1. Uji Akar Unit Pertumbuhan Ekonomi Indonesia (Level) - Analisis Kausalitas antara FDI dan Pertumbuhan Ekonomi di ASEAN

LAMPIRAN

1. Uji Akar Unit Pertumbuhan Ekonomi Indonesia (Level)

Null Hypothesis: GDP has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.062024 0.0037 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

*MacKinnon (1996) one-sided p-values.

2. Uji Akar Unit Pertumbuhan Ekonomi Indonesia (1

st

different)

Null Hypothesis: D(GDP) has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.571646 0.0000 Test critical values: 1% level -3.670170

5% level -2.963972 10% level -2.621007

*MacKinnon (1996) one-sided p-values.

3. Uji Akar Unit FDI Indonesia (Level)

Null Hypothesis: FDI has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.988113 0.2902 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

4. Uji Akar Unit FDI Indonesia (1

st

different)

Null Hypothesis: D(FDI) has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.763840 0.0006 Test critical values: 1% level -3.670170

5% level -2.963972 10% level -2.621007

*MacKinnon (1996) one-sided p-values.

5. Uji Akar Unit Pertumbuhan Ekonomi Malaysia (Level)

Null Hypothesis: GDP has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.476055 0.0013 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

*MacKinnon (1996) one-sided p-values.

6. Uji Akar Unit Pertumbuhan Ekonomi Malaysia (1

st

different)

Null Hypothesis: D(GDP) has a unit root Exogenous: Constant

Lag Length: 1 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.776137 0.0000 Test critical values: 1% level -3.679322

5% level -2.967767 10% level -2.622989

7. Uji Akar Unit FDI Malaysia (Level)

Null Hypothesis: FDI has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.688404 0.0874 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

*MacKinnon (1996) one-sided p-values.

8. Uji Akar Unit FDI Malaysia (1

st

different)

Null Hypothesis: D(FDI) has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.983209 0.0000 Test critical values: 1% level -3.670170

5% level -2.963972 10% level -2.621007

*MacKinnon (1996) one-sided p-values.

9. Uji Akar Unit Pertumbuhan Ekonomi Filipina (Level)

Null Hypothesis: GDP has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.133739 0.0343 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

10. Uji Akar Unit Pertumbuhan Ekonomi Filipina (1

st

different)

Null Hypothesis: D(GDP) has a unit root Exogenous: Constant

Lag Length: 6 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.884310 0.0007 Test critical values: 1% level -3.737853

5% level -2.991878 10% level -2.635542

*MacKinnon (1996) one-sided p-values.

11. Uji Akar Unit FDI Filipina (Level)

Null Hypothesis: FDI has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.959805 0.0048 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

*MacKinnon (1996) one-sided p-values.

12. Uji Akar Unit FDI Filipina (1

st

different)

Null Hypothesis: D(FDI) has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -10.30817 0.0000 Test critical values: 1% level -3.670170

5% level -2.963972 10% level -2.621007

13. Uji Akar Unit Pertumbuhan Ekonomi Singapura (Level)

Null Hypothesis: GDP has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.973952 0.0003 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

*MacKinnon (1996) one-sided p-values.

14. Uji Akar Unit Pertumbuhan Ekonomi Singapura (1

st

different)

Null Hypothesis: D(GDP) has a unit root Exogenous: Constant

Lag Length: 1 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.673648 0.0000 Test critical values: 1% level -3.679322

5% level -2.967767 10% level -2.622989

*MacKinnon (1996) one-sided p-values.

15. Uji Akar Unit FDI Singapura (Level)

Null Hypothesis: FDI has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.309667 0.0230 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

16. Uji Akar Unit FDI Singapura (1

st

different)

Null Hypothesis: D(FDI) has a unit root Exogenous: Constant

Lag Length: 4 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.562109 0.0001 Test critical values: 1% level -3.711457

5% level -2.981038 10% level -2.629906

*MacKinnon (1996) one-sided p-values.

17. Uji Akar Unit Pertumbuhan Ekonomi Thailand (Level)

Null Hypothesis: GDP has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.236656 0.0272 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

*MacKinnon (1996) one-sided p-values.

18. Uji Akar Unit Pertumbuhan Ekonomi Thailand (1

st

different)

Null Hypothesis: D(GDP) has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.002510 0.0000 Test critical values: 1% level -3.670170

5% level -2.963972 10% level -2.621007

19. Uji Akar Unit FDI Thailand (Level)

Null Hypothesis: FDI has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.330494 0.1692 Test critical values: 1% level -3.661661

5% level -2.960411 10% level -2.619160

*MacKinnon (1996) one-sided p-values.

20. Uji Akar Unit FDI Thailand (1

st

different)

Null Hypothesis: D(FDI) has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.992423 0.0000 Test critical values: 1% level -3.670170

5% level -2.963972 10% level -2.621007

*MacKinnon (1996) one-sided p-values.

21.

Lag Lenght

Indonesia

VAR Lag Order Selection Criteria

Endogenous variables: FDI GDP

Exogenous variables: C

Date: 06/11/14 Time: 12:14

Sample: 1981 2012

Included observations: 29

Lag LogL LR FPE AIC SC HQ

0 -127.1278 NA 25.27122 8.905366 8.999662 8.934898

1 -109.6282 31.37865* 9.975061 7.974357 8.257245* 8.062954*

2 -105.3268 7.119535 9.823480* 7.953571* 8.425053 8.101233

22.

Lag Lenght

Malaysia

VAR Lag Order Selection Criteria

Endogenous variables: FDI GDP

Exogenous variables: C

Date: 06/11/14 Time: 12:13

Sample: 1981 2012

Included observations: 29

Lag LogL LR FPE AIC SC HQ

0 -137.1784 NA 50.54225 9.598509 9.692805 9.628041

1 -129.6755 13.45335* 39.75223* 9.356934* 9.639823* 9.445532*

2 -125.9118 6.229591 40.62706 9.373230 9.844712 9.520892

3 -122.1190 5.754723 41.72897 9.387514 10.04759 9.594241

* indicates lag order selected by the criterion

23.

Lag Lenght

Filipina

VAR Lag Order Selection Criteria

Endogenous variables: FDI GDP

Exogenous variables: C

Date: 06/11/14 Time: 12:15

Sample: 1981 2012

Included observations: 29

Lag LogL LR FPE AIC SC HQ

0 -111.7254 NA 8.735814 7.843131 7.937427* 7.872663

1 -106.4044 9.541130* 7.986540* 7.752026* 8.034915 7.840623*

2 -103.7036 4.470316 8.783097 7.841625 8.313106 7.989287

3 -102.7924 1.382430 11.00479 8.054649 8.714723 8.261376

24.

Lag Lenght

Singapura

VAR Lag Order Selection Criteria

Endogenous variables: FDI GDP

Exogenous variables: C

Date: 06/11/14 Time: 12:13

Sample: 1981 2012

Included observations: 29

Lag LogL LR FPE AIC SC HQ

0 -175.0098 NA* 686.6809 12.20757 12.30187* 12.23710*

1 -170.3299 8.391487 656.1656 12.16068 12.44357 12.24928

2 -165.9335 7.276842 641.9729* 12.13334* 12.60482 12.28100

3 -163.0479 4.378038 701.9653 12.21020 12.87028 12.41693

* indicates lag order selected by the criterion

25.

Lag Lenght

Thailand

VAR Lag Order Selection Criteria

Endogenous variables: FDI GDP

Exogenous variables: C

Date: 06/11/14 Time: 12:15

Sample: 1981 2012

Included observations: 29

Lag LogL LR FPE AIC SC HQ

0 -134.4252 NA 41.80161 9.408634 9.502931 9.438167

1 -122.3811 21.59625* 24.03721* 8.853871* 9.136760* 8.942469*

2 -121.0502 2.202971 29.05374 9.037943 9.509424 9.185605

3 -119.4036 2.498320 34.60253 9.200245 9.860319 9.406972

26. Kointegrasi Indonesia

Date: 06/11/14 Time: 12:20 Sample (adjusted): 1983 2012

Included observations: 30 after adjustments Trend assumption: Linear deterministic trend Series: FDI GDP

Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.545302 31.76631 15.49471 0.0001 At most 1 * 0.237197 8.122671 3.841466 0.0044

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

27. Uji Koitegrasi Malaysia

Date: 06/11/14 Time: 12:17 Sample (adjusted): 1983 2012

Included observations: 30 after adjustments Trend assumption: Linear deterministic trend Series: FDI GDP

Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.510722 28.32663 15.49471 0.0004 At most 1 * 0.204986 6.881876 3.841466 0.0087

28. Uji Kointegrasi Filipina

Date: 06/11/14 Time: 12:23 Sample (adjusted): 1983 2012

Included observations: 30 after adjustments Trend assumption: Linear deterministic trend Series: FDI GDP

Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.363499 19.79562 15.49471 0.0105 At most 1 * 0.187862 6.242533 3.841466 0.0125

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

29. Uji Kointegrasi Singapura

Date: 06/11/14 Time: 12:19 Sample (adjusted): 1983 2012

Included observations: 30 after adjustments Trend assumption: Linear deterministic trend Series: FDI GDP

Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.551003 26.53581 15.49471 0.0007 At most 1 0.080374 2.513647 3.841466 0.1129

30. Uji Kointegrasi Thailand

Date: 06/11/14 Time: 12:16 Sample (adjusted): 1983 2012

Included observations: 30 after adjustments Trend assumption: Linear deterministic trend Series: GDP FDI

Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.200208 11.85663 15.49471 0.1639 At most 1 0.157867 5.154516 3.841466 0.0232

Trace test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

31. Uji VAR Thailand

Vector Autoregression Estimates Date: 06/11/14 Time: 12:17 Sample (adjusted): 1982 2012

S.D. dependent 4.587729 1.534828

Determinant resid covariance (dof adj.) 17.89672 Determinant resid covariance 14.60045

Log likelihood -129.5305

Akaike information criterion 8.743903 Schwarz criterion 9.021449

32. Uji VECM Indonesia

Vector Error Correction Estimates Date: 06/11/14 Time: 12:22 Sample (adjusted): 1984 2012

Included observations: 29 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

FDI(-1) 1.000000

GDP(-1) -0.611778 (0.16075) [-3.80566]

C -2.532696

Error Correction: D(FDI) D(GDP)

CointEq1 -0.322680 0.387969 (0.14457) (0.74336) [-2.23207] [ 0.52191]

D(FDI(-1)) -0.013665 -0.442623 (0.17744) (0.91238) [-0.07701] [-0.48513]

D(FDI(-2)) -0.226294 -1.135331 (0.17700) (0.91012) [-1.27853] [-1.24745]

D(GDP(-1)) -0.103213 -0.199575 (0.07176) (0.36899) [-1.43832] [-0.54087]

D(GDP(-2)) 0.010833 -0.156246 (0.05098) (0.26212) [ 0.21251] [-0.59608]

(0.15785) (0.81166) Log likelihood -32.82591 -80.31201 Akaike AIC 2.677649 5.952553 Schwarz SC 2.960538 6.235441 Mean dependent 0.065250 -0.076670 S.D. dependent 0.957847 4.552153

Determinant resid covariance (dof adj.) 8.862712 Determinant resid covariance 5.574762

Log likelihood -107.2131

Akaike information criterion 8.359521 Schwarz criterion 9.019595

33. Uji VECM Malaysia

Vector Error Correction Estimates Date: 06/11/14 Time: 12:18 Sample (adjusted): 1983 2012

Included observations: 30 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

GDP(-1) 1.000000

FDI(-1) -1.236988 (0.25711) [-4.81115]

C -0.950166

Error Correction: D(GDP) D(FDI)

[-0.93468] [ 0.29840] Log likelihood -84.93981 -58.70689 Akaike AIC 5.929321 4.180459 Schwarz SC 6.116147 4.367286 Mean dependent -0.010037 -0.064311 S.D. dependent 5.138929 1.827507

Determinant resid covariance (dof adj.) 31.93132 Determinant resid covariance 23.98397

Log likelihood -132.7971

Akaike information criterion 9.519806 Schwarz criterion 9.986872

34. Uji VECM Filipina

Vector Error Correction Estimates Date: 06/11/14 Time: 12:23 Sample (adjusted): 1983 2012

Included observations: 30 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

FDI(-1) 1.000000

GDP(-1) -0.408433 (0.09187) [-4.44577]

C -0.023290

Error Correction: D(FDI) D(GDP)

CointEq1 -0.082570 1.923438 (0.15208) (0.53991) [-0.54293] [ 3.56255]

D(GDP(-1)) 0.012857 0.299863 Log likelihood -36.37974 -74.38886 Akaike AIC 2.691983 5.225924 Schwarz SC 2.878809 5.412750 Mean dependent 0.035830 0.106507 S.D. dependent 1.031316 3.659841

Determinant resid covariance (dof adj.) 6.903652 Determinant resid covariance 5.185410

Log likelihood -109.8240

Akaike information criterion 7.988270 Schwarz criterion 8.455335

35. Uji VECM Singapura

Vector Error Correction Estimates Date: 06/11/14 Time: 12:20 Sample (adjusted): 1984 2012

Included observations: 29 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

FDI(-1) 1.000000

GDP(-1) 3.078033 (1.10322) [ 2.79003]

C -33.82770

Error Correction: D(FDI) D(GDP)

D(FDI(-1)) -0.267254 0.281824 (0.21605) (0.16008) [-1.23703] [ 1.76048]

D(FDI(-2)) -0.349561 -0.122410 (0.21764) (0.16127) [-1.60611] [-0.75904]

D(GDP(-1)) 0.710437 -0.028052 Log likelihood -87.19123 -78.49718 Akaike AIC 6.426981 5.827392 Schwarz SC 6.709870 6.110281 Mean dependent 0.488439 -0.249955 S.D. dependent 6.510985 5.940612

Determinant resid covariance (dof adj.) 446.0051 Determinant resid covariance 280.5430

Log likelihood -164.0310

Akaike information criterion 12.27800 Schwarz criterion 12.93807

36.

Granger Causality

Indonesia

Pairwise Granger Causality Tests

Date: 06/13/14 Time: 03:52

Sample: 1981 2012

Lags: 2

Null Hypothesis:

Obs

F-Statistic

Probability

37.

Granger Causality

Malaysia

Pairwise Granger Causality Tests

Date: 06/13/14 Time: 03:53

Sample: 1981 2012

Lags: 1

Null Hypothesis:

Obs

F-Statistic

Probability

GDP does not Granger Cause FDI

31

0.11736

0.73447

FDI does not Granger Cause GDP

0.52972

0.47277

38.

Granger Causality

Filipina

Pairwise Granger Causality Tests

Date: 06/13/14 Time: 03:54

Sample: 1981 2012

Lags: 1

Null Hypothesis:

Obs

F-Statistic

Probability

GDP does not Granger Cause FDI

31

1.47645

0.23448

FDI does not Granger Cause GDP

1.98296

0.17009

39.

Granger Causality

Singapura

Pairwise Granger Causality Tests

Date: 06/13/14 Time: 03:54

Sample: 1981 2012

Lags: 2

Null Hypothesis:

Obs

F-Statistic

Probability

GDP does not Granger Cause FDI

30

1.47146

0.24880

FDI does not Granger Cause GDP

2.84004

0.07736

40.

Granger Causality

Thailand

Pairwise Granger Causality Tests

Date: 06/13/14 Time: 03:55

Sample: 1981 2012

Lags: 1

Null Hypothesis:

Obs

F-Statistic

Probability