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Lampiran 1. Data Penelitian
Bulan JII Inflasi
Indonesia Kurs Rupiah Terhadap Dollar Harga Minyak Mentah Dunia Maret 2015 728,20 6,38 13066,82 47,82 April 2015 664,80 6,79 12947,76 54,45 Mei 2015 698,07 7,15 13140,53 59,27 Juni 2015 656,99 7,26 13313,24 59,82 Juli 2015 641,97 7,26 13374,79 50,90 Agustus 2015 598,28 7,18 13781,75 42,87 September 2015 556,09 6,83 14396,10 45,48 Oktober 2015 586,10 6,25 13795,86 46,22 November 2015 579,80 4,89 13672,57 42,44 Desember 2015 603,35 3,35 13854,60 37,19 Januari 2016 612,75 4,14 13889,05 31,68 Februari 2016 641,86 4,42 13515,70 30,32 Maret 2016 652,69 4,45 13193,14 37,55 April 2016 653,26 3,60 13179,86 40,75 Mei 2016 648,85 3,33 13419,65 46,71 Juni 2016 694,34 3,45 13355,05 48,76 Juli 2016 726,61 3,21 13118,82 44,65 Agustus 2016 746,87 2,79 13165,00 44,72 September 2016 739,69 3,07 13118,24 45,18 Oktober 2016 739,91 3,31 13017,24 49,78 November 2016 682,71 3,58 13310,50 45,66 Desember 2016 694,13 3,02 13417,67 51,97 Januari 2017 689,32 3,49 13358,71 52,50 Februari 2017 698,08 3,83 13340,84 53,47 Maret 2017 718,35 3,61 13345,50 49,33 April 2017 738,19 4,17 13306,39 51,06 Mei 2017 733,69 4,33 13323,35 48,48 Juni 2017 749,60 4,37 13298,25 45,18 Juli 2017 748,37 3,88 13342,10 46,63 Agustus 2017 746,26 3,82 13341,82 48,04 September 2017 733,30 3,72 13303,47 49,82 Oktober 2017 728,69 3,58 13526,00 51,58 November 2017 713,66 3,30 13527,36 56,64 Desember 2017 759,07 3,61 13556,21 57,88 Januari 2018 787,12 3,25 13380,36 63,70 Februari 2018 771,85 3,18 13590,05 62,23
Bulan Harga Emas Dunia Inflasi Malaysia Kurs Ringgit Terhadap Dollar FBMHSI Maret 2015 1178,63 0,90 3,6809 15157,07 April 2015 1197,91 1,80 3,6356 15018,51 Mei 2015 1199,05 2,10 3,6036 14337,46 Juni 2015 1181,50 2,50 3,7391 13797,60 Juli 2015 1130,04 3,30 3,8011 13949,96 Agustus 2015 1117,48 3,10 4,0601 13131,32 September 2015 1124,53 2,60 4,3117 13576,67 Oktober 2015 1159,25 2,50 4,2681 14082,52 November 2015 1085,70 2,60 4,3086 14142,90 Desember 2015 1068,25 2,70 4,2811 14332,58 Januari 2016 1097,38 3,50 4,3481 13904,43 Februari 2016 1199,91 4,20 4,1859 13686,57 Maret 2016 1246,34 2,60 4,0768 13989,33 April 2016 1242,26 2,10 3,9045 13683,89 Mei 2016 1259,40 2,00 4,0482 13305,04 Juni 2016 1276,40 1,60 4,0871 13574,26 Juli 2016 1337,33 1,10 4,0195 13657,63 Agustus 2016 1341,09 1,50 4,0269 13935,08 September 2016 1326,03 1,50 4,1087 13740,53 Oktober 2016 1266,57 1,40 4,1776 13814,78 November 2016 1235,98 1,80 4,3349 13331,26 Desember 2016 1151,40 1,80 4,4615 13427,77 Januari 2017 1192,62 3,20 4,4596 13606,82 Februari 2017 1234,36 4,50 4,4460 13686,62 Maret 2017 1231,09 5,10 4,4393 14101,96 April 2017 1265,63 4,40 4,4072 14200,27 Mei 2017 1245,00 3,90 4,3138 14075,15 Juni 2017 1260,26 3,60 4,2765 14064,20 Juli 2017 1236,22 3,20 4,2903 13916,52 Agustus 2017 1282,32 3,70 4,2843 13950,65 September 2017 1314,98 4,30 4,2089 13995,76 Oktober 2017 1279,51 3,70 4,2289 14273,57 November 2017 1282,28 3,40 4,1725 14049,20 Desember 2017 1261,26 3,50 4,0780 14528,19 Januari 2018 1331,67 2,70 3,9578 15039,01 Februari 2018 1331,53 1,40 3,9123 14812,87
Lampiran 3. Hasil Uji Augmented Dickey Fuller Jakarta Islamic Index Pada Level
Null Hypothesis: JII has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.054299 0.7225 Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JII)
Method: Least Squares Date: 05/01/18 Time: 19:41 Sample (adjusted): 2 36
Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
JII(-1) -0.082935 0.078664 -1.054299 0.2994 C 58.33272 54.33778 1.073520 0.2908
R-squared 0.032586 Mean dependent var 1.247143 Adjusted R-squared 0.003270 S.D. dependent var 27.06071 S.E. of regression 27.01643 Akaike info criterion 9.486213 Sum squared resid 24086.29 Schwarz criterion 9.575090 Log likelihood -164.0087 Hannan-Quinn criter. 9.516893 F-statistic 1.111545 Durbin-Watson stat 1.687744 Prob(F-statistic) 0.299405
Lampiran 4. Hasil Uji Augmented Dickey Fuller Jakarta Islamic Index Pada
First Difference
Null Hypothesis: D(JII) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.085534 0.0000 Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JII,2)
Method: Least Squares Date: 05/01/18 Time: 19:45 Sample (adjusted): 3 36
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(JII(-1)) -0.983843 0.161669 -6.085534 0.0000 C 3.120531 4.359151 0.715857 0.4793
R-squared 0.536458 Mean dependent var 1.415588 Adjusted R-squared 0.521973 S.D. dependent var 36.68734 S.E. of regression 25.36545 Akaike info criterion 9.361676 Sum squared resid 20588.99 Schwarz criterion 9.451461 Log likelihood -157.1485 Hannan-Quinn criter. 9.392295 F-statistic 37.03372 Durbin-Watson stat 1.742456 Prob(F-statistic) 0.000001
Lampiran 5. Hasil Uji Augmented Dickey Fuller Inflasi Indonesia Pada Level
Null Hypothesis: INFLASI_INDONESIA has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.323181 0.6078 Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI_INDONESIA) Method: Least Squares
Date: 05/01/18 Time: 19:57 Sample (adjusted): 2 36
Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
INFLASI_INDONESIA(-1) -0.076673 0.057946 -1.323181 0.1949 C 0.247399 0.269037 0.919572 0.3645
R-squared 0.050382 Mean dependent var -0.091429 Adjusted R-squared 0.021605 S.D. dependent var 0.493530 S.E. of regression 0.488169 Akaike info criterion 1.459135 Sum squared resid 7.864195 Schwarz criterion 1.548012 Log likelihood -23.53486 Hannan-Quinn criter. 1.489815 F-statistic 1.750807 Durbin-Watson stat 1.501991 Prob(F-statistic) 0.194871
Lampiran 6. Hasil Uji Augmented Dickey Fuller Inflasi Indonesia Pada First Difference
Null Hypothesis: D(INFLASI_INDONESIA) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.623869 0.0007 Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI_INDONESIA,2) Method: Least Squares
Date: 05/01/18 Time: 19:59 Sample (adjusted): 3 36
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(INFLASI_INDONESIA(-1)) -0.785137 0.169801 -4.623869 0.0001 C -0.086396 0.085245 -1.013509 0.3184
R-squared 0.400526 Mean dependent var -0.014118 Adjusted R-squared 0.381793 S.D. dependent var 0.621460 S.E. of regression 0.488630 Akaike info criterion 1.462601 Sum squared resid 7.640305 Schwarz criterion 1.552387 Log likelihood -22.86422 Hannan-Quinn criter. 1.493221 F-statistic 21.38017 Durbin-Watson stat 1.959587 Prob(F-statistic) 0.000059
Lampiran 7. Hasil Uji Augmented Dickey Fuller Kurs Rupiah Terhadap Dollar Pada Level
Null Hypothesis: KURS_RUPIAH has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.526562 0.1180 Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS_RUPIAH) Method: Least Squares
Date: 05/01/18 Time: 20:01 Sample (adjusted): 2 36
Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
KURS_RUPIAH(-1) -0.308620 0.122150 -2.526562 0.0165 C 4150.406 1637.155 2.535133 0.0162
R-squared 0.162086 Mean dependent var 14.94943 Adjusted R-squared 0.136695 S.D. dependent var 219.4903 S.E. of regression 203.9377 Akaike info criterion 13.52895 Sum squared resid 1372490. Schwarz criterion 13.61783 Log likelihood -234.7567 Hannan-Quinn criter. 13.55963 F-statistic 6.383515 Durbin-Watson stat 1.717326 Prob(F-statistic) 0.016495
Lampiran 8. Hasil Uji Augmented Dickey Fuller Kurs Rupiah Terhadap Dollar Pada First Difference
Null Hypothesis: D(KURS_RUPIAH) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.601695 0.0001 Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS_RUPIAH,2) Method: Least Squares
Date: 05/01/18 Time: 20:05 Sample (adjusted): 4 36
Included observations: 33 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(KURS_RUPIAH(-1)) -1.326687 0.236837 -5.601695 0.0000 D(KURS_RUPIAH(-1),2) 0.369830 0.171232 2.159814 0.0389 C 18.54083 37.39398 0.495824 0.6236
R-squared 0.553778 Mean dependent var 0.512727 Adjusted R-squared 0.524030 S.D. dependent var 310.1372 S.E. of regression 213.9655 Akaike info criterion 13.65601 Sum squared resid 1373437. Schwarz criterion 13.79206 Log likelihood -222.3242 Hannan-Quinn criter. 13.70179 F-statistic 18.61554 Durbin-Watson stat 1.898925 Prob(F-statistic) 0.000006
Lampiran 9. Hasil Uji Augmented Dickey Fuller Harga Minyak Mentah Dunia Pada Level
Null Hypothesis: HARGA_MINYAK_MENTAH has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.125579 0.6946 Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(HARGA_MINYAK_MENTAH) Method: Least Squares
Date: 05/02/18 Time: 18:46 Sample (adjusted): 2 36
Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
HARGA_MINYAK_MENTAH(-1) -0.110596 0.098257 -1.125579 0.2685
C 5.715572 4.764620 1.199586 0.2388
R-squared 0.036972 Mean dependent var 0.411714 Adjusted R-squared 0.007790 S.D. dependent var 4.189463 S.E. of regression 4.173114 Akaike info criterion 5.750647 Sum squared resid 574.6911 Schwarz criterion 5.839524 Log likelihood -98.63633 Hannan-Quinn criter. 5.781328 F-statistic 1.266928 Durbin-Watson stat 1.358299 Prob(F-statistic) 0.268464
Lampiran 10. Hasil Uji Augmented Dickey Fuller Harga Minyak Mentah Dunia Pada First Difference
Null Hypothesis: D(HARGA_MINYAK_MENTAH) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.608748 0.0008 Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(HARGA_MINYAK_MENTAH,2) Method: Least Squares
Date: 05/02/18 Time: 18:47 Sample (adjusted): 3 36
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(HARGA_MINYAK_MENTAH(-1)) -0.766163 0.166241 -4.608748 0.0001
C 0.119608 0.698658 0.171197 0.8651
R-squared 0.398954 Mean dependent var -0.238235 Adjusted R-squared 0.380172 S.D. dependent var 5.142449 S.E. of regression 4.048607 Akaike info criterion 5.691645 Sum squared resid 524.5191 Schwarz criterion 5.781431 Log likelihood -94.75797 Hannan-Quinn criter. 5.722265 F-statistic 21.24056 Durbin-Watson stat 2.002821 Prob(F-statistic) 0.000062
Lampiran 11. Hasil Uji Augmented Dickey Fuller Harga Emas Dunia Pada Level
Null Hypothesis: HARGA_EMAS has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.356637 0.5920 Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(HARGA_EMAS) Method: Least Squares
Date: 05/01/18 Time: 20:17 Sample (adjusted): 2 36
Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
HARGA_EMAS(-1) -0.125786 0.092719 -1.356637 0.1841 C 158.3295 113.6865 1.392685 0.1730
R-squared 0.052825 Mean dependent var 4.368571 Adjusted R-squared 0.024123 S.D. dependent var 40.30082 S.E. of regression 39.81176 Akaike info criterion 10.26165 Sum squared resid 52304.21 Schwarz criterion 10.35052 Log likelihood -177.5788 Hannan-Quinn criter. 10.29233 F-statistic 1.840464 Durbin-Watson stat 1.597229 Prob(F-statistic) 0.184105
Lampiran 12. Hasil Uji Augmented Dickey Fuller Harga Emas Dunia Pada
First Difference
Null Hypothesis: D(HARGA_EMAS) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.916226 0.0003 Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(HARGA_EMAS,2) Method: Least Squares
Date: 05/01/18 Time: 20:19 Sample (adjusted): 3 36
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(HARGA_EMAS(-1)) -0.858699 0.174666 -4.916226 0.0000 C 3.293980 7.081640 0.465144 0.6450
R-squared 0.430294 Mean dependent var -0.571176 Adjusted R-squared 0.412490 S.D. dependent var 53.53930 S.E. of regression 41.03744 Akaike info criterion 10.32387 Sum squared resid 53890.29 Schwarz criterion 10.41366 Log likelihood -173.5058 Hannan-Quinn criter. 10.35449 F-statistic 24.16928 Durbin-Watson stat 1.975242 Prob(F-statistic) 0.000025
Lampiran 13. Hasil Uji Augmented Dickey Fuller FTSE Bursa Malaysia Hijrah Syariah Index Pada Level
Null Hypothesis: FBMHSI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.762902 0.0740 Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FBMHSI) Method: Least Squares
Date: 05/01/18 Time: 20:23 Sample (adjusted): 2 36
Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
FBMHSI(-1) -0.318452 0.115260 -2.762902 0.0093 C 4439.982 1611.408 2.755343 0.0095
R-squared 0.187865 Mean dependent var -9.834286 Adjusted R-squared 0.163255 S.D. dependent var 338.2859 S.E. of regression 309.4429 Akaike info criterion 14.36287 Sum squared resid 3159913. Schwarz criterion 14.45175 Log likelihood -249.3502 Hannan-Quinn criter. 14.39355 F-statistic 7.633627 Durbin-Watson stat 1.798024 Prob(F-statistic) 0.009294
Lampiran 14. Hasil Uji Augmented Dickey Fuller FTSE Bursa Malaysia Hijrah Syariah Index Pada First Difference
Null Hypothesis: D(FBMHSI) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.658196 0.0000 Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FBMHSI,2) Method: Least Squares
Date: 05/01/18 Time: 20:28 Sample (adjusted): 3 36
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(FBMHSI(-1)) -1.004268 0.177489 -5.658196 0.0000 C -6.063057 59.67248 -0.101606 0.9197
R-squared 0.500119 Mean dependent var -2.575882 Adjusted R-squared 0.484497 S.D. dependent var 484.5905 S.E. of regression 347.9288 Akaike info criterion 14.59890 Sum squared resid 3873742. Schwarz criterion 14.68868 Log likelihood -246.1812 Hannan-Quinn criter. 14.62951 F-statistic 32.01518 Durbin-Watson stat 1.916404 Prob(F-statistic) 0.000003
Lampiran 15. Hasil Uji Augmented Dickey Fuller Inflasi Malaysia Pada Level
Null Hypothesis: INFLASI_MALAYSIA has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.489946 0.1267 Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI_MALAYSIA) Method: Least Squares
Date: 05/01/18 Time: 20:33 Sample (adjusted): 3 36
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
INFLASI_MALAYSIA(-1) -0.251757 0.101109 -2.489946 0.0183 D(INFLASI_MALAYSIA(-1)) 0.446287 0.163575 2.728341 0.0104 C 0.686558 0.304954 2.251350 0.0316
R-squared 0.265006 Mean dependent var -0.011765 Adjusted R-squared 0.217587 S.D. dependent var 0.658172 S.E. of regression 0.582181 Akaike info criterion 1.840025 Sum squared resid 10.50696 Schwarz criterion 1.974704 Log likelihood -28.28043 Hannan-Quinn criter. 1.885955 F-statistic 5.588595 Durbin-Watson stat 1.802155 Prob(F-statistic) 0.008461
Lampiran 16. Hasil Uji Augmented Dickey Fuller Inflasi Malaysia Pada First Difference
Null Hypothesis: D(INFLASI_MALAYSIA) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.746139 0.0076 Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI_MALAYSIA,2) Method: Least Squares
Date: 05/01/18 Time: 20:35 Sample (adjusted): 3 36
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(INFLASI_MALAYSIA(-1)) -0.644182 0.171959 -3.746139 0.0007 C -0.030602 0.108034 -0.283264 0.7788
R-squared 0.304855 Mean dependent var -0.064706 Adjusted R-squared 0.283132 S.D. dependent var 0.741367 S.E. of regression 0.627702 Akaike info criterion 1.963519 Sum squared resid 12.60830 Schwarz criterion 2.053305 Log likelihood -31.37982 Hannan-Quinn criter. 1.994138 F-statistic 14.03356 Durbin-Watson stat 1.775612 Prob(F-statistic) 0.000711
Lampiran 17. Hasil Uji Augmented Dickey Fuller Kurs Ringgit Terhadap Dollar Pada Level
Null Hypothesis: KURS_RINGGIT has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.763895 0.0742 Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS_RINGGIT) Method: Least Squares
Date: 05/01/18 Time: 20:38 Sample (adjusted): 3 36
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
KURS_RINGGIT(-1) -0.188725 0.068282 -2.763895 0.0095 D(KURS_RINGGIT(-1)) 0.427212 0.149551 2.856639 0.0076 C 0.789267 0.284152 2.777621 0.0092
R-squared 0.314921 Mean dependent var 0.008138 Adjusted R-squared 0.270722 S.D. dependent var 0.103479 S.E. of regression 0.088369 Akaike info criterion -1.930497 Sum squared resid 0.242081 Schwarz criterion -1.795818 Log likelihood 35.81844 Hannan-Quinn criter. -1.884567 F-statistic 7.125131 Durbin-Watson stat 2.230981 Prob(F-statistic) 0.002844
Lampiran 18. Hasil Uji Augmented Dickey Fuller Kurs Ringgit Terhadap Dollar Pada First Difference
Null Hypothesis: D(KURS_RINGGIT) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.781599 0.0070 Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS_RINGGIT,2) Method: Least Squares
Date: 05/01/18 Time: 20:40 Sample (adjusted): 3 36
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(KURS_RINGGIT(-1)) -0.617756 0.163358 -3.781599 0.0006 C 0.005025 0.016706 0.300796 0.7655
R-squared 0.308863 Mean dependent var -5.88E-06 Adjusted R-squared 0.287265 S.D. dependent var 0.115020 S.E. of regression 0.097104 Akaike info criterion -1.769042 Sum squared resid 0.301735 Schwarz criterion -1.679256 Log likelihood 32.07372 Hannan-Quinn criter. -1.738423 F-statistic 14.30049 Durbin-Watson stat 2.041493 Prob(F-statistic) 0.000644
Lampiran 19. Hasil Uji Johansen Penelitian 1
Date: 05/02/18 Time: 18:53 Sample (adjusted): 6 36
Included observations: 31 after adjustments Trend assumption: Linear deterministic trend
Series: JII INFLASI_INDONESIA KURS_RUPIAH HARGA_MINYAK_MENTAH HARGA_EMAS
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.990868 316.1887 69.81889 0.0001 At most 1 * 0.943499 170.6149 47.85613 0.0000 At most 2 * 0.787982 81.53661 29.79707 0.0000 At most 3 * 0.536916 33.45297 15.49471 0.0000 At most 4 * 0.266026 9.587731 3.841466 0.0020
Trace test indicates 5 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 * 0.990868 145.5738 33.87687 0.0000 At most 1 * 0.943499 89.07831 27.58434 0.0000 At most 2 * 0.787982 48.08364 21.13162 0.0000 At most 3 * 0.536916 23.86524 14.26460 0.0012 At most 4 * 0.266026 9.587731 3.841466 0.0020
Max-eigenvalue test indicates 5 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
Lampiran 20. ECM Penelitian 1
Dependent Variable: JII Method: Least Squares Date: 05/02/18 Time: 19:03 Sample: 1 36
Included observations: 36
Variable Coefficient Std. Error t-Statistic Prob.
C 957.5227 363.1464 2.636740 0.0130 INFLASI_INDONESIA -10.98808 4.501865 -2.440784 0.0206 KURS_RUPIAH -0.055124 0.020730 -2.659087 0.0123 HARGA_MINYAK_MENTAH 2.565892 0.743527 3.450972 0.0016 HARGA_EMAS 0.322878 0.105426 3.062614 0.0045
R-squared 0.794538 Mean dependent var 690.6353 Adjusted R-squared 0.768027 S.D. dependent var 59.69832 S.E. of regression 28.75285 Akaike info criterion 9.683597 Sum squared resid 25628.53 Schwarz criterion 9.903530 Log likelihood -169.3048 Hannan-Quinn criter. 9.760360 F-statistic 29.96988 Durbin-Watson stat 1.012174 Prob(F-statistic) 0.000000
Dependent Variable: D(JII) Method: Least Squares Date: 05/02/18 Time: 19:24 Sample (adjusted): 2 36
Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.776172 3.726321 0.208294 0.8365 D(INFLASI_INDONESIA) -2.304573 7.914476 -0.291184 0.7730 D(KURS_RUPIAH) -0.052199 0.018426 -2.832875 0.0083 D(HARGA_MINYAK_MENTAH) 0.230432 0.877016 0.262745 0.7946 D(HARGA_EMAS) 0.187599 0.108298 1.732240 0.0939 RESID01(-1) -0.501514 0.142768 -3.512780 0.0015
R-squared 0.487708 Mean dependent var 1.247143 Adjusted R-squared 0.399382 S.D. dependent var 27.06071