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LAMPIRAN
Lampiran 1. Uji Stasioneritas Data Augmented Dicky Fuller Level
Null Hypothesis: PIDN has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.983386 0.6041
Test critical values: 1% level -4.036983
5% level -3.448021 Date: 01/24/19 Time: 02:47
Sample (adjusted): 2008M02 2017M12 Included observations: 119 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
PIDN(-1) -0.065793 0.033172 -1.983386 0.0497
C 0.071593 0.035437 2.020318 0.0457
@TREND("2008M01") -0.000142 0.000189 -0.751018 0.4542
R-squared 0.035692 Mean dependent var -0.000551
Adjusted R-squared 0.019066 S.D. dependent var 0.071252 S.E. of regression 0.070570 Akaike info criterion -2.439541 Sum squared resid 0.577692 Schwarz criterion -2.369479 Log likelihood 148.1527 Hannan-Quinn criter. -2.411091
F-statistic 2.146730 Durbin-Watson stat 1.801631
Prob(F-statistic) 0.121486
Null Hypothesis: PJPN has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.312403 0.4237
Test critical values: 1% level -4.037668
5% level -3.448348 Date: 01/24/19 Time: 02:45
Sample (adjusted): 2008M03 2017M12 Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
PJPN(-1) -0.128015 0.055360 -2.312403 0.0226
D(PJPN(-1)) -0.356075 0.087720 -4.059218 0.0001
C 0.100906 0.046171 2.185479 0.0309
@TREND("2008M01") 0.000283 0.000274 1.032485 0.3040
R-squared 0.213321 Mean dependent var 0.002397
Adjusted R-squared 0.192619 S.D. dependent var 0.103330 S.E. of regression 0.092847 Akaike info criterion -1.882417 Sum squared resid 0.982744 Schwarz criterion -1.788496 Log likelihood 115.0626 Hannan-Quinn criter. -1.844282
F-statistic 10.30430 Durbin-Watson stat 1.986543
Prob(F-statistic) 0.000005
Null Hypothesis: PINT has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.940120 0.6272
Test critical values: 1% level -4.037668
5% level -3.448348 Date: 01/24/19 Time: 02:47
Sample (adjusted): 2008M03 2017M12 Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
PINT(-1) -0.049674 0.025604 -1.940120 0.0548
D(PINT(-1)) 0.286829 0.087431 3.280638 0.0014
C 0.053925 0.028991 1.860056 0.0655
@TREND("2008M01") -3.41E-05 0.000129 -0.264316 0.7920
R-squared 0.103290 Mean dependent var -0.001630
Adjusted R-squared 0.079693 S.D. dependent var 0.049702 S.E. of regression 0.047681 Akaike info criterion -3.215273 Sum squared resid 0.259172 Schwarz criterion -3.121352 Log likelihood 193.7011 Hannan-Quinn criter. -3.177138
F-statistic 4.377156 Durbin-Watson stat 2.041636
Prob(F-statistic) 0.005901
Lampiran 2. Uji Stasioneritas Data Augmented Dicky Fuller First Difference
Null Hypothesis: D(PIDN) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -10.32579 0.0000
Test critical values: 1% level -4.037668
5% level -3.448348 Date: 01/24/19 Time: 02:49
Sample (adjusted): 2008M03 2017M12 Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(PIDN(-1)) -0.950819 0.092082 -10.32579 0.0000
C 0.001276 0.013299 0.095931 0.9237
@TREND("2008M01") -5.02E-05 0.000192 -0.261959 0.7938
R-squared 0.481144 Mean dependent var -0.001883
Adjusted R-squared 0.472120 S.D. dependent var 0.097487 S.E. of regression 0.070829 Akaike info criterion -2.431988 Sum squared resid 0.576934 Schwarz criterion -2.361547 Log likelihood 146.4873 Hannan-Quinn criter. -2.403387
F-statistic 53.32071 Durbin-Watson stat 2.009339
Prob(F-statistic) 0.000000
Null Hypothesis: D(PJPN) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -16.76498 0.0000
Test critical values: 1% level -4.037668
5% level -3.448348
Date: 01/24/19 Time: 02:48
Sample (adjusted): 2008M03 2017M12 Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(PJPN(-1)) -1.420526 0.084732 -16.76498 0.0000
C 0.002033 0.017748 0.114521 0.9090
@TREND("2008M01") 2.69E-05 0.000256 0.105166 0.9164
R-squared 0.709647 Mean dependent var -0.000603
Adjusted R-squared 0.704597 S.D. dependent var 0.174027 S.E. of regression 0.094586 Akaike info criterion -1.853528 Sum squared resid 1.028840 Schwarz criterion -1.783087 Log likelihood 112.3581 Hannan-Quinn criter. -1.824927
F-statistic 140.5347 Durbin-Watson stat 2.023981
Prob(F-statistic) 0.000000
Null Hypothesis: D(PINT) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.442125 0.0000
Test critical values: 1% level -4.037668
5% level -3.448348 Date: 01/24/19 Time: 02:49
Sample (adjusted): 2008M03 2017M12 Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(PINT(-1)) -0.738528 0.087481 -8.442125 0.0000
C 0.000434 0.009069 0.047851 0.9619
@TREND("2008M01") -3.31E-05 0.000131 -0.252883 0.8008
R-squared 0.382992 Mean dependent var -0.001384
Adjusted R-squared 0.372261 S.D. dependent var 0.060899 S.E. of regression 0.048250 Akaike info criterion -3.199737 Sum squared resid 0.267730 Schwarz criterion -3.129296 Log likelihood 191.7845 Hannan-Quinn criter. -3.171136
F-statistic 35.69161 Durbin-Watson stat 2.016238
Prob(F-statistic) 0.000000
Lampiran 3. Penentuan Panjang Lag Optimum
VAR Lag Order Selection Criteria Endogenous variables: PIDN PINT PJPN Exogenous variables: C
Date: 01/24/19 Time: 02:52 Sample: 2008M01 2017M12 Included observations: 112
Lag LogL LR FPE AIC SC HQ
0 265.4808 NA 1.85e-06 -4.687158 -4.614341 -4.657613
1 480.9689 415.5842 4.63e-08 -8.374445 -8.083178* -8.256269
2 498.2469 32.39609* 4.00e-08* -8.522265* -8.012547 -8.315456*
3 503.6901 9.914549 4.26e-08 -8.458752 -7.730583 -8.163311
4 506.8361 5.561596 4.74e-08 -8.354216 -7.407596 -7.970142
5 513.5647 11.53482 4.95e-08 -8.313656 -7.148585 -7.840950
6 516.3440 4.615596 5.55e-08 -8.202572 -6.819050 -7.641233
7 520.9580 7.415265 6.04e-08 -8.124249 -6.522277 -7.474278
8 523.3050 3.646287 6.85e-08 -8.005446 -6.185023 -7.266843
* 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
Lampiran 4. Uji Kointegrasi Johansen
Date: 01/24/19 Time: 03:12
Sample (adjusted): 2008M04 2017M12 Included observations: 117 after adjustments Trend assumption: Linear deterministic trend Series: PIDN PINT PJPN
Lags interval (in first differences): 1 to 2 Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.149174 41.11535 29.79707 0.0017
At most 1 * 0.105932 22.21430 15.49471 0.0042
At most 2 * 0.074936 9.113440 3.841466 0.0025
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 0.149174 18.90105 21.13162 0.0998
At most 1 0.105932 13.10086 14.26460 0.0757
At most 2 * 0.074936 9.113440 3.841466 0.0025
Max-eigenvalue 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
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
PIDN PINT PJPN
1 Cointegrating Equation(s): Log likelihood 516.2462 Normalized cointegrating coefficients (standard error in parentheses)
(0.09552) (0.10052)
Adjustment coefficients (standard error in parentheses) D(PIDN) -0.414386
(0.11340) D(PINT) -0.170660 (0.08512) D(PJPN) -0.433163 (0.16431)
2 Cointegrating Equation(s): Log likelihood 522.7966
Normalized cointegrating coefficients (standard error in parentheses)
PIDN PINT PJPN
1.000000 0.000000 -0.835436 (0.24382) 0.000000 1.000000 -0.837950 (0.21375)
Adjustment coefficients (standard error in parentheses)
D(PIDN) -0.555793 0.606148
(0.13584) (0.14859)
D(PINT) -0.261499 0.267666
(0.10238) (0.11200)
D(PJPN) -0.137152 0.388150
(0.19350) (0.21167)
Lampiran 5. Estimasi Model Vector Error Correction Model (VECM)
Vector Error Correction Estimates Date: 01/24/19 Time: 17:12
Sample (adjusted): 2008M04 2017M12 Included observations: 117 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
Error Correction: D(PIDN) D(PJPN) D(PINT)
CointEq1 -0.414386 -0.433163 -0.170660
(0.11340) (0.16431) (0.08512) [-3.65415] [-2.63625] [-2.00486]
D(PIDN(-1)) -0.120971 0.308633 0.173636
(0.15028) (0.21774) (0.11280) [-0.80498] [ 1.41743] [ 1.53927]
D(PIDN(-2)) -0.019687 0.197458 0.147286
(0.13693) (0.19841) (0.10279) [-0.14377] [ 0.99522] [ 1.43291]
D(PJPN(-1)) 0.062645 -0.418022 0.053164
(0.06627) (0.09602) (0.04975) [ 0.94526] [-4.35334] [ 1.06870]
D(PJPN(-2)) 0.002397 -0.063361 0.002958
(0.06650) (0.09635) (0.04992) [ 0.03604] [-0.65758] [ 0.05926]
D(PINT(-1)) 0.300614 -0.333735 -0.009209
R-squared 0.230646 0.245944 0.134075
Adj. R-squared 0.181238 0.197519 0.078465
Sum sq. resids 0.444176 0.932491 0.250272
S.E. equation 0.063836 0.092493 0.047917
F-statistic 4.668178 5.078812 2.410996
Log likelihood 160.0462 116.6603 193.6060
Akaike AIC -2.599080 -1.857440 -3.172752
Schwarz SC -2.410213 -1.668574 -2.983885
Mean dependent -0.002076 0.001442 -0.001615
S.D. dependent 0.070548 0.103250 0.049916
Determinant resid covariance (dof adj.) 3.65E-08 Determinant resid covariance 2.95E-08
Log likelihood 516.2462
Akaike information criterion -8.363183
Schwarz criterion -7.725758
Dependent Variable: D(PIDN)
Method: Least Squares (Gauss-Newton / Marquardt steps) Date: 01/24/19 Time: 17:12
Sample (adjusted): 2008M04 2017M12 Included observations: 117 after adjustments
D(PIDN) = C(1)*( PIDN(-1) + 0.232139073728*PJPN(-1) - 1.2740317165
*PINT(-1) + 0.1940956402 ) + C(2)*D(PIDN(-1)) + C(3)*D(PIDN(-2)) + C(4)*D(PJPN(-1)) + C(5)*D(PJPN(-2)) + C(6)*D(PINT(-1)) + C(7)
*D(PINT(-2)) + C(8)
Coefficient Std. Error t-Statistic Prob.
C(1) -0.414386 0.113402 -3.654145 0.0004
C(2) -0.120971 0.150278 -0.804982 0.4226
C(3) -0.019687 0.136934 -0.143767 0.8859
C(4) 0.062645 0.066272 0.945262 0.3466
C(5) 0.002397 0.066501 0.036042 0.9713
C(6) 0.300614 0.218086 1.378420 0.1709
C(7) -0.034983 0.198994 -0.175802 0.8608
C(8) -0.001972 0.005912 -0.333572 0.7393
R-squared 0.230646 Mean dependent var -0.002076
Adjusted R-squared 0.181238 S.D. dependent var 0.070548 S.E. of regression 0.063836 Akaike info criterion -2.599080 Sum squared resid 0.444176 Schwarz criterion -2.410213 Log likelihood 160.0462 Hannan-Quinn criter. -2.522403
F-statistic 4.668178 Durbin-Watson stat 1.997795
Prob(F-statistic) 0.000132
Lampiran 6. Analisis Kausalitas Granger
Pairwise Granger Causality Tests Date: 01/24/19 Time: 03:23 Sample: 2008M01 2017M12 Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
PINT does not Granger Cause PIDN 118 15.5904 1.E-06
PIDN does not Granger Cause PINT 1.35143 0.2630
PJPN does not Granger Cause PIDN 118 1.58225 0.2100
PIDN does not Granger Cause PJPN 5.87604 0.0037
PJPN does not Granger Cause PINT 118 2.92496 0.0577
PINT does not Granger Cause PJPN 6.67699 0.0018