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Widarjono, Agus. Ekonometrika, Pengantar dan Aplikasinya, ( YogYakarta: Ekonosia Fakultas Ekonomi UII Yogyakarta,2009) h. 328
Jan-09 9,17 3,72 11.080.50 32,7 1,8 8,13 128,97 84,3 35,872 Feb-09 8,6 3,81 11.852.75 27,7 2,8 8,39 128,72 84,1 37,765 Mar-09 7,92 3,43 11.849.55 33,74 2,65 8,41 128,83 83,10 39,308 Apr-09 7,31 3,91 11.025.10 31,8 2,9 8,21 139,88 78,7 40,281 May-09 6,04 4,16 10.392.65 29,8 2,8 8,21 130,11 74,7 41,432 Jun-09 3,65 5,05 10.206.64 28,15 2,98 7,91 130,21 73,20 42,195 Jul-09 2,71 6,22 10.111.33 15,9 1,9 3,75 94,18 77,1 84,668 Aug-09 2,75 6,44 9.977.60 15,8 1,8 3,53 98,39 77,7 80,54 Sep-09 2,83 5,8 9.900.72 30,27 3,10 8,12 131,55 72,91 44,523 Oct-09 2,57 5,67 9.482.73 33,46 3,42 7,74 128,73 65,02 45,246 nov-09 2,41 6,33 9.469.95 34,57 3,46 8,36 128,31 65,37 45,726 Dec-09 2,78 6,96 9.457.75 16,6 1,8 2,52 88,94 78,4 46,655 Jan-10 7,36 9,17 9.275.45 30,80 3,55 7,36 123,61 76,30 47,479 Feb-10 7,4 8,6 9.348.21 33,25 3,45 7,48 126,23 76,8 48,479 Mar-20 8,17 7,92 9.173.73 31,4 3,57 7,37 129,05 76,18 50,206 Apr-10 8,96 7,31 9.027.33 30,70 3,67 3,19 130,51 75,35 51,651 May-10 10,38 6,04 9.183.21 29,60 3,97 7,13 131,17 75,34 53,223 Jun-10 11,03 3,65 9.148.36 29,64 3,71 6,92 135,20 75,20 55,801 Jul-10 11,9 2,71 9.049.45 29,20 3,68 7,16 135,74 75,61 57,633 Aug-10 11,85 2,75 8.971.76 27,17 3,52 7,18 139,96 76,49 60,275 Sep-10 12,14 2,83 8.973.50 29,1 3,47 7,43 135,82 76,93 60,97 Oct-10 11,77 2,57 8.927.90 26,3 3,61 7,48 133,36 77,18 62,995 nov-10 11,68 2,41 8.938.38 28,7 3,59 7,53 134,5 76,24 65,942 Dec-10 11,06 2,78 9.022.62 27,46 3,49 6,50 128,47 78,08 68,181 Jan-11 6,26 7,36 9.037.38 20,23 2,26 3,28 91,97 75,75 88,724 Feb-11 6,3 7,4 8.912.56 15,17 1,81 3,66 96,16 79,56 71,448 Mar-11 6,52 8,17 8.761.48 16,57 1,97 3,60 93,22 77,63 74,258 Apr-11 6,29 8,96 8.651.30 19,85 1,90 3,79 95,17 78,78 76,728 May-11 6,01 10.38 8.555.80 19,58 1,84 3,76 94,88 79,05 78,818 Jun-11 5,77 11 8.564.00 15,92 1,84 3,55 94,93 78,13 82,618 Jul-11 6,06 11,9 8.533.24 15,9 1,85 3,75 94,18 77,13 84,668 Aug-11 6,51 11,9 8.532.00 15,83 1,81 3,53 98,39 77,65 80,540 Sep-11 6,95 12,1 8.765.50 16,83 1,80 3,50 94,97 77,54 82,839 Oct-11 6,88 11,8 8.895.24 15,3 1,8 3,11 95,24 78 96,805 nov-11 6,71 11,7 9.015.18 14,9 1,8 2,74 94,44 77,9 99,427 Dec-11 6,59 11,1 9.088.48 16,6 1,8 2,52 88,94 78,4 101,655 Jan-12 6,26 6,26 9.109.14 16,27 1,36 2,68 87,27 86,22 101,689 Feb-12 6,3 6,3 9.025.76 15,91 1,79 2,82 90,47 78,39 203,713
Jun-12 5,77 5,77 9.451.14 16,12 2,05 2,88 98,59 75,74 117,592 Jul-12 6,06 6,06 9.456.59 16,12 2,05 2,92 99,91 75,9 120,910 Aug-12 6,51 6,51 9.499.84 15,63 2,04 2,78 101,03 75,89 124,945 Sep-12 6,95 6,95 9.566.35 14,98 2,07 2,74 102,10 75,44 130,357 Oct-12 6,88 6,88 9.597.14 14,54 2,11 2,58 100,48 75 135,581 nov-12 6,71 6,71 9.627.95 14,8 2,1 2,5 101,19 75,3 140,318 Dec-12 6,59 6,59 9.645.89 14,1 2,1 2,22 100 75 147,505 Jan-13 7,32 17 9.687.33 15,3 2,5 2,49 100,63 70,4 149,672 Feb-13 7,15 17,9 9.686.65 15,2 2,3 2,72 102,17 72,1 154,072 Mar-13 8,81 15,7 9.709.42 14,3 2,4 2,75 102,62 73 161,081 Apr-13 8,12 15,4 9.724.04 14,7 2,3 2,85 103,08 74 163,407 May-13 7,4 15,6 9.760.91 14,3 2,1 2,92 102,08 76,9 167,259 Jun-13 7,42 15,5 9.881.53 14,3 2,1 2,64 104,43 76,2 171,227 Jul-13 7,84 15,2 10.073.39 15,3 2 2,75 104,83 76,1 174,486 Aug-13 8,33 14,9 10.572.50 15,3 2 3,01 102,53 77,9 174,537 Sep-13 9,06 14,6 11.346.24 14,2 2 2,8 103,27 77,8 177,32
Adj. t-Stat Prob.* Phillips-Perron test statistic -2.279861 0.1819 Test critical values: 1% level -3.552666
5% level -2.914517
10% level -2.595033
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 1.140526
HAC corrected variance (Bartlett kernel) 1.994420
Null Hypothesis: BIRATE has a unit root Exogenous: Constant
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -7.408730 0.0000 Test critical values: 1% level -3.552666
5% level -2.914517
10% level -2.595033
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: KURS has a unit root Exogenous: Constant
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -1.229196 0.6557 Test critical values: 1% level -3.552666
5% level -2.914517
10% level -2.595033
Null Hypothesis: ROA has a unit root Exogenous: Constant
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -2.465939 0.1292 Test critical values: 1% level -3.552666
5% level -2.914517
10% level -2.595033
*MacKinnon (1996) one-sided p-values.
OA ha tant wey-We statis ) one OA ha tant wey-We statis ) one
Null Hypothesis: ROA has a unit root Exogenous: Constant
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -2.465939 0.1292 Test critical values: 1% level -3.552666
5% level -2.914517
10% level -2.595033
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: NPF has a unit root Exogenous: Constant
Bandwidth: 21 (Newey-West automatic) using Bartlett kernel
Phillips-Perron test statistic -2.743572 0.0732 Test critical values: 1% level -3.552666
5% level -2.914517
10% level -2.595033
10% level -2.595033 *MacKinnon (1996) one-sided p-values.
Null Hypothesis: FDR has a unit root Exogenous: Constant
Bandwidth: 9 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -2.577839 0.1035 Test critical values: 1% level -3.552666
5% level -2.914517
10% level -2.595033
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: BOPO has a unit root Exogenous: Constant
Bandwidth: 8 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -3.586749 0.0091 Test critical values: 1% level -3.552666
5% level -2.914517
10% level -2.595033
*MacKinnon (1996) one-sided p-values.
Uji Augmented Fuller pada level Null Hypothesis: INFLASI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
*MacKinnon (1996) one-sided p-values. Null Hypothesis: KURS has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.008923 0.0402 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: CAR has a unit root Exogenous: Constant
Lag Length: 3 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.456682 0.5476 Test critical values: 1% level -3.560019
5% level -2.917650
10% level -2.596689
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: ROA has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.930795 0.3161 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.681674 0.4346 Test critical values: 1% level -3.560019
5% level -2.917650
10% level -2.596689
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: FDR has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.636161 0.0919 Test critical values: 1% level -3.552666
5% level -2.914517
10% level -2.595033
*MacKinnon (1996) one-sided p-values. Null Hypothesis: BIRATE has a unit root Exogenous: Constant
Lag Length: 6 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic 0.833791 0.9937 Test critical values: 1% level -3.568308
5% level -2.921175
10% level -2.598551
*MacKinnon (1996) one-sided p-values. Null Hypothesis: BOPO has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.669343 0.0072 Test critical values: 1% level -3.552666
Uji Derajat Integrasi
Null Hypothesis: D(INFLASI) has a unit root Exogenous: Constant
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -5.705910 0.0000 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 1.165651
HAC corrected variance (Bartlett kernel) 1.142526
Null Hypothesis: D(BIRATE) has a unit root Exogenous: Constant
Bandwidth: 54 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -54.47391 0.0001 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(KURS) has a unit root Exogenous: Constant
Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(CAR) has a unit root Exogenous: Constant
Bandwidth: 18 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -14.71693 0.0000 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(ROA) has a unit root Exogenous: Constant
Bandwidth: 29 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -15.19813 0.0000 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
Phillips-Perron test statistic -18.23244 0.0000 Test critical values: 1% level -3.555023
5% level -2.915522
Null Hypothesis: D(BOPO) has a unit root Exogenous: Constant
Bandwidth: 31 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -9.341213 0.0000 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
Null Hypothesis: D(INFLASI) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.722214 0.0000 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(ROA) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.634041 0.0000 Test critical values: 1% level -3.555023
Augmented Dickey-Fuller Test Equation Dependent Variable: D(ROA,2)
Method: Least Squares Date: 04/24/14 Time: 13:37
Sample (adjusted): 2009M03 2013M09 Included observations: 55 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(ROA(-1)) -1.229976 0.127670 -9.634041 0.0000 Null Hypothesis: D(NPF) has a unit root
Exogenous: Constant
Lag Length: 8 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.888336 0.0543 Test critical values: 1% level -3.577723
5% level -2.925169
10% level -2.600658
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(FDR) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.752918 0.0000 Test critical values: 1% level -3.557472
5% level -2.916566
10% level -2.596116
Augmented Dickey-Fuller test statistic -7.303436 0.0000 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
*MacKinnon (1996) one-sided p-values. Null Hypothesis: D(FDR) has a unit root Exogenous: Constant
Bandwidth: 54 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.* Phillips-Perron test statistic -14.48177 0.0000 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(KURS) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.042903 0.0025 Test critical values: 1% level -3.555023
5% level -2.915522
10% level -2.595565
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.937106 428.8998 197.3709 0.0000 At most 1 * 0.780240 279.5192 159.5297 0.0000 At most 2 * 0.688743 197.6973 125.6154 0.0000 At most 3 * 0.589863 134.6719 95.75366 0.0000 At most 4 * 0.481152 86.54358 69.81889 0.0013 At most 5 * 0.318750 51.11181 47.85613 0.0239 At most 6 * 0.265686 30.38522 29.79707 0.0427 At most 7* 0.204941 17.70903 15.49471 0.0913 At most 8 0.024233 1.324707 3.841466 0.2497
Trace test indicates 8 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 * 0.937106 149.3806 58.43354 0.0000 At most 1 * 0.780240 81.82186 52.36261 0.0000 At most 2 * 0.688743 63.02544 46.23142 0.0004 At most 3 * 0.589863 48.12830 40.07757 0.0051 At most 4 * 0.481152 35.43177 33.87687 0.0324 At most 5* 0.318750 29.72659 27.58434 0.0293 At most 6* 0.265686 23.67618 21.13162 0.0187
UJI Error Corection Model jangka Panjang
Dependent Variable: LNPEMBIAYAAN
Method: Least Squares
Date: 04/29/14 Time: 09:49
Sample: 2009M01 2013M09
Included observations: 57
Variable Coefficient Std. Error t-Statistic Prob.
C 9.080570 0.041039 3.382456 0.0014 LNINFLASI 0.421228 0.129750 3.246457 0.0021 LNBIRATE 0.034408 0.036988 2.930232 0.0035 LNKURS 0.007452 0.414619 1.843917 0.0614 LNCAR -0.049660 0.287165 -3.655253 0.0006 LNROA 0.087256 0.303238 3.272283 0.0296 LNNPF -0.276547 0.176290 -1.868707 0.0233 LNFDR -0.122071 0.413419 -2.295131 0.0492 LNBOPO -0.066965 1.218688 -2.190600 0.0334
R-squared 0.858546 Mean dependent var 11.33851
Adjusted R-squared 0.834971 S.D. dependent var 0.508724
S.E. of regression 0.206663 Akaike info criterion -0.171515
Sum squared resid 2.050061 Schwarz criterion 0.151072
Log likelihood 13.88818 Hannan-Quinn criter. -0.046147
F-statistic 36.41666 Durbin-Watson stat 1.185841
Date: 04/29/14 Time: 09:54
Sample (adjusted): 2009M02 2013M09
Included observations: 56 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.014209 0.020603 6.689649 0.0000 D(LNINFLASI) 0.028531 0.163593 2.132760 0.0022 D(LNBIRATE) 0.006682 0.023122 0.288992 0.0739 D(LNKURS) 0.007275 1.027090 1.525936 0.6339 D(LNCAR) -0.032447 0.216885 -2.455092 0.0001 D(LNROA) 0.038557 0.241614 0.768077 0.0464 D(LNNPF) -0.081977 0.114495 -2.715984 0.0276 D(LNFDR) -0.006997 0.299678 -2.233473 0.0164 D(LNBOPO) -0.027182 0.919175 -2.957320 0.0049 ECT(-1) -0.448856 0.121607 -3.691029 0.0006
R-squared 0.727582 Mean dependent var 0.028536
Adjusted R-squared 0.615587 S.D. dependent var 0.183952
S.E. of regression 0.152182 Akaike info criterion -0.767043
Sum squared resid 1.065334 Schwarz criterion -0.405373
Log likelihood 31.47721 Hannan-Quinn criter. -0.626825
F-statistic 3.817868 Durbin-Watson stat 1.571483