On Consistency in Time Series Analysis

P. M. Robinson
1978 Annals of Statistics  
In order to carry out the responsibility of the bank's business continuity, the board of directors and commissioners of the banks that operating in Indonesia are responsible for maintaining and monitoring the bank's condition and also taking steps to maintain and improve the bank's condition. The bank condition is measured by considering the peer group banks that run in common conditions. I have formulated the model of bank peer group using probabilistic approach of statistics that can be used
more » ... s that can be used to analyze the relative position of a bank operating in Indonesia compared to the banks in the peer group. Based on the test results using cross section data from Bank Jasa Jakarta, it was found that the model of bank peer group is the reliable model. It's because the results obtained from it is able to represent the actual conditions. This research was conducted to test the consistency of peer group banks model performance from time series side using quarterly data starting from December 2015 to December 2016. Data sources of the banks taken from The Otoritas Jasa Keuangan (Financial Services Authority, OJK) website. The analysis of time series consistency of peer group banks model performance model is measured by monitoring the stability of Bank Jasa Jakarta performance compared to banks in the peer group, especially to the variables that play an important role in bank sustainability such as NPL (Non-Performing Loan), ROA (Return on Assets) and profit which are the main variables in the banking business. The results of the analysis found that the model of banks peer group tested is a reliable model.
doi:10.1214/aos/1176344080 fatcat:ppw43sbtlfdq5gohcl32s2zl7i