LAMPIRAN
1.
Uji Akar Unit Risiko Kredit Bank Mandiri (
Level
)
Null Hypothesis: RK has a unit root Exogenous: Constant
Lag Length: 8 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.753452 0.0008
Test critical values: 1% level -3.699871
5% level -2.976263
10% level -2.627420
*MacKinnon (1996) one-sided p-values.
2.Uji Akar Unit Risiko Kredit Bank mandiri
(first Difference)
Null Hypothesis: D(RK,2) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.16003 0.0000
Test critical values: 1% level -3.661661
5% level -2.960411
10% level -2.619160
*MacKinnon (1996) one-sided p-values.
3.Uji Akar Unit Risiko Likuiditas Bank Mandiri (Level)
Null Hypothesis: RL has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.592352 0.4758
Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
4. Uji Akar Risiko Likuiditas Bank mandiri (
First Difference
)
Null Hypothesis: D(RL,2) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -10.64769 0.0000
Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817
*MacKinnon (1996) one-sided p-values.
5.
Uji Akar Risiko Kredit Bank BRI (
Level
)
Null Hypothesis: RK has a unit root Exogenous: Constant
Lag Length: 9 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 1.503773 0.9988
Test critical values: 1% level -3.711457
5% level -2.981038
10% level -2.629906
*MacKinnon (1996) one-sided p-values.
6. Uji Akar Unit Risiko Kredit Bank BRI (
First Difference
)
Null Hypothesis: D(RK,2) has a unit root Exogenous: Constant
Lag Length: 8 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.823409 0.0080
Test critical values: 1% level -3.724070
5% level -2.986225
10% level -2.632604
7.Uji Akar Unit Risiko Likuiditas Bank BRI (
Level
)
Null Hypothesis: RL has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.391688 0.1513
Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
8. Uji Akar Risiko Likuiditas Bank BRI (
First Difference
)
Null Hypothesis: D(RL,2) has a unit root Exogenous: Constant
Lag Length: 3 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.028396 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 Risiko Kredit Bank BNI (
Level
)
Null Hypothesis: RK has a unit root Exogenous: Constant
Lag Length: 4 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.061466 0.0402
Test critical values: 1% level -3.661661
5% level -2.960411
10% level -2.619160
10. Uji Akar Unit Risiko Kredit Bank BNI (
First Difference
)
Null Hypothesis: D(RK,2) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -9.301522 0.0000
Test critical values: 1% level -3.661661
5% level -2.960411
10% level -2.619160
*MacKinnon (1996) one-sided p-values.
11.
Uji Akar Unit Risiko Likuiditas Bank BNI (
Level
)
Null Hypothesis: RL has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.644969 0.0000
Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
12. Uji Akar Unit Risiko Likuiditas Bank BNI (
First Difference)
Null Hypothesis: D(RL,2) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.225695 0.0000
Test critical values: 1% level -3.661661
5% level -2.960411
10% level -2.619160
13
Uji Akar Unit Risiko Kredit Bank BTN (
Level
)
Null Hypothesis: RK has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.039108 0.0410
Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
14.
Uji Akar Unit Risiko Likuiditas Bank BTN (
level
)
Null Hypothesis: RL has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.460868 0.1334
Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874
*MacKinnon (1996) one-sided p-values.
15. Uji Akar Unit Risiko Likuiditas Bank BTN (
First Difference
)
Null Hypothesis: D(RL) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.082805 0.0000
Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817
16
.Lag length
Bank Mandiri
VAR Lag Order Selection Criteria Endogenous variables: RK RL Exogenous variables: C Date: 09/24/14 Time: 21:42 Sample: 2002Q1 2010Q4 Included observations: 31
Lag LogL LR FPE AIC SC HQ
* indicates lag order selected by the criterion
17.
Lag length
Bank BRI
VAR Lag Order Selection Criteria Endogenous variables: RK RL Exogenous variables: C Date: 09/24/14 Time: 21:45 Sample: 2002Q1 2010Q4 Included observations: 31
18.
Lag length
Bank BNI
VAR Lag Order Selection Criteria Endogenous variables: RK RL Exogenous variables: C Date: 09/24/14 Time: 21:46 Sample: 2002Q1 2010Q4 Included observations: 31
Lag LogL LR FPE AIC SC HQ
* indicates lag order selected by the criterion
19.
Lag length
BTN
VAR Lag Order Selection Criteria Endogenous variables: RK RL Exogenous variables: C Date: 09/24/14 Time: 21:47 Sample: 2002Q1 2010Q4 Included observations: 31
Lag LogL LR FPE AIC SC HQ
* indicates lag order selected by the criterion
20. Uji Kointegrasi Bank Mandiri
Date: 09/24/14 Time: 22:31
Series: RK RL
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 * 0.323120 16.26098 15.49471 0.0383
At most 1 0.084241 2.992077 3.841466 0.0837
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
21. Uji Kointegrasi Bank BRI
Date: 09/24/14 Time: 22:35
Sample (adjusted): 2002Q3 2010Q4 Included observations: 34 after adjustments Trend assumption: Linear deterministic trend Series: RK RL
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 * 0.424236 19.99234 15.49471 0.0098
At most 1 0.035314 1.222372 3.841466 0.2689
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
22. Uji Kointegrasi Bank BNI
Date: 09/24/14 Time: 22:36
Sample (adjusted): 2002Q3 2010Q4 Included observations: 34 after adjustments Trend assumption: Linear deterministic trend Series: RK RL
Lags interval (in first differences): 1 to 1
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.358765 27.27155 15.49471 0.0006
At most 1 * 0.300749 12.16333 3.841466 0.0005
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
23. Uji Kointegrasi Bank BTN
Date: 09/24/14 Time: 22:37
Sample (adjusted): 2002Q3 2010Q4 Included observations: 34 after adjustments Trend assumption: Linear deterministic trend Series: RK RL
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 0.157374 9.823941 15.49471 0.2945
At most 1 * 0.111044 4.002050 3.841466 0.0454
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
24. Uji VAR BTN
Vector Autoregression Estimates Date: 09/23/14 Time: 12:35 Sample (adjusted): 2002Q2 2010Q4 Included observations: 35 after adjustments Standard errors in ( ) & t-statistics in [ ]
RK RL
RK(-1) 0.504538 -0.003126
(0.15583) (0.02889) [ 3.23777] [-0.10821]
(0.68043) (0.12616)
Mean dependent 0.128632 -0.039336
S.D. dependent 0.167927 0.036626
Determinant resid covariance (dof adj.) 1.52E-05
Determinant resid covariance 1.27E-05
Log likelihood 97.97763
Akaike information criterion -5.255864
Schwarz criterion -4.989233
25.
Uji VECM Bank Mandiri
Date: 09/23/14 Time: 20:38
Sample (adjusted): 2002Q4 2010Q4 Included observations: 33 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
RK(-1) 1.000000
RL(-1) 0.517951
(0.60505) [ 0.85604]
C -0.184535
Error Correction: D(RK) D(RL)
CointEq1 -0.709172 0.004153
D(RK(-1)) 0.287933 0.005846 (0.13793) (0.06581) [ 2.08759] [ 0.08883]
D(RK(-2)) -0.018401 -0.012641
(0.13568) (0.06473) [-0.13562] [-0.19527]
D(RL(-1)) 0.265159 -0.038554 [-0.79030] [-0.41622]
R-squared 0.536966 0.010323
Mean dependent -0.012204 -0.002623
S.D. dependent 0.104751 0.034185
Determinant resid covariance (dof adj.) 8.24E-06
Determinant resid covariance 5.52E-06
Log likelihood 106.1293
Akaike information criterion -5.583595
Schwarz criterion -4.948713
26. Uji VECM Bank BRI
Cointegrating Eq: CointEq1
Error Correction: D(RK) D(RL)
CointEq1 -0.661380 -0.171328
(0.18908) (0.06180) [-3.49792] [-2.77217]
D(RK(-1)) 0.258836 0.053021
Mean dependent 0.007536 -0.003377
Determinant resid covariance (dof adj.) 1.66E-05
Determinant resid covariance 1.11E-05
Log likelihood 94.60654
Akaike information criterion -4.885245
Schwarz criterion -4.250363
27
.Uji VECM Bank BNI
Vector Error Correction Estimates Date: 09/23/14 Time: 22:00 Sample (adjusted): 2002Q4 2010Q4 Included observations: 33 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
RK(-1) 1.000000
RL(-1) 0.810488
(1.37503) [ 0.58943]
C -0.426462
Error Correction: D(RK) D(RL)
CointEq1 -0.879864 -0.022689
(0.26178) (0.08463) [-3.36106] [-0.26810]
D(RK(-1)) 0.094057 0.006725
(0.21707) (0.07017) [ 0.43331] [ 0.09583]
D(RK(-2)) -0.056749 -0.035066
(0.18071) (0.05842) [-0.31404] [-0.60026]
D(RL(-1)) 1.171014 -0.714838
(0.58265) (0.18836) [ 2.00979] [-3.79515]
D(RL(-2)) 0.761346 -0.395975
C 0.006280 0.004115
Log likelihood -0.146334 37.11933
Akaike AIC 0.372505 -1.886020
Schwarz SC 0.644597 -1.613928
Mean dependent 0.014665 -0.000483
S.D. dependent 0.334627 0.103342
Determinant resid covariance (dof adj.) 0.000514
Determinant resid covariance 0.000344
Log likelihood 37.91671
Akaike information criterion -1.449498
Schwarz criterion -0.814616
28.
Granger Causality
Bank Mandiri
Pairwise Granger causality Tests Date: 09/23/14 Time: 10:42 Sample: 2002Q1 2010Q4 Lags: 1
Null Hypothesis: Obs F-Statistic Probability
RL does not Granger Cause RK 35 1.37572 0.24949
RK does not Granger Cause RL 0.01510 0.90297
BRI
29.
Granger Causality
Bank BRI
Pairwise Granger Causality Tests Date: 09/23/14 Time: 10:50 Sample: 2002Q1 2010Q4 Lags: 1
Null Hypothesis: Obs F-Statistic Probability
RL does not Granger Cause RK 35 6.45482 0.01612
30.
Granger Causality
Bank BNI
Pairwise Granger Causality Tests Date: 09/23/14 Time: 11:11 Sample: 2002Q1 2010Q4 Lags: 1
Null Hypothesis: Obs F-Statistic Probability
RL does not Granger Cause RK 35 0.35743 0.55414
RK does not Granger Cause RL 0.08458 0.77306
31.
Granger Causality
Bank BTN
Pairwise Granger Causality Tests Date: 09/23/14 Time: 11:07 Sample: 2002Q1 2010Q4 Lags: 1
Null Hypothesis: Obs F-Statistic Probability
RL does not Granger Cause RK 35 1.95276 0.17190
