LAMPIRAN. 1. Uji Heteroskedastisitas dengan metode White Heteroskedasticity Test
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1 69 LAMPIRAN 1. Uji Heteroskedastisitas dengan metode White Heteroskedasticity Test White Heteroskedasticity Test: F-statistic Probability Obs*R-squared Probability Test Equation: Dependent Variable: RESID^2 Date: 06/13/09 Time: 22:30 Sample: Included observations: 22 C LOG(Y) (LOG(Y))^ (LOG(Y))*(LOG(P)) (LOG(Y))*(LOG(RE)) LOG(P) (LOG(P))^ (LOG(P))*(LOG(RE)) LOG(RE) (LOG(RE))^ R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid 5.25E-05 Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)
2 70 2. Autokorelasi test dengan metode Breusch-Godfrey Serial Correlation LM Test Breusch-Godfrey Serial Correlation LM Test: F-statistic Probability Obs*R-squared Probability Test Equation: Dependent Variable: RESID Date: 06/13/09 Time: 22:37 Presample missing value lagged residuals set to zero. C LOG(Y) LOG(P) LOG(RE) RESID(-1) RESID(-2) R-squared Mean dependent var -1.29E-15 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)
3 71 3. Deteksi autokorelasi setelah dilakukan perbaikan Autoregressive (AR) Breusch-Godfrey Serial Correlation LM Test: F-statistic Probability Obs*R-squared Probability Test Equation: Dependent Variable: RESID Date: 06/14/09 Time: 17:24 Presample missing value lagged residuals set to zero. C LOG(Y) LOG(P) LOG(RE) AR(1) RESID(-1) RESID(-2) R-squared Mean dependent var -2.26E-10 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)
4 72 4. Unit Root Test Root Test Variabel X Null Hypothesis: X has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=4) 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(X) Date: 07/06/09 Time: 20:17 Sample (adjusted): Included observations: 21 after adjustments X(-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 F-statistic Durbin-Watson stat Prob(F-statistic)
5 73 Root Test Variabel Y Null Hypothesis: Y has a unit root Exogenous: Constant, Linear Trend Lag Length: 4 (Automatic based on SIC, MAXLAG=4) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 17 Augmented Dickey-Fuller Test Equation Dependent Variable: D(Y) Date: 07/06/09 Time: 20:18 Sample (adjusted): Included observations: 17 after adjustments Y(-1) D(Y(-1)) D(Y(-2)) D(Y(-3)) D(Y(-4)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid 1.01E+13 Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)
6 74 Root Test Variabel P Null Hypothesis: P has a unit root Exogenous: Constant, Linear Trend Lag Length: 1 (Automatic based on SIC, MAXLAG=4) 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(P) Date: 07/06/09 Time: 20:18 Sample (adjusted): Included observations: 20 after adjustments P(-1) D(P(-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 F-statistic Durbin-Watson stat Prob(F-statistic)
7 75 Root Test Variabel RE Null Hypothesis: RE has a unit root Exogenous: Constant, Linear Trend Lag Length: 2 (Automatic based on SIC, MAXLAG=4) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Warning: Probabilities and critical values calculated for 20 observations and may not be accurate for a sample size of 19 Augmented Dickey-Fuller Test Equation Dependent Variable: D(RE) Date: 07/06/09 Time: 20:12 Sample (adjusted): Included observations: 19 after adjustments RE(-1) D(RE(-1)) D(RE(-2)) 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 F-statistic Durbin-Watson stat Prob(F-statistic)
8 76 5. Uji Kointegrasi a. Uji Durbin Watson Nilai statistik Durbin Watson (d-stat)= 1,6652 Nilai tabel (d-tabel) = 1,664 d-stat > d-tabel : terjadi kointegrasi antara variabel b. Cointegration Test Date: 07/06/09 Time: 20:53 Sample (adjusted): Included observations: 20 after adjustments Trend assumption: Linear deterministic trend Series: Y P RE X 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 Prob.** None * At most 1 * At most 2 * At most Trace test indicates 3 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen 0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * At most 1 * At most 2 * At most Max-eigenvalue test indicates 3 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
9 77 Unrestricted Cointegrating Coefficients (normalized by b'*s11*b=i): Y P RE X -7.11E E E E Unrestricted Adjustment Coefficients (alpha): D(Y) D(P) D(RE) D(X) Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) Y P RE X ( ) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(Y) ( ) D(P) 1.67E-05 (2.3E-06) D(RE) -3.65E-07 (3.1E-07) D(X) ( ) 2 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) Y P RE X ( ) ( ) ( ) ( )
10 78 Adjustment coefficients (standard error in parentheses) D(Y) ( ) ( ) D(P) 1.23E (1.1E-05) ( ) D(RE) 1.91E (1.3E-06) ( ) D(X) ( ) ( ) 3 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) Y P RE X ( ) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(Y) ( ) ( ) ( ) D(P) 1.81E (9.9E-06) ( ) ( ) D(RE) 1.75E (1.4E-06) ( ) ( ) D(X) ( ) ( ) ( )
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