LAMPIRAN 1. Output Stasioneritas Variabel pada Tingkat First Difference
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1 LAMPIRAN 1. Output Stasioneritas Variabel pada Tingkat First Difference RINDFirst Difference Null Hypothesis: D(RIND) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RIND,2) Method: Least Squares Date: 09/29/14 Time: 20:51 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RIND(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)
2 RCIN First Difference Null Hypothesis: D(RCIN) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RCIN,2) Method: Least Squares Date: 09/29/14 Time: 20:51 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RCIN(-1)) C R-squared Mean dependent var 4.15E-18 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)
3 RJEP First Difference Null Hypothesis: D(RJEP) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RJEP,2) Method: Least Squares Date: 09/29/14 Time: 22:34 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RJEP(-1)) C R-squared Mean dependent var 2.84E-19 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)
4 RKSL First Difference Null Hypothesis: D(RKSL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RKSL,2) Method: Least Squares Date: 09/29/14 Time: 20:55 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RKSL(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)
5 RMAL First Difference Null Hypothesis: D(RMAL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RMAL,2) Method: Least Squares Date: 09/29/14 Time: 20:56 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RMAL(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)
6 RTHA First Difference Null Hypothesis: D(RTHA) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RTHA,2) Method: Least Squares Date: 09/29/14 Time: 20:57 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RTHA(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat
7 RSGP First Difference Null Hypothesis: D(RSGP) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RSGP,2) Method: Least Squares Date: 09/29/14 Time: 20:58 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RSGP(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)
8 RFIL First Difference Null Hypothesis: D(RFIL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RFIL,2) Method: Least Squares Date: 09/29/14 Time: 20:59 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RFIL(-1)) C S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter Durbin-Watson stat
9 2. Output Lag length VAR Lag Order Selection Criteria Endogenous variables: RJEP RKSL RMAL RCIN RFIL RIND RTHA RSGP Exogenous variables: C Date: 09/29/14 Time: 21:16 Sample: 2006M M12 Included observations: 91 Lag LogL LR FPE AIC SC HQ NA 4.29e * * 2.62e-15* * * * e e e e * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion 109
10 3. Output Uji Granger Causality Pairwise Granger Causality Tests Date: 09/29/14 Time: 21:21 Sample: 2006M M12 Lags: 1 Null Hypothesis: Obs F-Statistic Prob. RFIL does not Granger Cause RCIN RCIN does not Granger Cause RFIL RIND does not Granger Cause RCIN RCIN does not Granger Cause RIND E-06 RJEP does not Granger Cause RCIN RCIN does not Granger Cause RJEP RKSL does not Granger Cause RCIN RCIN does not Granger Cause RKSL RMAL does not Granger Cause RCIN RCIN does not Granger Cause RMAL RSGP does not Granger Cause RCIN RCIN does not Granger Cause RSGP RTHA does not Granger Cause RCIN RCIN does not Granger Cause RTHA RIND does not Granger Cause RFIL RFIL does not Granger Cause RIND RJEP does not Granger Cause RFIL RFIL does not Granger Cause RJEP RKSL does not Granger Cause RFIL RFIL does not Granger Cause RKSL RMAL does not Granger Cause RFIL RFIL does not Granger Cause RMAL RSGP does not Granger Cause RFIL RFIL does not Granger Cause RSGP RTHA does not Granger Cause RFIL RFIL does not Granger Cause RTHA RJEP does not Granger Cause RIND RIND does not Granger Cause RJEP
11 RKSL does not Granger Cause RIND RIND does not Granger Cause RKSL RMAL does not Granger Cause RIND RIND does not Granger Cause RMAL RSGP does not Granger Cause RIND RIND does not Granger Cause RSGP RTHA does not Granger Cause RIND RIND does not Granger Cause RTHA RKSL does not Granger Cause RJEP RJEP does not Granger Cause RKSL RMAL does not Granger Cause RJEP RJEP does not Granger Cause RMAL RSGP does not Granger Cause RJEP E-05 RJEP does not Granger Cause RSGP RTHA does not Granger Cause RJEP RJEP does not Granger Cause RTHA RMAL does not Granger Cause RKSL RKSL does not Granger Cause RMAL RSGP does not Granger Cause RKSL RKSL does not Granger Cause RSGP RTHA does not Granger Cause RKSL RKSL does not Granger Cause RTHA RSGP does not Granger Cause RMAL RMAL does not Granger Cause RSGP RTHA does not Granger Cause RMAL RMAL does not Granger Cause RTHA RTHA does not Granger Cause RSGP RSGP does not Granger Cause RTHA
12 Vector Autoregression Estimates Date: 09/29/14 Time: 22:51 Sample (adjusted): 2006M M12 Included observations: 91 after adjustments Standard errors in ( ) & t-statistics in [ ] 4. Output Estimasi VAR DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA DRCIN(-1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRFIL(-1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRIND(-1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRJEP(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRKSL(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRMAL(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRSGP(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRTHA(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] C ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] R- squared
13 Adj. R- squared Sum sq. resids S.E. equation F-statistic Log likelihood Akaike AIC Schwarz C Mean ependent S.D. ependent Determinant resid covariance (dof adj.) 3.75E-21 Determinant resid covariance 1.63E-21 Log likelihood Akaike information criterion Schwarz criterion Estimation Proc: =============================== LS 1 1 DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP C VAR Model: =============================== DRCIN = C(1,1)*DRCIN(-1) + C(1,2)*DRFIL(-1) + C(1,3)*DRIND(-1) + C(1,4)*DRJEP(-1) + C(1,5)*DRKSL(-1) + C(1,6)*DRMAL(-1) + C(1,7)*DRSGP(-1) + C(1,8)*DRTHA(-1) + C(1,9) DRFIL = C(2,1)*DRCIN(-1) + C(2,2)*DRFIL(-1) + C(2,3)*DRIND(-1) + C(2,4)*DRJEP(-1) + C(2,5)*DRKSL(-1) + C(2,6)*DRMAL(-1) + C(2,7)*DRSGP(-1) + C(2,8)*DRTHA(-1) + C(2,9) DRIND = C(3,1)*DRCIN(-1) + C(3,2)*DRFIL(-1) + C(3,3)*DRIND(-1) + C(3,4)*DRJEP(-1) + C(3,5)*DRKSL(-1) + C(3,6)*DRMAL(-1) + C(3,7)*DRSGP(-1) + C(3,8)*DRTHA(-1) + C(3,9) DRJEP = C(4,1)*DRCIN(-1) + C(4,2)*DRFIL(-1) + C(4,3)*DRIND(-1) + C(4,4)*DRJEP(-1) + C(4,5)*DRKSL(-1) + C(4,6)*DRMAL(-1) + C(4,7)*DRSGP(-1) + C(4,8)*DRTHA(-1) + C(4,9) DRKSL = C(5,1)*DRCIN(-1) + C(5,2)*DRFIL(-1) + C(5,3)*DRIND(-1) + C(5,4)*DRJEP(-1) + C(5,5)*DRKSL(-1) + C(5,6)*DRMAL(-1) + C(5,7)*DRSGP(-1) + C(5,8)*DRTHA(-1) + C(5,9) DRMAL = C(6,1)*DRCIN(-1) + C(6,2)*DRFIL(-1) + C(6,3)*DRIND(-1) + C(6,4)*DRJEP(-1) + C(6,5)*DRKSL(-1) + C(6,6)*DRMAL(-1) + C(6,7)*DRSGP(-1) + C(6,8)*DRTHA(-1) + C(6,9) DRSGP = C(7,1)*DRCIN(-1) + C(7,2)*DRFIL(-1) + C(7,3)*DRIND(-1) + C(7,4)*DRJEP(-1) + C(7,5)*DRKSL(-1) + C(7,6)*DRMAL(-1) + C(7,7)*DRSGP(-1) + C(7,8)*DRTHA(-1) + C(7,9) 113
14 DRTHA = C(8,1)*DRCIN(-1) + C(8,2)*DRFIL(-1) + C(8,3)*DRIND(-1) + C(8,4)*DRJEP(-1) + C(8,5)*DRKSL(-1) + C(8,6)*DRMAL(-1) + C(8,7)*DRSGP(-1) + C(8,8)*DRTHA(-1) + C(8,9) VAR Model - Substituted Coefficients: =============================== DRCIN = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRFIL = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRIND = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRJEP = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRKSL = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRMAL = *DRCIN(-1) *DRFIL(-1) *DRIND(- 1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRSGP = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRTHA = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1)
15 115
16 Vari ance Deco mpo sition of DRC IN: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA Vari ance Deco mpo sition of DRFI L: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA Vari ance Deco mpo sition of DRI ND: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA
17 Vari ance Deco mpo sition of DRJ EP: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA Vari ance Deco mpo sition of DRK SL: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA
18 Vari ance Deco mpo sition of DRM AL: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA Vari ance Deco mpo sition of DRS GP: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA
19 Vari ance Deco mpo sition of DRT HA: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA E Chol esky Orde ring: DRC IN DRFI L DRI ND DRJ EP DRK SL DRM AL DRS GP DRT HA 119
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