Dekomposisi Varians FDI
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Lampiran 1. Uji Korelasi Variabel Data.
Covariance Analysis: Ordinary Date: 05/22/11 Time: 07:50 Sample: 2000Q1 2009Q4 Included observations: 40 Correlation
Probability PDB FDI PMDN SB LIBOR
NILAITUKAR NETEXP PDB 1.000000 --- FDI -0.487727 1.000000 0.0014 --- PMDN -0.338529 0.582453 1.000000 0.0326 0.0001 --- SB 0.193129 0.002583 -0.069675 1.000000 0.2325 0.9874 0.6692 --- LIBOR 0.321228 -0.310558 -0.074924 -0.146878 1.000000 0.0433 0.0511 0.6459 0.3658 --- NILAITUKAR -0.657542 0.659947 0.504984 -0.314026 -0.598777 1.000000 0.0000 0.0000 0.0009 0.0485 0.0000 --- NETEXP 0.389424 -0.590866 -0.499522 0.184576 -0.270606 -0.293817 1.000000 0.0130 0.0001 0.0010 0.2542 0.0912 0.0657 ---
PDB NILAITUKAR FDI NETEXP PMDN LIBOR SB
Lampiran 2. Uji Stasioneritas Data.
Null Hypothesis: PDB has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.741629 0.4030
Test critical values: 1% level -3.610453
5% level -2.938987
10% level -2.607932
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PDB)
Method: Least Squares Date: 05/22/11 Time: 07:52 Sample (adjusted): 2000Q2 2009Q4 Included observations: 39 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. PDB(-1) -0.164299 0.094336 -1.741629 0.0899
C 1.252201 0.720624 1.737662 0.0906
R-squared 0.075769 Mean dependent var -0.002808 Adjusted R-squared 0.050790 S.D. dependent var 0.041641 S.E. of regression 0.040570 Akaike info criterion -3.521656 Sum squared resid 0.060899 Schwarz criterion -3.436346 Log likelihood 70.67230 Hannan-Quinn criter. -3.491048 F-statistic 3.033273 Durbin-Watson stat 1.951535 Prob(F-statistic) 0.089883
Null Hypothesis: D(PDB) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.890963 0.0000
Test critical values: 1% level -3.615588
5% level -2.941145
10% level -2.609066
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PDB,2)
Method: Least Squares Date: 05/22/11 Time: 07:53 Sample (adjusted): 2000Q3 2009Q4 Included observations: 38 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(PDB(-1)) -1.107996 0.160790 -6.890963 0.0000
C -0.004785 0.006663 -0.718174 0.4773
R-squared 0.568787 Mean dependent var -0.002490 Adjusted R-squared 0.556809 S.D. dependent var 0.061618 S.E. of regression 0.041021 Akaike info criterion -3.498269 Sum squared resid 0.060578 Schwarz criterion -3.412080 Log likelihood 68.46711 Hannan-Quinn criter. -3.467603 F-statistic 47.48538 Durbin-Watson stat 2.085575 Prob(F-statistic) 0.000000
Null Hypothesis: D(PDB,2) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -10.62986 0.0000
Test critical values: 1% level -3.621023
5% level -2.943427
10% level -2.610263
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PDB,3)
Method: Least Squares Date: 05/22/11 Time: 07:54 Sample (adjusted): 2000Q4 2009Q4 Included observations: 37 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(PDB(-1),2) -1.536721 0.144567 -10.62986 0.0000
C -0.002990 0.008823 -0.338824 0.7368
R-squared 0.763504 Mean dependent var -0.001295 Adjusted R-squared 0.756747 S.D. dependent var 0.108800 S.E. of regression 0.053661 Akaike info criterion -2.959733 Sum squared resid 0.100781 Schwarz criterion -2.872657 Log likelihood 56.75507 Hannan-Quinn criter. -2.929035
F-statistic 112.9938 Durbin-Watson stat 2.172629 Prob(F-statistic) 0.000000
Null Hypothesis: NILAITUKAR has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.438328 0.1383
Test critical values: 1% level -3.610453
5% level -2.938987
10% level -2.607932
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(NILAITUKAR) Method: Least Squares
Date: 05/22/11 Time: 07:55 Sample (adjusted): 2000Q2 2009Q4 Included observations: 39 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. NILAITUKAR(-1) -0.189707 0.077802 -2.438328 0.0197
C 1.697201 0.685863 2.474547 0.0180
R-squared 0.138442 Mean dependent var 0.025944
Adjusted R-squared 0.115156 S.D. dependent var 0.165326 S.E. of regression 0.155516 Akaike info criterion -0.834220 Sum squared resid 0.894850 Schwarz criterion -0.748909 Log likelihood 18.26729 Hannan-Quinn criter. -0.803611 F-statistic 5.945445 Durbin-Watson stat 2.095459 Prob(F-statistic) 0.019676
Null Hypothesis: D(NILAITUKAR) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.662036 0.0000
Test critical values: 1% level -3.615588
5% level -2.941145
10% level -2.609066
*MacKinnon (1996) one-sided p-values.
Dependent Variable: D(NILAITUKAR,2) Method: Least Squares
Date: 05/22/11 Time: 07:55 Sample (adjusted): 2000Q3 2009Q4 Included observations: 38 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(NILAITUKAR(-1)) -1.100364 0.165169 -6.662036 0.0000
C 0.025907 0.027636 0.937435 0.3548
R-squared 0.552143 Mean dependent var -0.004328 Adjusted R-squared 0.539702 S.D. dependent var 0.247693 S.E. of regression 0.168048 Akaike info criterion -0.677942 Sum squared resid 1.016640 Schwarz criterion -0.591754 Log likelihood 14.88091 Hannan-Quinn criter. -0.647277 F-statistic 44.38273 Durbin-Watson stat 2.022418 Prob(F-statistic) 0.000000
Null Hypothesis: D(NILAITUKAR,2) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -10.03881 0.0000
Test critical values: 1% level -3.621023
5% level -2.943427
10% level -2.610263
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(NILAITUKAR,3) Method: Least Squares
Date: 05/22/11 Time: 07:56 Sample (adjusted): 2000Q4 2009Q4 Included observations: 37 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(NILAITUKAR(-1),2) -1.480866 0.147514 -10.03881 0.0000
C -0.003366 0.036533 -0.092123 0.9271
R-squared 0.742226 Mean dependent var 0.004660
Adjusted R-squared 0.734861 S.D. dependent var 0.431469 S.E. of regression 0.222171 Akaike info criterion -0.118202 Sum squared resid 1.727596 Schwarz criterion -0.031125 Log likelihood 4.186738 Hannan-Quinn criter. -0.087503 F-statistic 100.7777 Durbin-Watson stat 2.411860 Prob(F-statistic) 0.000000
Null Hypothesis: FDI has a unit root Exogenous: Constant
Lag Length: 3 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.295439 0.1788
Test critical values: 1% level -3.626784
5% level -2.945842
10% level -2.611531
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FDI)
Method: Least Squares Date: 05/22/11 Time: 07:56 Sample (adjusted): 2001Q1 2009Q4 Included observations: 36 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. FDI(-1) -0.412681 0.179783 -2.295439 0.0286 D(FDI(-1)) -0.381968 0.171425 -2.228188 0.0333 D(FDI(-2)) -0.443279 0.151040 -2.934845 0.0062 D(FDI(-3)) -0.582220 0.130863 -4.449076 0.0001
C 3.739895 1.394127 2.682607 0.0116
R-squared 0.622029 Mean dependent var 0.309843
Adjusted R-squared 0.573259 S.D. dependent var 4.955082 S.E. of regression 3.236928 Akaike info criterion 5.315373 Sum squared resid 324.8089 Schwarz criterion 5.535306 Log likelihood -90.67671 Hannan-Quinn criter. 5.392135 F-statistic 12.75423 Durbin-Watson stat 1.637583 Prob(F-statistic) 0.000003
Null Hypothesis: D(FDI) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.518355 0.0000
Test critical values: 1% level -3.626784
5% level -2.945842
10% level -2.611531
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FDI,2)
Method: Least Squares Date: 05/22/11 Time: 07:56
Sample (adjusted): 2001Q1 2009Q4 Included observations: 36 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(FDI(-1)) -2.950582 0.309989 -9.518355 0.0000 D(FDI(-1),2) 1.296350 0.228019 5.685273 0.0000 D(FDI(-2),2) 0.673231 0.132771 5.070625 0.0000
C 0.793854 0.579597 1.369665 0.1803
R-squared 0.833341 Mean dependent var 0.001381
Adjusted R-squared 0.817717 S.D. dependent var 8.071468 S.E. of regression 3.446086 Akaike info criterion 5.416795 Sum squared resid 380.0163 Schwarz criterion 5.592741 Log likelihood -93.50230 Hannan-Quinn criter. 5.478205 F-statistic 53.33622 Durbin-Watson stat 1.606222 Prob(F-statistic) 0.000000
Null Hypothesis: D(FDI,2) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -13.34485 0.0000
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(FDI,3)
Method: Least Squares Date: 05/22/11 Time: 07:57 Sample (adjusted): 2001Q2 2009Q4 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(FDI(-1),2) -3.639553 0.272731 -13.34485 0.0000 D(FDI(-1),3) 1.703169 0.205779 8.276699 0.0000 D(FDI(-2),3) 0.835183 0.105896 7.886845 0.0000
C -0.021633 0.668254 -0.032372 0.9744
R-squared 0.931594 Mean dependent var -0.049710 Adjusted R-squared 0.924974 S.D. dependent var 14.42942 S.E. of regression 3.952354 Akaike info criterion 5.693710 Sum squared resid 484.2541 Schwarz criterion 5.871464 Log likelihood -95.63993 Hannan-Quinn criter. 5.755071 F-statistic 140.7246 Durbin-Watson stat 2.196452 Prob(F-statistic) 0.000000
Null Hypothesis: NETEXP has a unit root Exogenous: Constant
Lag Length: 4 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.350878 0.1626
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(NETEXP) Method: Least Squares
Date: 05/22/11 Time: 07:57 Sample (adjusted): 2001Q2 2009Q4 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. NETEXP(-1) -0.295001 0.125486 -2.350878 0.0257 D(NETEXP(-1)) 0.097531 0.168296 0.579520 0.5667 D(NETEXP(-2)) -0.021329 0.147484 -0.144619 0.8860 D(NETEXP(-3)) -0.149265 0.137227 -1.087721 0.2857 D(NETEXP(-4)) 0.914936 0.157817 5.797458 0.0000 C -685.4580 326.5358 -2.099182 0.0446
R-squared 0.866254 Mean dependent var -124.7429 Adjusted R-squared 0.843194 S.D. dependent var 1776.920 S.E. of regression 703.6375 Akaike info criterion 16.10521 Sum squared resid 14358066 Schwarz criterion 16.37184 Log likelihood -275.8412 Hannan-Quinn criter. 16.19725 F-statistic 37.56571 Durbin-Watson stat 1.601330 Prob(F-statistic) 0.000000
Null Hypothesis: D(NETEXP) has a unit root Exogenous: Constant
Lag Length: 4 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.698562 0.0847
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(NETEXP,2) Method: Least Squares
Date: 05/22/11 Time: 07:57 Sample (adjusted): 2001Q3 2009Q4 Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(NETEXP(-1)) -1.551919 0.575091 -2.698562 0.0117 D(NETEXP(-1),2) 0.654508 0.556347 1.176438 0.2493 D(NETEXP(-2),2) 0.274891 0.434608 0.632504 0.5322 D(NETEXP(-3),2) -0.142100 0.324729 -0.437595 0.6650 D(NETEXP(-4),2) 0.548208 0.219689 2.495382 0.0187 C -50.76875 124.8254 -0.406718 0.6873
R-squared 0.948377 Mean dependent var -47.41176 Adjusted R-squared 0.939159 S.D. dependent var 2844.518 S.E. of regression 701.6268 Akaike info criterion 16.10347 Sum squared resid 13783844 Schwarz criterion 16.37282 Log likelihood -267.7589 Hannan-Quinn criter. 16.19532 F-statistic 102.8798 Durbin-Watson stat 2.257117 Prob(F-statistic) 0.000000
Null Hypothesis: D(NETEXP,2) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -25.99355 0.0001
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(NETEXP,3) Method: Least Squares
Date: 05/22/11 Time: 07:59 Sample (adjusted): 2001Q2 2009Q4 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(NETEXP(-1),2) -4.055898 0.156035 -25.99355 0.0000 D(NETEXP(-1),3) 2.085474 0.119233 17.49081 0.0000 D(NETEXP(-2),3) 1.085552 0.064351 16.86925 0.0000
C 55.32970 130.5634 0.423776 0.6747
R-squared 0.978204 Mean dependent var -105.4857 Adjusted R-squared 0.976095 S.D. dependent var 4975.524 S.E. of regression 769.2795 Akaike info criterion 16.23600 Sum squared resid 18345521 Schwarz criterion 16.41375 Log likelihood -280.1299 Hannan-Quinn criter. 16.29736
F-statistic 463.7634 Durbin-Watson stat 1.605362 Prob(F-statistic) 0.000000
Null Hypothesis: PMDN has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.557575 0.0007
Test critical values: 1% level -3.610453
5% level -2.938987
10% level -2.607932
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PMDN)
Method: Least Squares Date: 05/22/11 Time: 08:00 Sample (adjusted): 2000Q2 2009Q4 Included observations: 39 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. PMDN(-1) -0.602958 0.132298 -4.557575 0.0001
C 6.887804 1.530133 4.501441 0.0001
R-squared 0.359546 Mean dependent var 0.332194
Adjusted R-squared 0.342236 S.D. dependent var 4.018224 S.E. of regression 3.258886 Akaike info criterion 5.250568 Sum squared resid 392.9525 Schwarz criterion 5.335879 Log likelihood -100.3861 Hannan-Quinn criter. 5.281177 F-statistic 20.77149 Durbin-Watson stat 1.746312 Prob(F-statistic) 0.000055
Null Hypothesis: D(PMDN) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.146596 0.0000
Test critical values: 1% level -3.615588
5% level -2.941145
10% level -2.609066
*MacKinnon (1996) one-sided p-values.
Dependent Variable: D(PMDN,2) Method: Least Squares
Date: 05/22/11 Time: 08:00 Sample (adjusted): 2000Q3 2009Q4 Included observations: 38 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(PMDN(-1)) -1.192198 0.146343 -8.146596 0.0000
C 0.115629 0.590098 0.195949 0.8458
R-squared 0.648324 Mean dependent var -0.290892 Adjusted R-squared 0.638555 S.D. dependent var 6.028884 S.E. of regression 3.624581 Akaike info criterion 5.464550 Sum squared resid 472.9531 Schwarz criterion 5.550739 Log likelihood -101.8265 Hannan-Quinn criter. 5.495216 F-statistic 66.36702 Durbin-Watson stat 2.172328 Prob(F-statistic) 0.000000
Null Hypothesis: D(PMDN,2) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.072802 0.0000
Test critical values: 1% level -3.626784
5% level -2.945842
10% level -2.611531
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PMDN,3) Method: Least Squares
Date: 05/22/11 Time: 08:00 Sample (adjusted): 2001Q1 2009Q4 Included observations: 36 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(PMDN(-1),2) -1.956508 0.276624 -7.072802 0.0000 D(PMDN(-1),3) 0.281706 0.155880 1.807192 0.0799
C -0.076132 0.824997 -0.092281 0.9270
R-squared 0.784577 Mean dependent var -0.012428 Adjusted R-squared 0.771521 S.D. dependent var 10.33906 S.E. of regression 4.942019 Akaike info criterion 6.113080 Sum squared resid 805.9771 Schwarz criterion 6.245040 Log likelihood -107.0354 Hannan-Quinn criter. 6.159138 F-statistic 60.09340 Durbin-Watson stat 2.069606 Prob(F-statistic) 0.000000
Null Hypothesis: LIBOR has a unit root Exogenous: Constant
Lag Length: 8 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.375135 0.1566
Test critical values: 1% level -3.661661
5% level -2.960411
10% level -2.619160
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIBOR)
Method: Least Squares Date: 05/22/11 Time: 08:01 Sample (adjusted): 2002Q2 2009Q4 Included observations: 31 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. LIBOR(-1) -0.435997 0.183567 -2.375135 0.0271 D(LIBOR(-1)) 0.498682 0.212322 2.348700 0.0287 D(LIBOR(-2)) -0.072346 0.188241 -0.384324 0.7046 D(LIBOR(-3)) 0.084567 0.196682 0.429971 0.6716 D(LIBOR(-4)) 0.528717 0.183230 2.885538 0.0088 D(LIBOR(-5)) 0.023629 0.190302 0.124167 0.9024 D(LIBOR(-6)) 0.435143 0.228491 1.904417 0.0706 D(LIBOR(-7)) 0.121902 0.282470 0.431557 0.6705 D(LIBOR(-8)) 0.524252 0.243564 2.152423 0.0431 C 1.000549 0.488855 2.046721 0.0534
R-squared 0.647586 Mean dependent var -0.054627 Adjusted R-squared 0.496551 S.D. dependent var 1.247780 S.E. of regression 0.885351 Akaike info criterion 2.850032 Sum squared resid 16.46079 Schwarz criterion 3.312609 Log likelihood -34.17550 Hannan-Quinn criter. 3.000821 F-statistic 4.287667 Durbin-Watson stat 1.871553 Prob(F-statistic) 0.002861
Null Hypothesis: D(LIBOR) has a unit root Exogenous: Constant
Lag Length: 3 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.400785 0.5707
Test critical values: 1% level -3.632900
5% level -2.948404
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIBOR,2) Method: Least Squares
Date: 05/22/11 Time: 08:01 Sample (adjusted): 2001Q2 2009Q4 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(LIBOR(-1)) -0.536689 0.383134 -1.400785 0.1715 D(LIBOR(-1),2) -0.404211 0.302139 -1.337832 0.1910 D(LIBOR(-2),2) -0.442326 0.242252 -1.825896 0.0778 D(LIBOR(-3),2) -0.556402 0.161470 -3.445851 0.0017
C -0.141877 0.184538 -0.768826 0.4480
R-squared 0.732949 Mean dependent var 0.079466
Adjusted R-squared 0.697342 S.D. dependent var 1.888539 S.E. of regression 1.038968 Akaike info criterion 3.045896 Sum squared resid 32.38363 Schwarz criterion 3.268089 Log likelihood -48.30319 Hannan-Quinn criter. 3.122597 F-statistic 20.58448 Durbin-Watson stat 1.930209 Prob(F-statistic) 0.000000
Null Hypothesis: D(LIBOR,2) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -11.08137 0.0000
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(LIBOR,3) Method: Least Squares
Date: 05/22/11 Time: 08:01 Sample (adjusted): 2001Q2 2009Q4 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(LIBOR(-1),2) -3.238775 0.292272 -11.08137 0.0000 D(LIBOR(-1),3) 1.441024 0.225194 6.399033 0.0000 D(LIBOR(-2),3) 0.716521 0.115803 6.187401 0.0000
R-squared 0.913958 Mean dependent var 0.113067 Adjusted R-squared 0.905632 S.D. dependent var 3.434208 S.E. of regression 1.054969 Akaike info criterion 3.052110 Sum squared resid 34.50174 Schwarz criterion 3.229864 Log likelihood -49.41193 Hannan-Quinn criter. 3.113471 F-statistic 109.7635 Durbin-Watson stat 2.075103 Prob(F-statistic) 0.000000
Null Hypothesis: SB has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.215334 0.0000
Test critical values: 1% level -3.610453
5% level -2.938987
10% level -2.607932
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SB)
Method: Least Squares Date: 05/22/11 Time: 08:02 Sample (adjusted): 2000Q2 2009Q4 Included observations: 39 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. SB(-1) -1.022720 0.164548 -6.215334 0.0000
C 15.93670 3.202509 4.976318 0.0000
R-squared 0.510779 Mean dependent var -0.066221 Adjusted R-squared 0.497556 S.D. dependent var 16.77824 S.E. of regression 11.89296 Akaike info criterion 7.839691 Sum squared resid 5233.375 Schwarz criterion 7.925002 Log likelihood -150.8740 Hannan-Quinn criter. 7.870300 F-statistic 38.63038 Durbin-Watson stat 1.996935 Prob(F-statistic) 0.000000
Null Hypothesis: D(SB) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -10.66421 0.0000
Test critical values: 1% level -3.615588
5% level -2.941145
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SB,2)
Method: Least Squares Date: 05/22/11 Time: 08:02 Sample (adjusted): 2000Q3 2009Q4 Included observations: 38 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(SB(-1)) -1.519141 0.142452 -10.66421 0.0000
C -0.090886 2.390057 -0.038027 0.9699
R-squared 0.759560 Mean dependent var -0.017294 Adjusted R-squared 0.752881 S.D. dependent var 29.63774 S.E. of regression 14.73324 Akaike info criterion 8.269285 Sum squared resid 7814.460 Schwarz criterion 8.355474 Log likelihood -155.1164 Hannan-Quinn criter. 8.299951 F-statistic 113.7254 Durbin-Watson stat 2.304589 Prob(F-statistic) 0.000000
Null Hypothesis: D(SB,2) has a unit root Exogenous: Constant
Lag Length: 4 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.283873 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(SB,3)
Method: Least Squares Date: 05/22/11 Time: 08:02 Sample (adjusted): 2001Q4 2009Q4 Included observations: 33 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(SB(-1),2) -6.091077 1.152768 -5.283873 0.0000 D(SB(-1),3) 3.648603 1.022435 3.568542 0.0014 D(SB(-2),3) 2.216925 0.768220 2.885794 0.0076 D(SB(-3),3) 1.032405 0.464493 2.222649 0.0348 D(SB(-4),3) 0.297537 0.184182 1.615448 0.1178 C 0.079194 3.163410 0.025034 0.9802
R-squared 0.918663 Mean dependent var 0.014372
S.E. of regression 18.17186 Akaike info criterion 8.800591 Sum squared resid 8915.843 Schwarz criterion 9.072683 Log likelihood -139.2098 Hannan-Quinn criter. 8.892142 F-statistic 60.99066 Durbin-Watson stat 1.657950 Prob(F-statistic) 0.000000
Lampiran 3. Hasil Uji Kausalitas Granger.
Pairwise Granger Causality Tests Date: 05/22/11 Time: 20:11 Sample: 2000Q1 2009Q4 Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
NILAITUKAR does not Granger Cause PDB 38 3.66834 0.0364
PDB does not Granger Cause NILAITUKAR 0.29002 0.7501
FDI does not Granger Cause PDB 38 0.50241 0.6096
PDB does not Granger Cause FDI 2.35315 0.1108
NETEXP does not Granger Cause PDB 38 0.72827 0.4903
PDB does not Granger Cause NETEXP 3.37050 0.0466
PMDN does not Granger Cause PDB 38 1.98698 0.1532
PDB does not Granger Cause PMDN 2.40727 0.1057
LIBOR does not Granger Cause PDB 38 1.01850 0.3722
PDB does not Granger Cause LIBOR 2.11796 0.1363
SB does not Granger Cause PDB 38 1.23199 0.3048
PDB does not Granger Cause SB 1.16144 0.3255
FDI does not Granger Cause NILAITUKAR 38 2.14042 0.1336
NILAITUKAR does not Granger Cause FDI 3.37584 0.0464
NETEXP does not Granger Cause NILAITUKAR 38 0.44105 0.6471 NILAITUKAR does not Granger Cause NETEXP 1.11719 0.3393 PMDN does not Granger Cause NILAITUKAR 38 1.01739 0.3726
NILAITUKAR does not Granger Cause PMDN 1.80840 0.1798
LIBOR does not Granger Cause NILAITUKAR 38 2.14397 0.1332
NILAITUKAR does not Granger Cause LIBOR 0.57219 0.5698
SB does not Granger Cause NILAITUKAR 38 68.5027 2.E-12
NILAITUKAR does not Granger Cause SB 7.40923 0.0022
NETEXP does not Granger Cause FDI 38 0.87652 0.4257
FDI does not Granger Cause NETEXP 0.42249 0.6589
PMDN does not Granger Cause FDI 38 0.46121 0.6345
FDI does not Granger Cause PMDN 1.11683 0.3394
LIBOR does not Granger Cause FDI 38 2.11227 0.1370
FDI does not Granger Cause LIBOR 0.96714 0.3907
SB does not Granger Cause FDI 38 0.50911 0.6057
PMDN does not Granger Cause NETEXP 38 0.77946 0.4669
NETEXP does not Granger Cause PMDN 0.13556 0.8737
LIBOR does not Granger Cause NETEXP 38 0.24438 0.7846
NETEXP does not Granger Cause LIBOR 2.25981 0.1203
SB does not Granger Cause NETEXP 38 0.50285 0.6094
NETEXP does not Granger Cause SB 0.24472 0.7843
LIBOR does not Granger Cause PMDN 38 0.65011 0.5285
PMDN does not Granger Cause LIBOR 0.08936 0.9147
SB does not Granger Cause PMDN 38 0.18411 0.8327
PMDN does not Granger Cause SB 2.09329 0.1394
SB does not Granger Cause LIBOR 38 1.08734 0.3489
Vector Autoregression Estimates Date: 05/22/11 Time: 08:04 Sample (adjusted): 2001Q1 2009Q4 Included observations: 36 after adjustments Standard errors in ( ) & t-statistics in [ ]
D(PDB,2)
D(NILAITUKAR,
2) D(FDI,2) D(NETEXP,2) D(PMDN,2) D(LIBOR,2) D(SB,2) D(PDB(-1),2) -0.829756 0.343725 5.783740 -15003.70 -3.062086 13.06406 -67.54151 (0.17639) (0.46553) (26.9808) (8981.76) (20.8025) (5.95468) (45.9898) [-4.70407] [ 0.73835] [ 0.21436] [-1.67046] [-0.14720] [ 2.19391] [-1.46862] D(PDB(-2),2) -0.223586 -0.128395 -8.292373 -16915.56 17.84728 11.14482 -131.0878 (0.16817) (0.44382) (25.7227) (8562.92) (19.8324) (5.67701) (43.8452) [-1.32956] [-0.28929] [-0.32238] [-1.97544] [ 0.89990] [ 1.96315] [-2.98979] D(NILAITUKAR(-1),2) -0.008667 0.151117 6.935394 -676.2080 0.418682 1.386791 -114.1757 (0.08100) (0.21377) (12.3895) (4124.40) (9.55243) (2.73437) (21.1184) [-0.10700] [ 0.70691] [ 0.55978] [-0.16395] [ 0.04383] [ 0.50717] [-5.40647] D(NILAITUKAR(-2),2) 0.056284 0.411471 -11.63214 671.4715 12.34696 2.355020 -48.94300 (0.09016) (0.23794) (13.7902) (4590.67) (10.6324) (3.04350) (23.5058) [ 0.62430] [ 1.72932] [-0.84351] [ 0.14627] [ 1.16126] [ 0.77379] [-2.08217] D(FDI(-1),2) 0.000117 -0.003200 -0.576555 -97.53078 -0.101961 -0.007062 0.077189 (0.00185) (0.00488) (0.28259) (94.0714) (0.21788) (0.06237) (0.48168) [ 0.06331] [-0.65636] [-2.04028] [-1.03677] [-0.46797] [-0.11323] [ 0.16025] D(FDI(-2),2) 0.001149 -0.003716 -0.038055 -112.9049 0.017289 0.040606 -0.196061 (0.00196) (0.00518) (0.30035) (99.9857) (0.23157) (0.06629) (0.51196) [ 0.58536] [-0.71710] [-0.12670] [-1.12921] [ 0.07466] [ 0.61257] [-0.38296] D(NETEXP(-1),2) 1.83E-06 -5.11E-06 0.001281 -1.134695 6.72E-05 0.000335 0.000590
D(NETEXP(-2),2) 5.78E-06 2.27E-06 0.002277 -0.843078 0.001015 0.000309 -0.002000 (6.6E-06) (1.8E-05) (0.00102) (0.33792) (0.00078) (0.00022) (0.00173) [ 0.87140] [ 0.12973] [ 2.24281] [-2.49492] [ 1.29706] [ 1.37986] [-1.15582] D(PMDN(-1),2) 0.003020 0.002335 0.250302 -123.4431 -0.592293 0.036855 0.114204 (0.00187) (0.00494) (0.28622) (95.2813) (0.22068) (0.06317) (0.48787) [ 1.61384] [ 0.47281] [ 0.87451] [-1.29556] [-2.68395] [ 0.58343] [ 0.23408] D(PMDN(-2),2) 0.003257 0.004610 0.200749 -67.40168 -0.273745 0.035036 0.754818 (0.00174) (0.00460) (0.26689) (88.8451) (0.20577) (0.05890) (0.45492) [ 1.86641] [ 1.00103] [ 0.75219] [-0.75864] [-1.33033] [ 0.59482] [ 1.65924] D(LIBOR(-1),2) -0.013973 0.028602 0.787342 -229.4732 0.068954 -0.178193 1.880388 (0.01424) (0.03758) (2.17780) (724.977) (1.67911) (0.48064) (3.71214) [-0.98138] [ 0.76117] [ 0.36153] [-0.31652] [ 0.04107] [-0.37074] [ 0.50655] D(LIBOR(-2),2) -0.012317 0.029694 2.236001 -720.9733 1.444905 0.292484 -1.869043 (0.00870) (0.02296) (1.33081) (443.017) (1.02606) (0.29371) (2.26840) [-1.41566] [ 1.29319] [ 1.68019] [-1.62742] [ 1.40820] [ 0.99583] [-0.82395] D(SB(-1),2) -0.000361 0.012747 -0.040138 29.59663 0.091381 0.006008 -1.539045 (0.00081) (0.00215) (0.12437) (41.4004) (0.09589) (0.02745) (0.21198) [-0.44435] [ 5.94042] [-0.32274] [ 0.71489] [ 0.95301] [ 0.21889] [-7.26018] D(SB(-2),2) -0.000109 0.008059 -0.124697 33.40125 0.133098 0.021814 -0.269965 (0.00134) (0.00353) (0.20481) (68.1801) (0.15791) (0.04520) (0.34911) [-0.08156] [ 2.28051] [-0.60884] [ 0.48990] [ 0.84287] [ 0.48260] [-0.77330] C -0.000210 0.004414 0.221917 -149.7052 0.143531 0.056997 -0.576974 (0.00786) (0.02073) (1.20168) (400.031) (0.92650) (0.26521) (2.04830) [-0.02676] [ 0.21289] [ 0.18467] [-0.37423] [ 0.15492] [ 0.21491] [-0.28168] R-squared 0.648184 0.858811 0.532242 0.584088 0.482648 0.613292 0.904572 Adj. R-squared 0.413641 0.764685 0.220403 0.306814 0.137747 0.355486 0.840953 Sum sq. resids 0.045587 0.317530 1066.583 1.18E+08 634.0356 51.95185 3098.887 S.E. equation 0.046592 0.122965 7.126686 2372.431 5.494740 1.572863 12.14768
Mean dependent 0.000462 -0.002294 0.001381 -38.16667 0.001167 -0.022421 -0.085724 S.D. dependent 0.060845 0.253488 8.071468 2849.499 5.917385 1.959182 30.46004 Determinant resid covariance (dof adj.) 1988195.
Determinant resid covariance 45695.84
Log likelihood -550.7082
Akaike information criterion 36.42824
Roots of Characteristic Polynomial
Endogenous variables: D(PDB,2) D(NILAITUKAR,2) D(FDI,2) D(NETEXP,2) D(PMDN,2) D(LIBOR,2) D(SB,2) Exogenous variables: C Lag specification: 1 2 Date: 05/22/11 Time: 08:04 Root Modulus -0.847588 0.847588 -0.766358 - 0.239662i 0.802958 -0.766358 + 0.239662i 0.802958 0.035351 - 0.800936i 0.801716 0.035351 + 0.800936i 0.801716 -0.516453 - 0.586293i 0.781322 -0.516453 + 0.586293i 0.781322 -0.110320 - 0.705346i 0.713922 -0.110320 + 0.705346i 0.713922 -0.619034 0.619034 -0.296712 - 0.363323i 0.469086 -0.296712 + 0.363323i 0.469086 0.038093 - 0.268334i 0.271024 0.038093 + 0.268334i 0.271024
No root lies outside the unit circle. VAR satisfies the stability condition.
VAR Lag Order Selection Criteria
Endogenous variables: D(PDB,2) D(NILAITUKAR,2) D(FDI,2) D(NETEXP,2) D(PMDN,2) D(LIBOR,2) D(SB,2)
Exogenous variables: C Date: 05/22/11 Time: 08:05 Sample: 2000Q1 2009Q4 Included observations: 36
Lag LogL LR FPE AIC SC HQ