.350M Rp.300 p p M =Rp.50M PeningktanRiil g Penjualantahun2000 (Rp.300M)(100/135) =Rp.222,222M Penjualantahun2001 (Rp.350M)(100/155) ( )( / ) =Rp.225,806M Peningkatan: 225,806M 222,222M =Rp.3,584M Rp. 3,584 M
22
Tahun Penj IH Mebel IH ART 1983 42.1 111.6 105.3 1984 47 2 47.2 117.2 108.5 117 2 108 5 1985 48.4 124.2 109.8 1986 50.6 128.3 114.1 1987 55.2 136.1 117.6 1988 57.9 139.8 122.4 1989 59.8 145.7 128.3 1990 60.7 156.2 131.2
IH Penj Riil Penj. 109.7 38.4 114.6 114 6 41.2 41 2 119.9 40.4 124.0 40.8 130.6 42.3 134.6 43.0 140.5 42.6 148.7 40.8
23
Trend TahunPertamaTahunDasar
Thn X Th Penj P j (Y) X^2 XY 1990 0 108 0 0 1991 1 119 1 119 1992 2 110 4 220 1993 3 122 9 366 1994 4 130 16 520 JMH 10 589 30 1225
24
Trend TitikTengahsbgtahunDasar k h b h
Thn X Penj (Y) X^2 XY 1990 -2 2 108 4 -216 216 1991 -1 119 1 -119 1992 0 110 0 0 1993 1 122 1 122 1994 2 130 4 260 JMH 0 589 10 47
25
Trend Eksponensial k l
Thn X Penj (Y) Log Y X log Y 1990 -2 108 2.0334 -4.0668 1991 -1 119 2.0755 -2.0755 1992 0 110 2.0414 0 1993 1 122 2.0864 2.0864 1994 2 130 2 1139 4 2279 2.1139 4.2279 JMH 0 589 10.351 0.1719
26
Yt +1 = Yt
2. The simplestmodel for trenddata is
Yt +1 = Yt + (Yt Yt 1 ) or
= Y Yt Yt +1 t Yt 1
3. The simplestmodel for seasonaldata is
Yt +1 = Y(t +1) s
28
1.SimpleAverages
obtainedbyfindingthemeanforalltherelevantvalues and g p thenusingthismeantoforecastthenextperiod.
= Yt Yt +1 t =1 n
forstationarydata
2. MovingAverages
obtainedbyfindingthemeanforaspecifiedsetofvalues andthen usingthismeantoforecastthenextperiod. using this mean to forecast the next period
(Y + Yt 1 + K + Yt n +1 ) M t = Yt +1 = t n
forstationarydata
29
3.DoubleMovingAverages
onesetofmovingaveragesiscomputed,andthenasecondset computedasamovingaverageofthefirstset. is
(Y + Yt 1 + K + Yt n +1 ) M t = Yt +1 = t n ( M t + M t 1 + K + M t n +1 ) (ii). (ii) M t = n
(i). (iii). at = 2M t M t (iv).
bt =
2 ( M t M t ) n 1
Yt + p = at + bt p
foralineartrenddata f li t dd t
30
31
32
33
MAorMoving Averages
DMAorDouble MovingAverages
MSE.MA=132.67,MSE.DMA=63.7
34
SingleExponential Smoothing
for stationarydata
Yt +1 = Yt + (1 )Yt
ExponentialSmoothingAdjustedforTrend :HoltsMethod
1.Theexponentiallysmoothedseries: At = Yt + (1) (At1+ Tt1) = +(1)(A +T 2.Thetrendestimate: Tt = (At At1)+(1 )Tt1 3.Forecastp periodsintothefuture:
Yt + p = At + pTt
35
36
SESdengan alpha0,1
SESdengan alpha0,6
37
(continued) ( i d)
38
(continued) ( i d)
39
(continued) ( i d)
DESdenganalpha0,3danbeta0,1
40
(continued) ( i d)
41
WintersMethodsdenganalpha0,4;beta0,1dangamma0,3
42
(continued) ( i d)
43