Analisis Permintaan Uang Giral di Indonesian Metode Vector Autoregression (VAR)

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esia/Perkembangan/

http://www.bps.go.id/

LAMPIRAN 1

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LAMPIRAN 2

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.456831 0.0102 Test critical values: 1% level -4.467895

5% level -3.644963

10% level -3.261452

Variable Coefficnt Std. Error t-Statistic Prob.

D(Y(-1)) -1.671807 0.375111 -4.456831 0.0003 D(Y(-1),2) 0.447621 0.247908 1.805590 0.0887

C -18.66320 9.983700 -1.869367 0.0789

@TREND(1988) 3.644977 0.948199 3.844106 0.0013

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Adjusted R-squared 0.562717 S.D. dependent var 27.49987 S.E. of regression 18.18494 Akaike info criterion 8.808708 Sum squared resid 5621.765 Schwarz criterion 9.007665 Log likelihood -88.49143 F-statistic 9.578989 Durbin-Watson stat 1.957484 Prob(F-statistic) 0.000623

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LAMPIRAN 3

Tabel 4.6.

Unit Root Test dan Derajat Integrasi dengan ADF Test pada X1

t-Statistic Prob.*

5% level -3.673616

10% level -3.277364

Variable Coefficient Std. Error t-Statistic Prob.

D(X1(-1)) -0.967415 0.250696 -3.858913 0.0014

C -246495.4 135316.2 -1.821625 0.0873

@TREND(1988) 46600.21 13985.05 3.332145 0.0042

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LAMPIRAN 4

Table 4.7

t-Statistic Prob.*

5% level -3.012363

10% level -2.646119

D(X2(-1)) -1.434375 0.290904 -4.930755 0.0001

D(X2(-1),2) 0.331420 0.191004 1.735147 0.0998

C -0.239051 0.796058 -0.300294 0.7674

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LAMPIRAN 5

Table 4.8

t-Statistic Prob.*

5% level -3.004861

10% level -2.642242

D(X3(-1)) -1.101967 0.222411 -4.954647 0.0001

C -0.553301 1.408635 -0.392792 0.6986

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LAMPIRAN 6

Tabel 4.9

Uji Kointegrasi Augmented Dickey-Fuller

C 8.458948 12.65374 0.668494 0.5119

X1 5.30E-05 2.23E-06 23.77497 0.0000

X2 0.855586 1.195286 0.715800 0.4828

X3 0.552747 0.749979 0.737017 0.4701

R-squared 0.982912 Mean dependent var 117.2596 Adjusted R-squared 0.980214 S.D. dependent var 119.7968 S.E. of regression 16.85111 Akaike info criterion 8.643481 Sum squared resid 5395.238 Schwarz criterion 8.840958

Log likelihood

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LAMPIRAN 7

Table 4.10

Unit Root Test dan Derajat Integrasi dengan ADF Test setelah uji kointegrasi

t-Statistic Prob.*

5% level -3.029970

10% level -2.655194

D(RESID01(-1))

-1.404387 0.202698 -6.928478 0.0000

C

-0.602039 4.476444 -0.134490 0.8946

R-squared 0.738477 Mean dependent var

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Adjusted R-squared 0.723093 S.D. dependent var 37.01464 S.E. of regression 19.47782 Akaike info criterion 8.875730 Sum squared resid 6449.553 Schwarz criterion 8.975145

Log likelihood

-82.31944 F-statistic 48.00381 Durbin-Watson stat 1.118098 Prob(F-statistic) 0.000002

LAMPIRAN 8

Tabel 4.11

Hasil estimasi Vector Autoregression

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D(X2(-1)) -2.009141 -9761.963 0.172169 0.680740

Log likelihood -90.23941 -296.7892 -57.07232 -68.36191

Akaike AIC 8.749038 27.52629 5.733848 6.760174

Schwarz SC 9.046595 27.82385 6.031405 7.057731

Mean dependent 18.29832 337588.4 -0.478636 -0.500000

S.D. dependent 23.71058 378220.3 4.092283 6.459530

Determinant resid covariance (dof adj.) 3.74E+15

Determinant resid covariance 1.05E+15

Log likelihood -505.2850

Akaike information criterion 48.48046

Schwarz criterion 49.86906

LAMPIRAN 9

Tabel 4.12

Impulse Response Function Y

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8 45.92196 40.80215 16.24172 28.80160 9 49.64461 44.06580 17.35627 31.75905 10 52.82236 47.24553 18.63266 34.32651

LAMPIRAN 10

Tabel 4.13

Impulse Response Function X1

Respon se of

X1:

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1 -15500.49 204401.5 0.000000 0.000000 2 145412.1 303029.5 -18611.31 166606.4 3 295236.1 414267.1 42736.19 269096.1 4 390575.7 536785.8 96176.25 349735.5 5 492139.0 634881.1 130083.6 432040.1 6 591652.1 720073.0 157849.7 509874.3 7 678136.4 802450.6 188839.8 579394.7 8 755033.7 878934.8 218672.6 641345.5 9 826530.0 947049.9 243522.8 698423.3 10 892538.3 1008708. 265684.8 751102.6

LAMPIRAN 11

Tabel 4.14

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LAMPIRAN 12

Response of X2:

Perio

d Y X1 X2 X3

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Tabel 4.15

Impulse Response Function X3

ResponsX3:

Period Y X1 X2 X3

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LAMPIRAN 13

Gambar 4.1

Impulse Response Function (IRF)

0

Response of Y to Cholesky One S.D. Innovations

-200000 One S.D. Innovations

-3 One S.D. Innovations

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LAMPIRAN 14

Tabel 4.16

Variance Decomposition dari Y

Variance Decomposition

Y

Period S.E. Y X1 X2 X3

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LAMPIRAN 15

Tabel 4.17

Variance Decomposition dari X1

Variance Decomposition X1

Period S.E. Y X1 X2 X3

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LAMPIRAN 16

Tabel 4.18

Variabel decomposition

of X2 Perio

d S.E. Y X1 X2 X3

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LAMPIRAN 17

Tabel 4.19

Variance Decomposition

of X3: Perio

d S.E. Y X1 X2 X3

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Gambar 4.2

Response of Y to Cholesky One S.D. Innovations

Response of X1 to Cholesky One S.D. Innovations

-3

Response of X2 to Cholesky One S.D. Innovations

-6

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