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32
LAMPIRAN
Lampiran 1 Hasil uji stasioneritas data pada tingkat level
Null Hypothesis: PHR has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.599646 0.0370 Test critical values: 1% level -4.094550
5% level -3.475305 10% level -3.165046
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: DPK has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.163586 0.5019 Test critical values: 1% level -4.092547
5% level -3.474363 10% level -3.164499
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: NPF has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.398823 0.0597 Test critical values: 1% level -4.092547
5% level -3.474363 10% level -3.164499
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: INF has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.147503 0.0001 Test critical values: 1% level -3.527045
5% level -2.903566 10% level -2.589227
33
Null Hypothesis: IPI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.924164 0.0000 Test critical values: 1% level -4.092547
5% level -3.474363 10% level -3.164499
*MacKinnon (1996) one-sided p-values. Null Hypothesis: SBIS has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.893203 0.3337 Test critical values: 1% level -3.527045
5% level -2.903566 10% level -2.589227
*MacKinnon (1996) one-sided p-values. Null Hypothesis: PUAS has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.317377 0.1695 Test critical values: 1% level -3.527045
5% level -2.903566 10% level -2.589227
*MacKinnon (1996) one-sided p-values. Null Hypothesis: ERP has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.558042 0.4985 Test critical values: 1% level -3.527045
5% level -2.903566 10% level -2.589227
*MacKinnon (1996) one-sided p-values. Null Hypothesis: SBK has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.166557 0.6845 Test critical values: 1% level -3.527045
5% level -2.903566 10% level -2.589227
34
Lampiran 2 Hasil uji stasioneritas data pada tingkat first difference
Null Hypothesis: D(PHR) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -12.81678 0.0001 Test critical values: 1% level -4.094550
5% level -3.475305 10% level -3.165046
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(DPK) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.617318 0.0000 Test critical values: 1% level -4.094550
5% level -3.475305 10% level -3.165046
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(NPF) has a unit root Exogenous: Constant
Lag Length: 5 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.722460 0.0757 Test critical values: 1% level -3.534868
5% level -2.906923 10% level -2.591006
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: INFLASI01 has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.147503 0.0001 Test critical values: 1% level -3.527045
5% level -2.903566 10% level -2.589227
35
Null Hypothesis: D(IPI) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.596196 0.0000 Test critical values: 1% level -4.096614
5% level -3.476275 10% level -3.165610
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(SBIS) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.648369 0.0071 Test critical values: 1% level -3.528515
5% level -2.904198 10% level -2.589562
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(PUAS) has a unit root Exogenous: Constant
Lag Length: 4 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.086218 0.0000 Test critical values: 1% level -3.533204
5% level -2.906210 10% level -2.590628
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(ERP) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -10.86878 0.0001 Test critical values: 1% level -3.527045
5% level -2.903566 10% level -2.589227
36
Null Hypothesis: D(SDK) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -9.521833 0.0000 Test critical values: 1% level -3.527045
5% level -2.903566 10% level -2.589227
37 Lampiran 3 Hasil uji lag optimal
VAR Lag Order Selection Criteria
Endogenous variables: PHR DPK ERP INF IPI NPF PUAS SBIS SBK Exogenous variables: C
Date: 07/16/14 Time: 07:49 Sample: 2008M01 2013M12 Included observations: 66
Lag LogL LR FPE AIC SC HQ
0 1503.394 NA 1.74e-31 -45.28468 -44.98609 -45.16669 1 1988.987 824.0362 8.42e-37 -57.54506 -54.55917* -56.36519 2 2063.259 105.7816 1.18e-36 -57.34119 -51.66799 -55.09944 3 2125.466 71.63173 2.99e-36 -56.77169 -48.41119 -53.46806 4 2216.765 80.23278 4.88e-36 -57.08379 -46.03599 -52.71828 5 2374.093 95.35033 2.50e-36 -59.39676 -45.66166 -53.96937 6 2740.931 122.2792* 1.62e-38* -68.05851* -51.63610 -61.56923*
* 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
38
Lampiran 4 Hasil uji stabilitas VAR
Roots of Characteristic Polynomial
Endogenous variables: PHR DPK ERP INF IPI NPF PUAS SBIS SBK Exogenous variables: C Lag specification: 1 1 Date: 07/16/14 Time: 07:52 Root Modulus 0.995901 0.995901 0.916268 - 0.136217i 0.926338 0.916268 + 0.136217i 0.926338 0.844422 0.844422 0.596899 - 0.053845i 0.599322 0.596899 + 0.053845i 0.599322 0.328545 - 0.147458i 0.360119 0.328545 + 0.147458i 0.360119 0.069797 0.069797
No root lies outside the unit circle. VAR satisfies the stability condition.
39 Lampiran 5 Hasil uji kointegrasi
Date: 07/16/14 Time: 07:53
Sample (adjusted): 2008M03 2013M12 Included observations: 70 after adjustments Trend assumption: Linear deterministic trend
Series: PHR DPK ERP INF IPI NPF PUAS SBIS SBK 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 * 0.615181 221.3902 197.3709 0.0018 At most 1 0.494697 154.5415 159.5297 0.0904 At most 2 0.380093 106.7597 125.6154 0.3901 At most 3 0.324976 73.28665 95.75366 0.6068 At most 4 0.234745 45.77615 69.81889 0.8052 At most 5 0.166704 27.04790 47.85613 0.8525 At most 6 0.120962 14.28229 29.79707 0.8244 At most 7 0.067993 5.257413 15.49471 0.7809 At most 8 0.004680 0.328388 3.841466 0.5666
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Date: 07/16/14 Time: 07:54
Sample (adjusted): 2008M03 2013M12 Included observations: 70 after adjustments
Trend assumption: Linear deterministic trend (restricted) Series: PHR DPK ERP INF IPI NPF PUAS SBIS SBK 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 * 0.625964 257.8017 228.2979 0.0010 At most 1 * 0.496784 188.9634 187.4701 0.0419 At most 2 0.474830 140.8920 150.5585 0.1539 At most 3 0.341299 95.80957 117.7082 0.5138 At most 4 0.275067 66.58553 88.80380 0.6402 At most 5 0.226385 44.06824 63.87610 0.6894 At most 6 0.159742 26.10055 42.91525 0.7319 At most 7 0.120557 13.91731 25.87211 0.6644 At most 8 0.067935 4.924655 12.51798 0.6072
Trace test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
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43 Lampiran 7 Hasil Simulasi Impulse Response Function
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