1. Hasil Uji Akar Unit Dari Variabel Volume Ekspor Tekstil Indonesia

Transcription

1 LAMPIRAN 63

2 64 Lampiran 1. Hasil Pengujian Akar Unit 1. Hasil Uji Akar Unit Dari Variabel Volume Ekspor Tekstil Indonesia VET Null Hypothesis: VET has a unit root Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: D(VET) has a unit root Augmented Dickey-Fuller test statistic

3 65 2. Hasil Uji Akar Unit Dari Variabel Nilai Tukar Rupiah NT Null Hypothesis: NT has a unit root Lag Length: 1 (Automatic based on SIC, MAXLAG=7) Augmented Dickey-Fuller test statistic Null Hypothesis: D(NT) has a unit root Augmented Dickey-Fuller test statistic

4 66 3. Hasil Uji Akar Unit Dari Variabel Produk Domestik Bruto PDB Null Hypothesis: PDB has a unit root Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: D(PDB) has a unit root Augmented Dickey-Fuller test statistic

5 67 4. Hasil Uji Akar Unit Dari Variabel Suku Bunga 13 SBI Null Hypothesis: SBI has a unit root Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: D(SBI) has a unit root Augmented Dickey-Fuller test statistic

6 68 5. Hasil Uji Akar Unit Dari Variabel Inflasi INFLASI Null Hypothesis: INFLASI has a unit root Lag Length: 2 (Automatic based on SIC, MAXLAG=7) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: D(INFLASI) has a unit root Augmented Dickey-Fuller test statistic

7 69 Lampiran 2. Hasil Pengujian Optimum Lag VAR Lag Order Selection Criteria Endogenous variables: VET NT PDB SBI INFLASI Exogenous variables: C Date: 09/12/11 Time: 00:17 Sample: 2003Q1 2010Q4 Included observations: 29 Lag LogL LR FPE AIC SC HQ NA * * * * * * 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

8 70 Lampiran 3. Hasil Pengujian Stabilitas VAR Roots of Characteristic Polynomial Endogenous variables: VET NT PDB SBI INFLASI Exogenous variables: C Lag specification: 1 1 Date: 09/12/11 Time: 00:28 Root Modulus i i i i No root lies outside the unit circle. VAR satisfies the stability condition.

9 71 Lampiran 4. Hasil Pengujian Granger Causality Pairwise Granger Causality Tests Date: 09/12/11 Time: 00:30 Sample: 2003Q1 2010Q4 Lags: 1 Null Hypothesis: Obs F-Statistic Prob. NT does not Granger Cause VET VET does not Granger Cause NT PDB does not Granger Cause VET VET does not Granger Cause PDB SBI does not Granger Cause VET VET does not Granger Cause SBI INFLASI does not Granger Cause VET VET does not Granger Cause INFLASI PDB does not Granger Cause NT NT does not Granger Cause PDB SBI does not Granger Cause NT NT does not Granger Cause SBI INFLASI does not Granger Cause NT NT does not Granger Cause INFLASI SBI does not Granger Cause PDB PDB does not Granger Cause SBI INFLASI does not Granger Cause PDB PDB does not Granger Cause INFLASI INFLASI does not Granger Cause SBI SBI does not Granger Cause INFLASI

10 72 Lampiran 5. Hasil Pengujian Kointegrasi Date: 09/12/11 Time: 00:32 Sample (adjusted): 2003Q3 2010Q4 Included observations: 30 after adjustments Trend assumption: No deterministic trend Series: VET NT PDB SBI INFLASI Lags interval (in first differences): 1 to 1 Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No. of CE(s) Eigenvalue Statistic Critical Value * None At most At most At most At most Trace test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

11 73 Lampiran 6. Model VAR First Difference Vector Autoregression Estimates Date: 09/12/11 Time: 00:33 Sample (adjusted): 2003Q3 2010Q4 Included observations: 30 after adjustments Standard errors in ( ) & t-statistics in [ ] D(VET) D(NT) D(PDB) D(SBI) D(INFLASI) D(VET(-1)) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] D(NT(-1)) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] D(PDB(-1)) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] D(SBI(-1)) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] D(INFLASI(-1)) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] C ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] R-squared Adj. R-squared Sum sq. resids S.E. equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant resid covariance (dof adj.) 9.48E-05 Determinant resid covariance 3.11E-05 Log likelihood Akaike information criterion Schwarz criterion