Application of Generalized Space-Time Autoregressive Model on GDP Data in West European Countries英文文献资料.docVIP

HindawiPublishingCorporation JournalofProbabilityandStatistics Volume2012,ArticleID867056,16pages doi:10.1155/2012/867056 ResearchArticle Application ofGeneralized Space-Time Autoregressive ModelonGDPDatainWest EuropeanCountries NunungNurhayati, UdjiannaS.Pasaribu, andOkiNeswan 1 2 2 1FacultyofScienceandEngineering, JenderalSoedirman University,Purwokerto 53122,Indonesia 2FacultyofMathematics andNaturalSciences,BandungInstituteofTechnology, Bandung40132,Indonesia Correspondence shouldbeaddressedtoNunungNurhayati, nurhayati.nunung@ Received28September 2011;Revised1February2012;Accepted 14February2012 Academic Editor:Shein-chung Chow Copyright q2012NunungNurhayatietal. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction inanymedium,providedtheoriginalworkisproperlycited. This paper provides anapplication ofgeneralized space-time autoregressive GSTARmodel on GDP data in West European countries. Preliminary model is identi?ed by space-time ACF and space-time PACF of the sample, and model parameters are estimated using the least square method.Theforecastperformance isevaluatedusingthemeanofsquaredforecasterrorsMSFEs basedonthelasttenactualdata.ItisfoundthatthepreliminarymodelisGSTAR2;1,1.Asacom- parison, the estimation and the forecast performance are also applied to the GSTAR1;1 model whichhasfewerparameter.TheresultsshowedthattheASFEofGSTAR2;1,1issmallerthanthat oftheorder1;1.However,thet-testvalueshowsthattheperformance issigni?cantly indi?erent. Thus,duetotheparsimony principle,theGSTAR1;1modelmightbeconsideredasaforecasting model. 1.Introduction Space-timedataarefrequentlyfoundinmanyareasofresearch,forexample,monthlyteapro- ductionfromsomeplants,yearlyhousingpriceatcapitalcities,andyearlypercapitaGDP gross domestic product of several countries in some region. The generalized space-t