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132
133 Lampiran 1. Summary Johansen Test
Series: LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) Exogenous series: LOG(ERM) LOG(ERI)
Warning: Rank Test critical values derived assuming no exogenous series Lags interval: 1 to 2
Data Trend:
None None Linear Linear Quadratic Rank or No
Intercept
Intercept Intercept Intercept Intercept No. of CEs No Trend No Trend No Trend Trend Trend
Selected (5% level) Number of Cointegrating Relations by Model (columns) Trace 2 2 1 2 2 Max-Eig 1 2 1 2 2
Log Likelihood by Rank (rows) and Model (columns) 0 741.2087
741.2087 748.9662 748.9662 749.3963 1
764.3555
772.0706
779.3720
779.3722
779.7563 2 772.5832
785.5819 788.0431 793.1918 793.3954 3 776.2033
790.3752 792.7140 800.8059 800.8158 4 778.7208
792.9177 792.9177 801.4922 801.4922
Akaike Information Criteria by Rank (rows) and Model (columns) 0 -13.63863 -13.63863 -13.71089 -13.71089 -13.64224 1 -13.92991 -14.05905 -14.14177 -14.12254 -14.07224 2 -13.93429 -14.14581 -14.15468 -14.21523* -14.18068 3 -13.85006 -14.06491 -14.09065 -14.18858 -14.16953 4 -13.74463 -13.94072 -13.94072 -14.02870 -14.02870
Schwarz Criteria by Rank (rows) and Model (columns)
0 -12.82497 -12.82497 -12.79552 -12.79552 -12.62516 1 -12.91284 -13.01655 -13.02299* -12.97833 -12.85175 2 -12.71381 -12.87446 -12.83248 -12.84218 -12.75678 3 -12.42616 -12.56472 -12.56504 -12.58668 -12.54222 4 -12.11731 -12.21170 -12.21170 -12.19796 -12.19796
134 Lampiran 2 . Johansen Test
Series: LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) Exogenous series: LOG(ERM) LOG(ERI)
Warning: Critical values assume no exogenous series Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test
Hypothesized Trace 5 Percent 1 Percent No. of CE(s) Eigenvalue Statistic Critical
Value Critical Value None ** 0.442743 87.90307 47.21 54.46 At most 1 0.153590 27.09134 29.68 35.65 At most 2 0.085909 9.749163 15.41 20.04 At most 3 0.003909 0.407368 3.76 6.65 Keterangan: *(**) denotes rejection of the hypothesis at the 5%(1%) level
Trace test indicates 1 cointegrating equation(s) at both 5% and 1% levels Hypothesized Max-Eigen 5 Percent 1 Percent
No. of CE(s) Eigenvalue Statistic Critical Value Critical Value None ** 0.442743 60.81172 27.07 32.24 At most 1 0.153590 17.34218 20.97 25.52 At most 2 0.085909 9.341795 14.07 18.63 At most 3 0.003909 0.407368 3.76 6.65 Keterangan: *(**) denotes rejection of the hypothesis at the 5%(1%) level
Max-eigenvalue test indicates 1 cointegrating equation(s) at both 5% and 1% levels
135 Lampiran 3. Analisis VECM
Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1
LOG(ROT(-1)) 1.000000
LOG(MAL(-1)) -0.470431
(0.07295) [-6.44847]***
LOG(IND(-1)) -0.322001
(0.06861)
[-4.69293]***
LOG(KED(-1)) 0.024471
(0.05236)
[ 0.46740]
C -0.190225
Error Correction: D(LOG(ROT)) D(LOG(MAL)) D(LOG(IND)) D(LOG(KED)) CointEq1 -1.109477 -0.760734 -0.565715 -0.581993
(0.18496) (0.20811) (0.24709) (0.17636) [-5.99832]*** [-3.65545]*** [-2.28955]** [-3.30007]***
D(LOG(ROT(-1)))
1.200721 1.456611 0.866946 0.771990
(0.24248) (0.27282) (0.32392) (0.23120) [ 4.95180]*** [ 5.33903]*** [ 2.67642]*** [ 3.33909]***
D(LOG(ROT(-2)))
0.628976 0.666526 0.388945 0.284995
(0.28763) (0.32362) (0.38423) (0.27425) [ 2.18674]** [ 2.05957]** [ 1.01226] [ 1.03919]
D(LOG(MAL(-1))) -1.126856 -1.430649 -1.077897 -0.858081
(0.23848) (0.26832) (0.31857) (0.22738) [-4.72515]*** [-5.33185]*** [-3.38351]*** [-3.77373]***
D(LOG(MAL(-2))) -0.564704 -0.633973 -0.341484 -0.117517
(0.24795) (0.27898) (0.33122) (0.23641) [-2.27749]** [-2.27250] [-1.03097] [-0.49709]
D(LOG(IND(-1))) 0.116101 0.292779 0.188397 0.160325
(0.15039) (0.16921) (0.20089) (0.14339) [ 0.77201] [ 1.73032]* [ 0.93779] [ 1.11811]
D(LOG(IND(-2))) -0.049170 -0.012438 -0.165939 -0.076768
(0.14526) (0.16343) (0.19404) (0.13850)
136 Lampiran 3. Lanjutan
[-0.55428] D(LOG(KED(-1)))
0.227498 0.288512 0.300308 0.289597
(0.14710) (0.16551) (0.19651) (0.14026) [ 1.54651] [ 1.74316]* [ 1.52822] [ 2.06473]**
D(LOG(KED(-2)))
0.072466 0.088295 0.292799 -0.023202
(0.14950) (0.16821) (0.19971) (0.14254) [ 0.48472] [ 0.52492] [ 1.46612] [-0.16277]
C 2.676728 1.228372 -0.948863 2.490763
(1.04176) (1.17211) (1.39164) (0.99328) [ 2.56943]* [ 1.04800] [-0.68183] [ 2.50761]***
LOG(ERM) -1.898622 -1.241689 -0.891741 -1.034606
(0.34465)
(0.38778)
(0.46041)
(0.32862)
[-5.50878]* [-3.20204]* [-1.93686]* [-3.14838]***
LOG(ERI) -0.022071 0.042451 0.231605 -0.124785
(0.09334) (0.10502) (0.12469) (0.08900) [-0.23645] [ 0.40421] [ 1.85745]* [-1.40211] R-squared 0.485909 0.482118 0.215874 0.346776 Adj. R-squared 0.424441 0.420197 0.122120 0.268673 Sum sq. resids 0.317223 0.401578 0.566084 0.288387 S.E. equation 0.058720 0.066068 0.078442 0.055988 F-statistic 7.905137 7.786059 2.302551 4.439992 Log likelihood 153.6425 141.3811 123.5274 158.5982 Akaike AIC -2.723894 -2.488098 -2.144758 -2.819197 Schwarz SC -2.418772 -2.182976 -1.839636 -2.514075 Mean dependent 0.003613 0.002952 0.007603 0.005656 S.D. dependent 0.077401 0.086766 0.083720 0.065469 Determinant Residual Covariance 5.94E-12
Log Likelihood 779.3720 Log Likelihood (d.f. adjusted) 753.8707 Akaike Information Criteria -13.49751 Schwarz Criteria -12.17532
Keterangan: (*** ) nyata pada 1% = 2.32 (**) nyata pada 5% = 1.96
(*) nyata pada 10% = 1.64
137 Lampiran 4. Analisis Impulse Response
Response of LOG(ROT):
Bulan LOG(ROT) LOG(MAL) LOG(IND) LOG(KED)
1 0.058720 0.000000 0.000000
0.000000 2 0.067191 -0.009453 0.018529
0.008139 3 0.050050 -0.004005 0.029038
0.011839 4 0.036220 0.018926 0.032767
0.013171 5 0.038692 0.028811 0.036137
0.014368 6 0.043850 0.027300 0.037820
0.016430 7 0.045724 0.023481 0.037101
0.018471 8 0.045641 0.022214 0.036184
0.019133 9 0.045390 0.022541 0.036118
0.018736 10 0.045168 0.023071 0.036455
0.018347 Response of LOG(MAL):
Bulan LOG(ROT) LOG(MAL) LOG(IND) LOG(KED)
1 0.060137 0.027360 0.000000
0.000000 2 0.082967 0.006025 0.021228
0.010964 3 0.065767 0.006321 0.032244
0.016973 4 0.049252 0.029244 0.034706
0.018906 5 0.050800 0.041856 0.038307
0.019476 6 0.056381 0.041167 0.040789
0.021053 7 0.058331 0.037278 0.040347
0.023290 8 0.058200 0.035873 0.039322
0.024254 9 0.058015 0.036180 0.039161
0.023929 10 0.057890 0.036661 0.039486
0.023502 Response of LOG(IND):
Bulan LOG(ROT) LOG(MAL) LOG(IND) LOG(KED)
1 0.067226 0.015454 0.037349
0.000000 2 0.071974 -0.001341 0.052403
0.011637 3 0.057455 0.001666 0.052174
0.024037 4 0.052318 0.016504 0.053585
0.025565 5 0.056126 0.022009 0.056902
0.024352 6 0.058656 0.020504 0.058445
0.025535 7 0.058613 0.018891 0.058164
0.027146 8 0.058258 0.019047 0.057757
0.027543 9 0.058382 0.019467 0.057827
0.027296 10 0.058482 0.019549 0.058034
0.027169 Response of LOG(KED):
Bulan LOG(ROT) LOG(MAL) LOG(IND) LOG(KED)
1 0.038278 -0.001088 0.004239
0.040623 2 0.048214 -0.012000 0.018394
0.051809 3 0.038832 -0.004150 0.022616
0.052555 4 0.033542 0.008347 0.025149
0.053850 5 0.034881 0.013448 0.028610
0.054754
138 Lampiran 4. Lanjutan 6 0.036387 0.013654 0.029975
0.056015 7 0.037011 0.012722 0.029671
0.057345 8 0.037360 0.012242 0.029332
0.057823 9 0.037504 0.012159 0.029328
0.057717 10 0.037415 0.012256 0.029445
0.057594 Cholesky Ordering: LOG(ROT) LOG(MAL) LOG(IND)
LOG(KED)
Lampiran 5. Analisis Variance Decomposition
Variance Decomposition of LOG(ROT):
Period S.E. LOG(ROT)LOG(MAL)LOG(IND) LOG(KED)
1 0.058720 100.0000 0.000000 0.000000 0.000000 2 0.091987 94.10377 1.056146 4.057253 0.782835 3 0.109389 87.47824 0.880874 9.915901 1.724990 4 0.121997 79.14619 3.114985 15.18644 2.552381 5 0.136831 70.91172 6.909648 19.04712 3.131508 6 0.151957 65.82364 8.830123 21.63813 3.708107 7 0.165683 62.98573 9.436187 23.21606 4.362030 8 0.178052 61.10894 9.727111 24.23220 4.931749 9 0.189543 59.65899 9.997752 25.01426 5.329004 10 0.200411 58.44357 10.26806 25.68361 5.604757 11 0.210747 57.40306 10.51751 26.25624 5.823182 12 0.220619 56.52092 10.73640 26.73259 6.010088 13 0.230084 55.78366 10.91958 27.12573 6.171019 14 0.239182 55.16670 11.06882 27.45517 6.309301 15 0.247943 54.64124 11.19255 27.73741 6.428792 16 0.256401 54.18431 11.29957 27.98346 6.532659 17 0.264587 53.78139 11.39481 28.20031 6.623481 18 0.272528 53.42353 11.48013 28.39273 6.703607 19 0.280245 53.10419 11.55644 28.56435 6.775018 20
0.287755
52.81786
11.62477
28.71819
6.839169
Variance Decomposition of LOG(MAL):
Period S.E. LOG(ROT)LOG(MAL)LOG(IND) LOG(KED)
1 0.066068 82.85082 17.14918 0.000000 0.000000 2 0.108883 88.56486 6.620194 3.800982 1.013968 3 0.132471 84.48072 4.700202 8.492420 2.326662 4 0.149638 77.04217 7.502968 12.03507 3.419799 5 0.169029 69.41195 12.01209 14.56822 4.007746 6 0.188550 64.72438 14.42051 16.38758 4.467537 7 0.206188 62.12779 15.32760 17.53283 5.011776
139 Lampiran 5. Lanjutan 8 0.222086 60.41902 15.82079 18.24755 5.512642 9 0.236861 59.11566 16.24183 18.77557 5.866941 10 0.250818 58.04649 16.62089 19.22245 6.110169 11 0.264066 57.14200 16.95162 19.60568 6.300695 12 0.276696 56.37529 17.23721 19.92484 6.462660 13 0.288791 55.73283 17.47803 20.18795 6.601186 14 0.300409 55.19562 17.67673 20.40802 6.719626 15 0.311593 54.73968 17.84241 20.59609 6.821825 16 0.322383 54.34459 17.98524 20.75951 6.910659 17 0.332822 53.99705 18.11155 20.90314 6.988259 18 0.342944 53.68889 18.22417 21.03036 7.056582 19 0.352777 53.41424 18.32469 21.14372 7.117349 20 0.362343 53.16828 18.41464 21.24523 7.171856
Variance Decomposition of LOG(IND):
Period S.E. LOG(ROT)LOG(MAL)LOG(IND) LOG(KED)
1 0.078442 73.44798 3.881429 22.67059 0.000000 2 0.119233 68.22669 1.692567 29.12816 0.952576 3 0.144293 62.44170 1.169054 32.96369 3.425556 4 0.165393 57.53205 1.885553 35.58600 4.996401 5 0.186602 54.24417 2.872372 37.25524 5.628220 6 0.206759 52.23161 3.323050 38.33574 6.109598 7 0.225081 50.85539 3.508456 39.02623 6.609926 8 0.241894 49.83201 3.657727 39.49080 7.019470 9 0.257661 49.05401 3.794602 39.84246 7.308928 10 0.272576 48.43586 3.905067 40.13464 7.524426 11 0.286720 47.92249 3.994669 40.38097 7.701862 12 0.300194 47.49092 4.071990 40.58518 7.851909 13 0.313095 47.12933 4.138475 40.75413 7.978061 14 0.325493 46.82446 4.194137 40.89629 8.085116 15 0.337437 46.56311 4.241018 41.01832 8.177549 16 0.348969 46.33556 4.281655 41.12462 8.258161 17 0.360132 46.13541 4.317590 41.21816 8.328848 18 0.370960 45.95809 4.349556 41.30106 8.391289 19 0.381480 45.80002 4.378066 41.37499 8.446929 20 0.391719 45.65826 4.403616 41.44126 8.496864
Variance Decomposition of LOG(KED):
Period S.E. LOG(ROT)LOG(MAL)LOG(IND) LOG(KED)
1 0.055988 46.74284 0.037787 0.573300 52.64607 2 0.092875 43.93575 1.683256 4.130661 50.25033 3 0.115864 39.46342 1.209830 6.464335 52.86241 4 0.134727 35.38443 1.278575 8.265158 55.07184
140 Lampiran 5. Lanjutan 5 0.152858 32.69567 1.767287 9.923862 55.61319 6 0.170036 31.00271 2.073066 11.12764 55.79658 7 0.186045 29.85439 2.199232 11.83850 56.10789 8 0.200903 29.05976 2.257279 12.28371 56.39925 9 0.214728 28.48895 2.296634 12.61848 56.59593 10 0.227688 28.03814 2.332366 12.89515 56.73434 11 0.239943 27.65956 2.368149 13.12708 56.84521 12 0.251610 27.34051 2.402566 13.32050 56.93643 13 0.262771 27.07454 2.432487 13.48160 57.01138 14 0.273484 26.85192 2.456753 13.61674 57.07458 15 0.283796 26.66241 2.476474 13.73170 57.12942 16 0.293744 26.49827 2.493257 13.83109 57.17738 17 0.303366 26.35436 2.508086 13.91825 57.21930 18 0.312690 26.22714 2.521356 13.99538 57.25613 19
0.321745
26.11391
2.533240
14.06405
57.28879
20 0.330552 26.01259 2.543882 14.12550 57.31804
Cholesky Ordering: LOG(ROT) LOG(MAL) LOG(IND) LOG(KED)
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