LAMPIRAN
Lampiran 1
Hasil Uji Stasioneritas BI rate pada tingkat Second Difference
Null Hypothesis: D(BI_RATE,2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=5)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.485869 0.0096
Test critical values: 1% level -4.467895
5% level -3.644963
10% level -3.261452
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(BI_RATE,3)
Method: Least Squares
Date: 07/09/14 Time: 09:30
Sample (adjusted): 2008Q4 2013Q4
Included observations: 21 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(BI_RATE(-1),2) -1.040431 0.231935 -4.485869 0.0003
C -0.002815 0.002554 -1.102267 0.2849
@TREND(2008Q1) 0.000212 0.000180 1.178382 0.2540
R-squared 0.527923 Mean dependent var -0.000414
Adjusted R-squared 0.475470 S.D. dependent var 0.006693
S.E. of regression 0.004847 Akaike info criterion -7.689213
Sum squared resid 0.000423 Schwarz criterion -7.539995
Log likelihood 83.73673 Hannan-Quinn criter. -7.656829
F-statistic 10.06470 Durbin-Watson stat 1.923929
Lampiran 2
Hasil Uji Stasioneritas SBI pada tingkat Second Difference
Null Hypothesis: D(SBI,2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=5)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -12.77804 0.0000
Test critical values: 1% level -4.467895
5% level -3.644963
10% level -3.261452
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SBI,3)
Method: Least Squares
Date: 07/09/14 Time: 09:36
Sample (adjusted): 2008Q4 2013Q4
Included observations: 21 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(SBI(-1),2) -1.796131 0.140564 -12.77804 0.0000
C 418.2020 1365.519 0.306259 0.7629
@TREND(2008Q1) -25.44550 95.21725 -0.267236 0.7923
R-squared 0.900743 Mean dependent var 83.47619
Adjusted R-squared 0.889715 S.D. dependent var 7956.137
S.E. of regression 2642.171 Akaike info criterion 18.72815
Sum squared resid 1.26E+08 Schwarz criterion 18.87737
Log likelihood -193.6456 Hannan-Quinn criter. 18.76054
F-statistic 81.67395 Durbin-Watson stat 2.364589
Lampiran 3
Hasil Uji Stasioneritas SUN pada tingkat Second Difference
Null Hypothesis: D(SUN) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=5)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.770420 0.0007
Test critical values: 1% level -4.467895
5% level -3.644963
10% level -3.261452
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SUN,2)
Method: Least Squares
Date: 07/09/14 Time: 12:27
Sample (adjusted): 2008Q4 2013Q4
Included observations: 21 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(SUN(-1)) -2.195285 0.380438 -5.770420 0.0000
D(SUN(-1),2) 0.438689 0.217446 2.017458 0.0597
C -724.9021 2803.821 -0.258541 0.7991
@TREND(2008Q1) 62.65138 195.6700 0.320189 0.7527
R-squared 0.809211 Mean dependent var 80.71429
Adjusted R-squared 0.775543 S.D. dependent var 11416.81
S.E. of regression 5408.933 Akaike info criterion 20.19913
Sum squared resid 4.97E+08 Schwarz criterion 20.39809
Log likelihood -208.0909 Hannan-Quinn criter. 20.24231
F-statistic 24.03459 Durbin-Watson stat 2.227968
Lampiran 4
Pengujian Lag Lenght
VAR Lag Order Selection Criteria
Endogenous variables: SBI SUN BI_RATE Exogenous variables: C
Date: 07/20/14 Time: 18:36 Sample: 2008Q1 2013Q4 Included observations: 21
Lag LogL LR FPE AIC SC HQ
0 -318.5458 NA 4.00e+09 30.62341 30.77263 30.65580 1 -299.6135 30.65244 1.58e+09 29.67747 30.27434 29.80701 2 -281.2641 24.46582* 6.90e+08* 28.78706* 29.83158* 29.01374* 3 -275.8662 5.654949 1.16e+09 29.13011 30.62229 29.45395
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
Hasil Uji Kointegrasi
Date: 08/04/14 Time: 03:36 Sample (adjusted): 2008Q4 2013Q4 Included observations: 21 after adjustments
Trend assumption: Linear deterministic trend (restricted) Series: BI_RATE SBI SUN
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.581369 36.69640 42.91525 0.1820 At most 1 0.464611 18.41034 25.87211 0.3170 At most 2 0.222693 5.290331 12.51798 0.5552
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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.581369 18.28606 25.82321 0.3557 At most 1 0.464611 13.12001 19.38704 0.3184 At most 2 0.222693 5.290331 12.51798 0.5552
Max-eigenvalue 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
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
BI_RATE SBI SUN @TREND(08Q2)
123.4707 0.001334 -0.000576 0.229979 -60.28552 0.000323 0.000514 0.036769 7.806705 -0.000310 -0.000223 0.138396
Unrestricted Adjustment Coefficients (alpha):
D(BI_RATE) 1.57E-05 0.001790 0.001020 D(SBI) -502.0705 -713.4690 528.3321 D(SUN) 2062.831 705.8012 762.1931
1 Cointegrating Equation(s): Log likelihood -282.6478
Normalized cointegrating coefficients (standard error in parentheses)
1.000000 1.08E-05 -4.66E-06 0.001863 (2.6E-06) (2.4E-06) (0.00035)
Adjustment coefficients (standard error in parentheses) D(BI_RATE) 0.001933
(0.11648) D(SBI) -61990.97 (54475.6) D(SUN) 254699.1 (88937.2)
2 Cointegrating Equation(s): Log likelihood -276.0878
Normalized cointegrating coefficients (standard error in parentheses)
BI_RATE SBI SUN @TREND(08Q2)
1.000000 0.000000 -7.25E-06 0.000210 (3.5E-06) (0.00061) 0.000000 1.000000 0.239329 153.0386 (0.33702) (59.5728)
Adjustment coefficients (standard error in parentheses) D(BI_RATE) -0.105967 5.99E-07
Hasil Uji Granger Causality
Date: 07/11/14 Time: 16:41
Sample: 2008Q1 2013Q4
Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
DSBI does not Granger Cause DBI_RATE 20 1.13102 0.3487
DBI_RATE does not Granger Cause DSBI 1.09031 0.3613
DSUN does not Granger Cause DBI_RATE 20 1.37295 0.2834
DBI_RATE does not Granger Cause DSUN 4.97981 0.0219
DSUN does not Granger Cause DSBI 20 0.22796 0.7989
Lampiran 7
Hasil Uji Estimasi VAR
Vector Autoregression Estimates Date: 08/04/14 Time: 03:41 Sample (adjusted): 2009Q1 2013Q4 Included observations: 20 after adjustments Standard errors in ( ) & t-statistics in [ ]
DBI_RATE DSBI DSUN
DBI_RATE(-1) 1.355534 -132901.7 -611831.9 (0.20420) (103867.) (156501.) [ 6.63837] [-1.27954] [-3.90945]
DBI_RATE(-2) -0.482550 127773.4 538707.7 (0.20790) (105749.) (159336.) Log likelihood 87.85441 -174.9363 -183.1353 Akaike AIC -8.085441 18.19363 19.01353 Schwarz SC -7.736935 18.54214 19.36204 Mean dependent 0.067000 -65.80000 1420.695 S.D. dependent 0.010511 1707.796 4284.723
Determinant resid covariance (dof adj.) 2.17E+08 Determinant resid covariance 59596820
Log likelihood -264.1674
