Data SBI dan PMDN, berdasarkan sumber olah BI.
Tahun
Suku Bunga Sertifikat Bank Indonesia (SBI),
satuan persen (%)
Penanaman Modal Dalam Negeri (PMDN), satuan milyar
2001.4 5.07 81819.7
2002.1 2.59 84741.8
2002.2 3.63 85048.3
2002.3 3.12 89858
2002.4 2.99 94318.9
2003.1 4.3 93222.4
2003.2 2.93 94317.3
2003.3 2.46 100650
2003.4 3.21 104599
2004.1 2.32 115823
2004.2 0.54 122937
2004.3 1.09 135625
2004.4 1.03 140996
2005.1 -1.36 146357
2005.2 0.45 159526
2005.3 0.9 168097
2005.4 -4.35 181874
2006.1 -5.17 186274
2006.2 -3 196502
2006.3 2.15 208067
2006.4 3.15 214943
2007.1 2.5 220499
2007.2 2.95 234278
2007.3 1.2 254265
2007.4 1.4 276584
2008.1 -0.24 291390
2008.2 -2.27 327660
2008.3 -2.39 369263
2008.4 -0.27 382321
2009.1 0.31 400706
Uji Stasioner
Variabel Invetasi PMDN ( I )
Null Hypothesis: PMDN has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=2)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.089281 0.9928 Test critical values: 1% level -4.273277
5% level -3.557759
10% level -3.212361
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PMDN)
Variabel SBI(ir)
Null Hypothesis: SBI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=2)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.428297 0.0659 Test critical values: 1% level -4.284580
5% level -3.562882
10% level -3.215267
*MacKinnon (1996) one-sided p-values.
Uji Derajat Integrasi
Variabel Investasi PMDN ( I )
Null Hypothesis: D(PMDN) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=2)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.369810 0.0082 Test critical values: 1% level -4.284580
5% level -3.562882
10% level -3.215267
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PMDN,2) Method: Least Squares
Variabel SBI
Null Hypothesis: D(SBI) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=2)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.489124 0.0064 Test critical values: 1% level -4.296729
5% level -3.568379
10% level -3.218382
Uji Johanse Cointegration
Trend assumption: Linear deterministic trend Series: DSBI DPMDN
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 * 0.438728 22.00928 15.49471 0.0045 At most 1 * 0.144521 4.682800 3.841466 0.0305
Granger Causalitas
Lags: 4
Null Hypothesis: Obs F-Statistic Prob.
Estimasi Vector Error Collection Model
Vector Error Correction Estimates Date: 06/27/12 Time: 09:03 Sample (adjusted): 2003Q3 2009Q4 Included observations: 26 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
DPMDN(-1) 1.000000
DSBI(-1) -73572.18
(25892.0) [-2.84150]
C -11448.75
Error Correction: D(DPMDN) D(DSBI)
CointEq1 -0.025445 2.47E-05
(0.03436) (8.7E-06) [-0.74046] [ 2.85681]
D(DPMDN(-1)) -0.762888 -4.45E-05
(0.26435) (6.7E-05) [-2.88595] [-0.66734]
D(DPMDN(-2)) -0.630065 -0.000126
(0.29939) (7.5E-05) [-2.10451] [-1.67624]
D(DPMDN(-3)) -0.422625 -5.17E-05
(0.32527) (8.2E-05) [-1.29929] [-0.63110]
D(DPMDN(-4)) 0.221447 1.32E-05
(0.29506) (7.4E-05) [ 0.75052] [ 0.17685]
D(DSBI(-1)) -2720.973 0.984221
(2050.25) (0.51669) [-1.32714] [ 1.90486]
D(DSBI(-2)) -2315.956 0.425672
(1759.20) (0.44334) [-1.31648] [ 0.96015]
D(DSBI(-3)) -2382.400 0.360435
D(DSBI(-4)) -1300.808 0.077733 (974.654) (0.24563) [-1.33464] [ 0.31647]
C 2325.188 -0.172448
(1731.25) (0.43630) [ 1.34307] [-0.39525]
R-squared 0.533473 0.648815
Adj. R-squared 0.286488 0.462894
Sum sq. resids 1.12E+09 71.08145
S.E. equation 8113.921 2.044813
F-statistic 2.159942 3.489726
Log likelihood -275.1020 -51.37920
Akaike AIC 21.11867 4.546607
Schwarz SC 21.59861 5.026547
Mean dependent 433.4259 -0.249259
S.D. dependent 9605.726 2.790124
Determinant resid covariance (dof adj.) 2.69E+08
Determinant resid covariance 1.07E+08
Log likelihood -326.1948
Akaike information criterion 25.79221
