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.
Citation
ID:
282308
Ref Key:
ceballos2019forecasting