BAB V ANALISIS DAN PEMBAHASAN PENELITIAN
B. Saran
1. Penelitian ini hanya mengguknakan dua indikator dari empat indikator sistem keuangan inklusif. Sehingga diharapkan bagi peneliti selanjutnya mampu menggunakan indikator yang lebih banyak lagi.
2. Peneliti selanjutnya juga diharapkan menggunakan metode analisis lainnya untuk memprediksi perkembangan sistem keuangan inklusif di Indonesia sehingga mampu memberikan referensi untuk kebijakan baik dari pemerintah, lembaga keuangan maupun masyarakat luas
DAFTAR PUSTAKA
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Null Hypothesis: JUMLAH_BPRS has a unit root Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic 4.691279 1.0000 Test critical values: 1% level -2.591505
5% level -1.944530 10% level -1.614341 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUMLAH_BPRS) Method: Least Squares
Date: 08/26/16 Time: 15:06
Sample (adjusted): 2009M02 2016M05 Included observations: 88 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. JUMLAH_BPRS(-1) 0.002405 0.000513 4.691279 0.0000 R-squared -0.021823 Mean dependent var 0.386364 Adjusted R-squared -0.021823 S.D. dependent var 0.733936 S.E. of regression 0.741901 Akaike info criterion 2.252098 Sum squared resid 47.88635 Schwarz criterion 2.280250 Log likelihood -98.09231 Hannan-Quinn criter. 2.263440 Durbin-Watson stat 1.904861
Null Hypothesis: JUMLAH_DPK has a unit root Exogenous: None
Lag Length: 6 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic 4.413896 1.0000 Test critical values: 1% level -2.593468
5% level -1.944811 10% level -1.614175 *MacKinnon (1996) one-sided p-values.
Method: Least Squares Date: 08/26/16 Time: 15:28
Sample (adjusted): 2009M08 2016M05 Included observations: 82 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. JUMLAH_DPK(-1) 0.015165 0.003436 4.413896 0.0000 D(JUMLAH_DPK(-1)) 0.199500 0.103796 1.922037 0.0584 D(JUMLAH_DPK(-2)) 0.031610 0.106342 0.297248 0.7671 D(JUMLAH_DPK(-3)) 0.135019 0.105202 1.283418 0.2033 D(JUMLAH_DPK(-4)) 0.161214 0.105569 1.527094 0.1309 D(JUMLAH_DPK(-5)) -0.031746 0.107918 -0.294168 0.7694 D(JUMLAH_DPK(-6)) -0.514662 0.114271 -4.503874 0.0000 R-squared 0.293213 Mean dependent var 47984.90 Adjusted R-squared 0.236670 S.D. dependent var 48438.89 S.E. of regression 42320.46 Akaike info criterion 24.22543 Sum squared resid 1.34E+11 Schwarz criterion 24.43088 Log likelihood -986.2426 Hannan-Quinn criter. 24.30792 Durbin-Watson stat 1.838720
Null Hypothesis: JUMLAH_PEMB_UMKM has a unit root Exogenous: None
Lag Length: 1 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic 4.365242 1.0000 Test critical values: 1% level -2.591813
5% level -1.944574 10% level -1.614315 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(JUMLAH_PEMB_UMKM) Method: Least Squares
Date: 08/26/16 Time: 15:47
Sample (adjusted): 2009M03 2016M05 Included observations: 87 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. JUMLAH_PEMB_UMKM(-1) 0.010053 0.002303 4.365242 0.0000 D(JUMLAH_PEMB_UMKM(-1)) 0.339061 0.105148 3.224602 0.0018 R-squared 0.048639 Mean dependent var 34361.30 Adjusted R-squared 0.037447 S.D. dependent var 35918.08 S.E. of regression 35239.15 Akaike info criterion 23.80042 Sum squared resid 1.06E+11 Schwarz criterion 23.85711
Lag Length: 2 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic 4.898979 1.0000 Test critical values: 1% level -2.592129
5% level -1.944619 10% level -1.614288 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUMLAH_REK_DPK) Method: Least Squares
Date: 08/26/16 Time: 16:01
Sample (adjusted): 2009M04 2016M05 Included observations: 86 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. JUMLAH_REK_DPK(-1) 0.014600 0.002980 4.898979 0.0000 D(JUMLAH_REK_DPK(-1)) -0.222947 0.110713 -2.013746 0.0473 D(JUMLAH_REK_DPK(-2)) -0.095550 0.110638 -0.863623 0.3903 R-squared 0.040418 Mean dependent var 9041.988 Adjusted R-squared 0.017295 S.D. dependent var 16947.80 S.E. of regression 16800.60 Akaike info criterion 22.33048 Sum squared resid 2.34E+10 Schwarz criterion 22.41609 Log likelihood -957.2106 Hannan-Quinn criter. 22.36493 Durbin-Watson stat 1.892383
Null Hypothesis: JUMLAH_REK_PEMBIAYAAN has a unit root Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic 3.079572 0.9994 Test critical values: 1% level -2.591505
5% level -1.944530 10% level -1.614341 *MacKinnon (1996) one-sided p-values.
Date: 08/26/16 Time: 16:11
Sample (adjusted): 2009M02 2016M05 Included observations: 88 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. JUMLAH_REK_PEMBIAYAAN(-1) 0.007297 0.002370 3.079572 0.0028 R-squared -0.021317 Mean dependent var 1548.455 Adjusted R-squared -0.021317 S.D. dependent var 4275.893 S.E. of regression 4321.228 Akaike info criterion 19.59177 Sum squared resid 1.62E+09 Schwarz criterion 19.61992 Log likelihood -861.0377 Hannan-Quinn criter. 19.60311 Durbin-Watson stat 1.852487
b. Uji ADF tingkat deferensi pertama
Null Hypothesis: D(JUMLAH_BPRS) has a unit root Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.216533 0.0000 Test critical values: 1% level -2.591813
5% level -1.944574 10% level -1.614315 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUMLAH_BPRS,2) Method: Least Squares
Date: 08/26/16 Time: 15:08
Sample (adjusted): 2009M03 2016M05 Included observations: 87 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(JUMLAH_BPRS(-1)) -0.762712 0.105690 -7.216533 0.0000 R-squared 0.377087 Mean dependent var 0.011494 Adjusted R-squared 0.377087 S.D. dependent var 1.028594 S.E. of regression 0.811817 Akaike info criterion 2.432343 Sum squared resid 56.67797 Schwarz criterion 2.460687 Log likelihood -104.8069 Hannan-Quinn criter. 2.443756 Durbin-Watson stat 2.070868
Augmented Dickey-Fuller test statistic 0.885321 0.8977 Test critical values: 1% level -2.595745
5% level -1.945139 10% level -1.613983 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUMLAH_DPK,2) Method: Least Squares
Date: 08/26/16 Time: 15:39
Sample (adjusted): 2010M02 2016M05 Included observations: 76 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(JUMLAH_DPK(-1)) 0.080452 0.090874 0.885321 0.3793 D(JUMLAH_DPK(-1),2) -0.943363 0.142501 -6.620033 0.0000 D(JUMLAH_DPK(-2),2) -0.839058 0.161496 -5.195531 0.0000 D(JUMLAH_DPK(-3),2) -0.727014 0.171739 -4.233254 0.0001 D(JUMLAH_DPK(-4),2) -0.634248 0.168944 -3.754183 0.0004 D(JUMLAH_DPK(-5),2) -0.578735 0.156322 -3.702196 0.0004 D(JUMLAH_DPK(-6),2) -0.925270 0.137218 -6.743079 0.0000 D(JUMLAH_DPK(-7),2) -0.861852 0.155849 -5.530034 0.0000 D(JUMLAH_DPK(-8),2) -0.764182 0.166050 -4.602116 0.0000 D(JUMLAH_DPK(-9),2) -0.684869 0.164642 -4.159739 0.0001 D(JUMLAH_DPK(-10),2) -0.727161 0.149636 -4.859537 0.0000 D(JUMLAH_DPK(-11),2) -0.600693 0.124853 -4.811189 0.0000 R-squared 0.693319 Mean dependent var -255.0658 Adjusted R-squared 0.640608 S.D. dependent var 61696.72 S.E. of regression 36986.76 Akaike info criterion 24.01845 Sum squared resid 8.76E+10 Schwarz criterion 24.38646 Log likelihood -900.7010 Hannan-Quinn criter. 24.16552 Durbin-Watson stat 1.896651
Null Hypothesis: D(JUMLAH_PEMB_UMKM) has a unit root Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.116855 0.0001 Test critical values: 1% level -2.591813
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(JUMLAH_PEMB_UMKM,2) Method: Least Squares
Date: 08/26/16 Time: 15:49
Sample (adjusted): 2009M03 2016M05 Included observations: 87 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(JUMLAH_PEMB_UMKM(-1)) -0.354470 0.086102 -4.116855 0.0001 R-squared 0.164094 Mean dependent var 1068.264 Adjusted R-squared 0.164094 S.D. dependent var 42396.48 S.E. of regression 38762.20 Akaike info criterion 23.97971 Sum squared resid 1.29E+11 Schwarz criterion 24.00805 Log likelihood -1042.117 Hannan-Quinn criter. 23.99112 Durbin-Watson stat 2.178682
Null Hypothesis: D(JUMLAH_REK_DPK) has a unit root Exogenous: None
Lag Length: 6 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.795520 0.3684 Test critical values: 1% level -2.593824
5% level -1.944862 10% level -1.614145 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUMLAH_REK_DPK,2) Method: Least Squares
Date: 08/26/16 Time: 16:06
Sample (adjusted): 2009M09 2016M05 Included observations: 81 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(JUMLAH_REK_DPK(-1)) -0.127022 0.159672 -0.795520 0.4289 D(JUMLAH_REK_DPK(-1),2) -1.170819 0.179575 -6.519940 0.0000 D(JUMLAH_REK_DPK(-2),2) -1.098809 0.186550 -5.890145 0.0000 D(JUMLAH_REK_DPK(-3),2) -0.897583 0.171193 -5.243106 0.0000 D(JUMLAH_REK_DPK(-4),2) -0.656381 0.142200 -4.615895 0.0000 D(JUMLAH_REK_DPK(-5),2) -0.480323 0.120982 -3.970193 0.0002 D(JUMLAH_REK_DPK(-6),2) -0.236834 0.084445 -2.804584 0.0064
Null Hypothesis: D(JUMLAH_REK_PEMBIAYAAN) has a unit root Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.781991 0.0000 Test critical values: 1% level -2.591813
5% level -1.944574 10% level -1.614315 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(JUMLAH_REK_PEMBIAYAAN,2) Method: Least Squares
Date: 08/26/16 Time: 16:12
Sample (adjusted): 2009M03 2016M05 Included observations: 87 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(JUMLAH_REK_PEMBIAYAAN(-1)) -0.835521 0.107366 -7.781991 0.0000 R-squared 0.413151 Mean dependent var 57.43678 Adjusted R-squared 0.413151 S.D. dependent var 5893.942 S.E. of regression 4515.118 Akaike info criterion 19.67968 Sum squared resid 1.75E+09 Schwarz criterion 19.70802 Log likelihood -855.0660 Hannan-Quinn criter. 19.69109 Durbin-Watson stat 2.013679
c. Uji ADF tingkat deferensi kedua
Null Hypothesis: D(JUMLAH_DPK,2) has a unit root Exogenous: None
Lag Length: 10 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.089652 0.0000 Test critical values: 1% level -2.595745
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUMLAH_DPK,3) Method: Least Squares
Date: 08/26/16 Time: 15:41
Sample (adjusted): 2010M02 2016M05 Included observations: 76 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(JUMLAH_DPK(-1),2) -8.635097 1.067425 -8.089652 0.0000 D(JUMLAH_DPK(-1),3) 6.775159 1.011162 6.700370 0.0000 D(JUMLAH_DPK(-2),3) 6.018726 0.927450 6.489539 0.0000 D(JUMLAH_DPK(-3),3) 5.372327 0.822663 6.530413 0.0000 D(JUMLAH_DPK(-4),3) 4.813712 0.715553 6.727261 0.0000 D(JUMLAH_DPK(-5),3) 4.304698 0.627585 6.859145 0.0000 D(JUMLAH_DPK(-6),3) 3.438771 0.564436 6.092399 0.0000 D(JUMLAH_DPK(-7),3) 2.634029 0.474911 5.546369 0.0000 D(JUMLAH_DPK(-8),3) 1.921680 0.363821 5.281932 0.0000 D(JUMLAH_DPK(-9),3) 1.280750 0.241778 5.297205 0.0000 D(JUMLAH_DPK(-10),3) 0.584950 0.123375 4.741243 0.0000 R-squared 0.884943 Mean dependent var -1019.513 Adjusted R-squared 0.867242 S.D. dependent var 101342.7 S.E. of regression 36925.19 Akaike info criterion 24.00430 Sum squared resid 8.86E+10 Schwarz criterion 24.34165 Log likelihood -901.1635 Hannan-Quinn criter. 24.13912 Durbin-Watson stat 1.883107
Null Hypothesis: D(JUMLAH_REK_DPK,2) has a unit root Exogenous: None
Lag Length: 5 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.578533 0.0000 Test critical values: 1% level -2.593824
5% level -1.944862 10% level -1.614145 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUMLAH_REK_DPK,3) Method: Least Squares
Date: 08/26/16 Time: 16:08
Sample (adjusted): 2009M09 2016M05 Included observations: 81 after adjustments
D(JUMLAH_REK_DPK(-5),3) 0.248683 0.082918 2.999153 0.0037 R-squared 0.902744 Mean dependent var -912.7778 Adjusted R-squared 0.896260 S.D. dependent var 41531.21 S.E. of regression 13376.66 Akaike info criterion 21.91160 Sum squared resid 1.34E+10 Schwarz criterion 22.08896 Log likelihood -881.4197 Hannan-Quinn criter. 21.98276 Durbin-Watson stat 2.241974
AR(1) 0.930132 0.142714 6.517457 0.0000 White Noise MA(1) -0.859802 0.218056 -3.943041 0.0002
C 0.401646 0.162947 2.464886 0.0158
AR(1) 0.913506 0.134120 6.811099 0.0000 Tidak White MA(2) 0.140802 0.152843 0.921221 0.3596
C 0.398829 0.161780 2.465256 0.0158
AR(1) 0.887650 0.129216 6.869518 0.0000 Tidak White MA(3) 0.124567 0.143961 0.865280 0.3894
C 0.401774 0.162578 2.471262 0.0155
AR(2) 0.116013 0.169814 0.683176 0.4964 Tidak White MA(1) -0.816690 0.241001 -3.388740 0.0011
C 0.398126 0.153481 2.593980 0.0112
AR(2) 0.838614 0.157564 5.322382 0.0000 Tidak White MA(2) -0.865350 5.484643 -0.157777 0.8750
Estimasi Parameter dan Uji White Noise Jumlah Rekening DPK
Variable Coefficient Std. Error t-Statistic Prob. Ljung-Box C 56.66323 128.2349 0.441870 0.6597
AR(1) -0.198245 0.102396 -1.936056 0.0563 Tidak White MA(1) -1.000000 1109.682 -0.000901 0.9993
C 76.72031 61.48642 1.247760 0.2157
AR(1) 0.452097 0.156197 2.894397 0.0049 Tidak White MA(2) 0.835818 3.872663 0.215825 0.8297
C 77.40891 61.12332 1.266438 0.2090
AR(1) 0.354129 0.405417 0.873495 0.3850 Tidak White MA(3) 0.082752 0.760010 0.108883 0.9136
C 57.58118 119.1664 0.483200 0.6302
AR(2) -0.090387 0.109598 -0.824709 0.4119 Tidak White MA(1) -1.000000 1082.041 -0.000924 0.9993
C 76.72201 40.73240 1.883562 0.0633
AR(2) 0.452174 0.732129 0.617614 0.5386 Tidak White MA(3) 0.835900 0.117068 7.140305 0.0000
C 86.72878 42.81707 2.025565 0.0462
AR(2) -0.901488 0.055157 -16.34392 0.0000 Tidak White MA(4) 0.355158 10.24749 0.034658 0.9724
C 71.60845 76.48927 0.936189 0.3520
AR(3) -0.345776 0.089545 -3.861501 0.0002 Tidak White MA(1) -1.000000 788.4594 -0.001268 0.9990
C 110.9855 101.7928 1.090308 0.2789
AR(3) -0.407585 0.077022 -5.291820 0.0000 White Noise MA(2) 0.851877 0.092143 9.245164 0.0000
C 88.76884 40.81027 2.175159 0.0326
AR(3) -0.340995 0.116375 -2.930149 0.0044 Tidak White MA(3) -0.468226 63.22795 -0.007405 0.9941
Estimasi Parameter dan Uji White Noise Jumlah Rekening Pembiayaan
Variable Coefficient Std. Error t-Statistic Prob. Ljung-Box C 1558.172 527.4142 2.954361 0.0041 AR(1) 0.487628 1.820408 0.267867 0.7895 MA(1) -0.417281 1.843182 -0.226392 0.8214 C 1566.639 574.5130 2.726899 0.0078 AR(1) 0.374298 1.734967 0.215738 0.8297 MA(2) 0.083201 0.222331 0.374223 0.7092 C 1579.250 829.3305 1.904247 0.0604 AR(1) 0.140640 0.892879 0.157513 0.8752 MA(3) 0.155694 0.204310 0.762047 0.4482 C 1563.994 552.2546 2.832017 0.0058 AR(2) 0.069195 0.303761 0.227796 0.8204 MA(1) -0.218137 2.552024 -0.085476 0.9321
MA(3) -0.004138 0.171594 -0.024116 0.9808 C 1571.992 851.8650 1.845354 0.0687 AR(2) -0.782046 0.361955 -2.160618 0.0337 MA(4) 0.259827 0.172871 1.503010 0.1368 C 1566.481 571.4251 2.741358 0.0075 AR(3) 0.058071 0.291025 0.199539 0.8423 MA(1) 0.081267 2.917854 0.027851 0.9778 C 1581.919 809.6910 1.953731 0.0542 AR(3) -0.003205 0.143078 -0.022401 0.9822 MA(2) 0.995535 1.316156 0.756396 0.4516 C 1582.455 828.0675 1.911021 0.0596 AR(3) -0.688707 0.493476 -1.395626 0.1667 MA(3) 0.880503 0.700988 1.256089 0.2127 C 1513.522 413.4850 3.660403 0.0004 AR(6) -0.679014 0.303303 -2.238733 0.0278 MA(6) 0.433617 0.324303 1.337074 0.1848
Estimasi Parameter dan Uji White Noise Jumlah DPK
Variable Coefficient Std. Error t-Statistic Prob. Ljung-Box C 449.7265 209.8213 2.143379 0.0350
AR(1) 0.214722 0.096653 2.221570 0.0290 Tidak White MA(1) -1.000000 327.4731 -0.003054 0.9976
C 451.5965 200.6382 2.250801 0.0271
AR(1) -0.099030 0.567310 -0.174560 0.8619 Tidak White MA(2) -0.326812 501.6453 -0.000651 0.9995
C 450.4477 201.0658 2.240299 0.0278
AR(1) -0.719393 0.990913 -0.725991 0.4699 Tidak White MA(3) -0.131050 0.899092 -0.145758 0.8845
C 182.4054 4693.626 0.038862 0.9691
AR(2) -0.892823 0.076764 -11.63069 0.0000 White Noise MA(2) 0.926753 0.054970 16.85937 0.0000
C 463.8060 177.6290 2.611095 0.0108
AR(2) -0.918491 0.075541 -12.15888 0.0000 Tidak White MA(3) -0.999995 340.4960 -0.002937 0.9977
C 362.8467 2328.774 0.155810 0.8766
AR(3) -0.293939 0.144325 -2.036648 0.0450 Tidak White MA(1) 0.019702 0.387408 0.050857 0.9596
C 40.32897 3353.714 0.012025 0.9904
AR(3) -0.378742 0.117855 -3.213619 0.0019 Tidak White MA(2) 0.999998 160.6898 0.006223 0.9951
C 448.9090 217.4178 2.064730 0.0422
AR(3) 0.183062 0.133548 1.370755 0.1743 Tidak White MA(3) -0.998667 587.4276 -0.001700 0.9986
Estimasi Parameter dan Uji White Noise Jumlah Pembiayaan UMKM
Variable Coefficient Std. Error t-Statistic Prob. Ljung-Box C 34275.66 5081.536 6.745136 0.0000
AR(1) 0.151004 0.359027 0.420593 0.6751 Tidak White MA(1) 0.154878 0.381965 0.405476 0.6862
C 34962.39 2455.006 14.24127 0.0000
AR(1) 0.936080 0.110972 8.435285 0.0000 Tidak White MA(2) -0.308350 772.4550 -0.000399 0.9997
C 35165.55 2073.230 16.96172 0.0000
AR(1) 0.914610 0.108303 8.444882 0.0000 Tidak White MA(3) -0.112663 24.73904 -0.004554 0.9964
C 34033.08 3275.488 10.39023 0.0000
AR(2) -0.331256 0.122279 -2.709019 0.0082 White Noise MA(1) -0.748857 0.306375 -2.444252 0.0166
MA(3) -0.088738 18.28463 -0.004853 0.9961
C 33989.80 3344.853 10.16182 0.0000
AR(3) -0.081582 0.145099 -0.562249 0.5755 Tidak White MA(1) -0.696226 0.360341 -1.932133 0.0568
C 33479.54 3106.908 10.77584 0.0000
AR(3) 0.144066 0.161641 0.891272 0.3754 Tidak White MA(2) 0.999349 6.106905 0.163642 0.8704
C 33457.92 3020.717 11.07615 0.0000
AR(3) -0.166321 0.909005 -0.182971 0.8553 Tidak White MA(3) 0.320445 1.457340 0.219884 0.8265
Data Pendukung Diluar Variabel
a. Hasil uji ADF tingkat 2 aset BPRS
Null Hypothesis: D(ASET_BPRS,2) has a unit root Exogenous: None
Lag Length: 10 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.669927 0.0000 Test critical values: 1% level -2.595745
5% level -1.945139 10% level -1.613983 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(ASET_BPRS,3) Method: Least Squares
Date: 10/10/16 Time: 08:13
Sample (adjusted): 2010M02 2016M05 Included observations: 76 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(ASET_BPRS(-1),2) -7.581013 1.136596 -6.669927 0.0000 D(ASET_BPRS(-1),3) 5.644172 1.088970 5.183039 0.0000 D(ASET_BPRS(-2),3) 4.961696 0.995830 4.982473 0.0000 D(ASET_BPRS(-3),3) 4.467445 0.880358 5.074578 0.0000 D(ASET_BPRS(-4),3) 4.126761 0.769628 5.362021 0.0000 D(ASET_BPRS(-5),3) 3.732974 0.691376 5.399342 0.0000 D(ASET_BPRS(-6),3) 3.025234 0.630096 4.801226 0.0000 D(ASET_BPRS(-7),3) 2.229742 0.547898 4.069626 0.0001 D(ASET_BPRS(-8),3) 1.604744 0.429550 3.735874 0.0004 D(ASET_BPRS(-9),3) 1.084709 0.282519 3.839418 0.0003 D(ASET_BPRS(-10),3) 0.601440 0.128281 4.688443 0.0000 R-squared 0.899719 Mean dependent var 210.1447 Adjusted R-squared 0.884291 S.D. dependent var 124092.7 S.E. of regression 42211.37 Akaike info criterion 24.27189 Sum squared resid 1.16E+11 Schwarz criterion 24.60924 Log likelihood -911.3320 Hannan-Quinn criter. 24.40671 Durbin-Watson stat 1.977710
****| . | ****| . | 1 -0.572 -0.572 29.473 0.000 . |*. | **| . | 2 0.131 -0.293 31.026 0.000 . | . | **| . | 3 -0.066 -0.222 31.421 0.000 . |*. | . | . | 4 0.113 -0.013 32.602 0.000 . | . | . |*. | 5 0.005 0.151 32.605 0.000 .*| . | .*| . | 6 -0.164 -0.088 35.171 0.000 . | . | **| . | 7 0.006 -0.278 35.175 0.000 . | . | **| . | 8 0.066 -0.223 35.597 0.000 . | . | .*| . | 9 -0.042 -0.189 35.772 0.000 . | . | . | . | 10 0.069 0.054 36.256 0.000 **| . | ***| . | 11 -0.300 -0.350 45.409 0.000 . |*** | . | . | 12 0.467 0.067 67.949 0.000 **| . | . |*. | 13 -0.237 0.111 73.805 0.000 . | . | . | . | 14 0.065 0.071 74.247 0.000 . | . | . | . | 15 -0.064 0.011 74.686 0.000 . |*. | . |*. | 16 0.161 0.154 77.520 0.000 .*| . | .*| . | 17 -0.134 -0.091 79.492 0.000 . | . | .*| . | 18 0.007 -0.073 79.498 0.000 . | . | . | . | 19 -0.002 0.055 79.498 0.000 . | . | .*| . | 20 -0.052 -0.115 79.809 0.000 . | . | .*| . | 21 0.028 -0.106 79.900 0.000 . | . | . | . | 22 0.024 -0.023 79.967 0.000 .*| . | . | . | 23 -0.102 0.060 81.235 0.000 . |*. | . | . | 24 0.135 -0.035 83.482 0.000 . | . | . | . | 25 -0.042 0.023 83.705 0.000 . | . | .*| . | 26 -0.009 -0.108 83.715 0.000 . | . | . | . | 27 0.029 -0.013 83.820 0.000 . | . | .*| . | 28 0.003 -0.167 83.822 0.000 . | . | . | . | 29 0.011 0.012 83.838 0.000 . | . | . | . | 30 -0.043 -0.008 84.094 0.000 . | . | . | . | 31 0.038 -0.027 84.295 0.000 . | . | . |*. | 32 -0.016 0.101 84.329 0.000 . | . | . |*. | 33 -0.018 0.144 84.377 0.000 . | . | . | . | 34 0.026 0.047 84.475 0.000 . | . | . | . | 35 -0.049 -0.010 84.830 0.000 . | . | . | . | 36 0.050 0.055 85.207 0.000
Variable Coefficient Std. Error t-Statistic Prob. Ljung-Box C 4897379. 3138292. 1.560523 0.1224
AR(1) 0.999417 0.007611 131.3056 0.0000 White Noise* MA(1) 0.440466 0.102799 4.284716 0.0000
C 4888144. 3124314. 1.564549 0.1214
AR(1) 0.999180 0.009755 102.4236 0.0000 White Noise MA(2) 0.440594 0.086166 5.113305 0.0000
C 4945870. 3175119. 1.557696 0.1231
AR(1) 0.999197 0.010064 99.28281 0.0000 White Noise MA(3) 0.539407 0.140634 3.835538 0.0002
C 4947523. 3140753. 1.575267 0.1190
AR(1) 0.998952 0.010011 99.79041 0.0000 White Noise MA(4) 0.474451 0.079977 5.932381 0.0000
C 4882175. 3083366. 1.583391 0.1172
AR(1) 0.998770 0.012130 82.33869 0.0000 White Noise MA(5) 0.327647 0.131559 2.490500 0.0148
C 4847038. 3026707. 1.601423 0.1132
AR(1) 0.998430 0.013015 76.71129 0.0000 Tidak White MA(6) 0.153998 0.132036 1.166333 0.2469
C 6151000. 1639087. 3.752700 0.0003
AR(2) -0.999897 0.000316 -3163.544 0.0000 Tidak White MA(1) -0.999796 2.870274 -0.348328 0.7285
C 6130432. 1732359. 3.538776 0.0007
AR(2) -0.999891 0.000351 -2849.685 0.0000 Tidak White MA(2) -0.025284 0.132807 -0.190384 0.8495