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Lampiran 1
Data Variabel Makro Ekonomi Indonesia periode 2006.1 s.d 2010.12
Obs SBI INF KURS GDP IHSG
2006.1 12.75 17.03 9395.00 442484.50 1232.32 2006.2 12.75 17.92 9230.00 445484.90 1230.66 2006.3 12.75 15.74 9075.00 448485.30 1322.97 2006.4 12.75 15.40 8775.00 451536.80 1464.41 2006.5 12.50 15.60 9220.00 454586.30 1330.00 2006.6 12.50 15.53 9300.00 457636.80 1310.26 2006.7 12.25 15.15 9070.00 463391.50 1351.65 2006.8 11.75 14.90 9100.00 469147.00 1431.26 2006.9 11.25 14.55 9235.00 474903.50 1534.61 2006.10 10.75 6.29 9110.00 471969.40 1582.63 2006.11 10.25 5.27 9165.00 469035.30 1718.96 2006.12 9.75 6.60 9020.00 466101.10 1805.52 2007.1 9.50 6.26 9090.00 469281.30 1757.26 2007.2 9.25 6.30 9160.00 472461.50 1740.97 2007.3 9.00 6.52 9118.00 475641.70 1830.92 2007.4 8.75 6.29 9083.00 479901.50 1999.17 2007.5 8.50 6.01 8828.00 484161.30 2084.32 2007.6 8.25 5.77 9054.00 488421.10 2139.28 2007.7 8.25 6.06 9186.00 494591.20 2348.67 2007.8 8.25 6.51 9410.00 500761.90 2194.34 2007.9 8.25 6.95 9137.00 506933.00 2359.21 2007.10 8.25 6.88 9103.00 502399.20 2643.49 2007.11 8.25 6.71 9376.00 497865.40 2688.33 2007.12 8.00 6.59 9419.00 493331.50 2745.83 2008.1 8.00 7.36 9291.00 497287.10 2627.25 2008.2 8.00 7.40 9051.00 501242.70 2721.94 2008.3 8.00 8.17 9217.00 505198.40 2447.30 2008.4 8.00 8.96 9234.00 509855.50 2304.52 2008.5 8.25 10.38 9318.00 514512.60 2444.35 2008.6 8.50 11.03 9225.00 519169.80 2349.10 2008.7 8.75 11.90 9118.00 525646.20 2304.51 2008.8 9.00 11.85 9153.00 532122.60 2165.94 2008.9 9.25 12.14 9378.00 538599.00 1832.51 2008.10 9.50 11.77 10995.00 532182.30 1256.70 2008.11 9.50 11.68 12151.00 525765.60 1241.54
2008.12 9.25 11.06 10950.00 519348.70 1355.41 2009.1 8.75 9.17 11355.00 522454.30 1332.67 2009.2 8.25 8.60 11980.00 525559.90 1285.48 2009.3 7.75 7.92 11575.00 528665.70 1434.07 2009.4 7.50 7.31 10713.00 532564.90 1722.77 2009.5 7.25 6.04 10340.00 536464.10 1916.83 2009.6 7.00 3.65 10225.00 540363.50 2026.78 2009.7 6.75 2.71 9920.00 547243.30 2323.24 2009.8 6.50 2.75 10060.00 554123.10 2341.54 2009.9 6.50 2.83 9681.00 561003.00 2467.59 2009.10 6.50 2.57 9545.00 556457.10 2367.70 2009.11 6.50 2.41 9480.00 551911.20 2415.84 2009.12 6.50 2.78 9400.00 547365.20 2534.36 2010.1 6.50 3.72 9502.00 550900.50 2610.80 2010.2 6.50 3.81 9382.00 554435.80 2549.03 2010.3 6.50 3.43 9318.00 557971.20 2777.30 2010.4 6.50 3.91 9127.00 563284.70 2971.25 2010.5 6.50 4.16 9021.00 568598.20 2796.96 2010.6 6.50 5.05 9330.00 573911.70 2913.68 2010.7 6.50 6.22 9033.00 580509.20 3069.28 2010.8 6.50 6.44 9052.00 587106.70 3081.88 2010.9 6.50 5.80 8982.00 593704.40 3501.30 2010.10 6.50 5.67 8964.00 590837.10 3635.32 2010.11 6.50 6.33 8925.00 587969.80 3531.21 2010.12 6.50 6.96 8960.00 585102.50 3703.51
Lampiran 2
Uji Stasioner Tingkat LEVEL Uji Stasioner LNIHSG
Null Hypothesis: LNIHSG has a unit root Exogenous: Constant
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -1.239143 0.6517 Test critical values: 1% level -3.546099
5% level -2.911730
10% level -2.593551
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.006775 HAC corrected variance (Bartlett kernel) 0.012007
Uji Stasioner LNGDP
Null Hypothesis: LNGDP has a unit root Exogenous: Constant
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -1.020586 0.7404 Test critical values: 1% level -3.546099
5% level -2.911730
10% level -2.593551
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 6.08E-05 HAC corrected variance (Bartlett kernel) 9.89E-05
Uji Stasioner INF
Null Hypothesis: INF has a unit root Exogenous: Constant
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -2.294683 0.1771 Test critical values: 1% level -3.546099
5% level -2.911730
10% level -2.593551
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 1.553603 HAC corrected variance (Bartlett kernel) 2.152553
Uji Stasioner LNKURS
Null Hypothesis: LNKURS has a unit root Exogenous: Constant
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -1.960374 0.3032 Test critical values: 1% level -3.546099
5% level -2.911730
10% level -2.593551
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.001232 HAC corrected variance (Bartlett kernel) 0.001466
Uji Stasioner SBI
Null Hypothesis: SBI has a unit root Exogenous: Constant
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -1.975883 0.2965 Test critical values: 1% level -3.546099
5% level -2.911730
10% level -2.593551
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.039820 HAC corrected variance (Bartlett kernel) 0.135487
Lampiran 3
Uji Stasioner Tingkat 1’st Different Uji Stasioner LNIHSG
Null Hypothesis: D(LNIHSG) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -5.412094 0.0002 Test critical values: 1% level -4.124265
5% level -3.489228
10% level -3.173114
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.006290 HAC corrected variance (Bartlett kernel) 0.006609
Uji Stasioner LNGDP
Null Hypothesis: D(LNGDP) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -3.712969 0.0293 Test critical values: 1% level -4.124265
5% level -3.489228
10% level -3.173114
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 4.30E-05 HAC corrected variance (Bartlett kernel) 3.85E-05 Uji Stasioner INF
Null Hypothesis: D(INF) has a unit root Exogenous: Constant, Linear Trend Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -6.250748 0.0000 Test critical values: 1% level -4.124265
5% level -3.489228
10% level -3.173114
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 1.569616 HAC corrected variance (Bartlett kernel) 1.579661
Uji Stasioner LNKURS
Null Hypothesis: D(LNKURS) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -6.613480 0.0000 Test critical values: 1% level -4.124265
5% level -3.489228
10% level -3.173114
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.001297 HAC corrected variance (Bartlett kernel) 0.001068
Uji Stasioner SBI
Null Hypothesis: D(SBI) has a unit root Exogenous: Constant, Linear Trend Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -2.760495 0.2175
Test critical values: 1% level -4.124265
5% level -3.489228
10% level -3.173114
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.013516 HAC corrected variance (Bartlett kernel) 0.017585
Lampiran 4
Uji Stasioner Tingkat 2’nd Different Uji Stasioner LNIHSG
Null Hypothesis: D(LNIHSG,2) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -11.98980 0.0000 Test critical values: 1% level -4.127338
5% level -3.490662
10% level -3.173943
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.008846 HAC corrected variance (Bartlett kernel) 0.003743
Uji Stasioner LNGDP
Null Hypothesis: D(LNGDP,2) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -7.533063 0.0000 Test critical values: 1% level -4.127338
5% level -3.490662
10% level -3.173943
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 5.55E-05 HAC corrected variance (Bartlett kernel) 3.31E-05
Uji Stasioner INF
Null Hypothesis: D(INF,2) has a unit root Exogenous: Constant, Linear Trend Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -14.11913 0.0000 Test critical values: 1% level -4.127338
5% level -3.490662
10% level -3.173943
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 2.261901 HAC corrected variance (Bartlett kernel) 0.839269
Uji Stasioner LNKURS
Null Hypothesis: D(LNKURS,2) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -13.60449 0.0000 Test critical values: 1% level -4.127338
5% level -3.490662
10% level -3.173943
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.002190 HAC corrected variance (Bartlett kernel) 0.000630
Uji Stasioner SBI
Null Hypothesis: D(SBI,2) has a unit root Exogenous: Constant, Linear Trend Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -7.382974 0.0000 Test critical values: 1% level -4.127338
5% level -3.490662
10% level -3.173943
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.015306 HAC corrected variance (Bartlett kernel) 0.016585
Lampiran 5 Uji Kointegrasi
Null Hypothesis: RESID01 has a unit root Exogenous: None
Bandwidth: 4 (Fixed using Bartlett kernel)
Adj. t-Stat Prob.* Phillips-Perron test statistic -3.766333 0.0003 Test critical values: 1% level -2.604746
5% level -1.946447
10% level -1.613238
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.003756 HAC corrected variance (Bartlett kernel) 0.003868
Lampiran 6
Uji Ramsey RESET Test Ramsey RESET Test:
F-statistic 7.005238 Prob. F(1,54) 0.0106 Log likelihood ratio 7.318541 Prob. Chi-Square(1) 0.0068
Lampiran 7
Uji Lagrange Multiple Test
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 0.619709 Prob. F(2,52) 0.5420 Obs*R-squared 1.373525 Prob. Chi-Square(2) 0.5032
Lampiran 8
Uji White Heteroskedasticity
Heteroskedasticity Test: White
F-statistic 1.831690 Prob. F(13,46) 0.0663 Obs*R-squared 20.46523 Prob. Chi-Square(13) 0.0842 Scaled explained SS 21.01377 Prob. Chi-Square(13) 0.0727
Lampiran 9
Hasil Regresi Error Correction Model Dependent Variable: D(LNIHSG) Method: Least Squares
Date: 05/31/11 Time: 12:36
Sample (adjusted): 2006M02 2010M12 Included observations: 59 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. C 11.15605 5.969192 1.868938 0.0676 D(LNGDP) -1.163920 1.242711 -0.936597 0.3536 D(INF) 0.006585 0.007773 0.847196 0.4010 D(LNKURS) -1.684899 0.244419 -6.893491 0.0000 D(SBI) -0.153176 0.061416 -2.494060 0.0161 LNGDP(-1) -0.385912 0.315367 -1.223692 0.2269 INF(-1) -0.294554 0.116368 -2.531229 0.0146 LNKURS(-1) -1.097037 0.448889 -2.443894 0.0182 SBI(-1) -0.367761 0.148056 -2.483925 0.0165 ECT 0.303370 0.120670 2.514057 0.0153 R-squared 0.609515 Mean dependent var 0.018651 Adjusted R-squared 0.537793 S.D. dependent var 0.083544 S.E. of regression 0.056798 Akaike info criterion -2.745362 Sum squared resid 0.158075 Schwarz criterion -2.393237 Log likelihood 90.98817 Hannan-Quinn criter. -2.607906 F-statistic 8.498314 Durbin-Watson stat 2.088772 Prob(F-statistic) 0.000000