LAMPIRAN LAMPIRAN. = Pengeluaran Konsumsi Masyarakat (milyar rupiah) = Jumlah Uang Beredar (milyar rupiah) = Laju Inflasi (dalam persentase)

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1 76 LAMPIRAN LAMPIRAN 1. Data Skripsi TAHUN PK JUB INFLASI SB PDB Keterangan : PK JUB INFLASI SB PDB = Pengeluaran Konsumsi Masyarakat (milyar rupiah) = Jumlah Uang Beredar (milyar rupiah) = Laju Inflasi (dalam persentase) = Suku Bunga Deposito 3 Bulan (dalam persentase) = Pendapatan Nasional Riil (milyar rupiah) 76

2 77 2. Hasil pengujian akar unit pada tingkat level a. LOGPK Null Hypothesis: LOG(PK) has a unit root Lag Length: 3 (Automatic based on SIC, MAXLAG=4) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 16 Dependent Variable: D(LOG(PK)) Date: 08/01/16 Time: 13:40 Sample (adjusted): Included observations: 16 after adjustments LOG(PK(-1)) D(LOG(PK(-1))) D(LOG(PK(-2))) D(LOG(PK(-3))) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

3 78 b. LOGJUB Null Hypothesis: LOG(JUB) has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=4) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 19 Dependent Variable: D(LOG(JUB)) Date: 08/01/16 Time: 13:30 Sample (adjusted): Included observations: 19 after adjustments LOG(JUB(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

4 79 c. INFLASI Null Hypothesis: INFLASI has a unit root Lag Length: 8 (Automatic based on SIC, MAXLAG=8) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 11 Dependent Variable: D(INFLASI) Date: 08/01/16 Time: 13:37 Sample (adjusted): Included observations: 11 after adjustments INFLASI(-1) D(INFLASI(-1)) D(INFLASI(-2)) D(INFLASI(-3)) D(INFLASI(-4)) D(INFLASI(-5)) D(INFLASI(-6)) D(INFLASI(-7)) D(INFLASI(-8)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

5 80 d. SB Null Hypothesis: SB has a unit root Lag Length: 2 (Automatic based on SIC, MAXLAG=4) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 17 Dependent Variable: D(SB) Date: 08/01/16 Time: 13:38 Sample (adjusted): Included observations: 17 after adjustments SB(-1) D(SB(-1)) D(SB(-2)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

6 81 e. LOGPDB Null Hypothesis: LOG(PDB) has a unit root Lag Length: 3 (Automatic based on SIC, MAXLAG=4) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 16 Dependent Variable: D(LOG(PDB)) Date: 08/01/16 Time: 13:39 Sample (adjusted): Included observations: 16 after adjustments LOG(PDB(-1)) D(LOG(PDB(-1))) D(LOG(PDB(-2))) D(LOG(PDB(-3))) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

7 82 3. Hasil pengujian akar unit pada derajat integrasi pertama a. LOGPK Null Hypothesis: D(LOG(PK)) has a unit root Lag Length: 6 (Automatic based on SIC, MAXLAG=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 12 Dependent Variable: D(LOG(PK),2) Date: 08/01/16 Time: 13:42 Sample (adjusted): Included observations: 12 after adjustments D(LOG(PK(-1))) D(LOG(PK(-1)),2) D(LOG(PK(-2)),2) D(LOG(PK(-3)),2) D(LOG(PK(-4)),2) D(LOG(PK(-5)),2) D(LOG(PK(-6)),2) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid 2.76E-06 Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

8 83 b. LOGJUB Null Hypothesis: D(LOG(JUB)) has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=3) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 18 Dependent Variable: D(LOG(JUB),2) Date: 08/01/16 Time: 13:35 Sample (adjusted): Included observations: 18 after adjustments D(LOG(JUB(-1))) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

9 84 c. INFLASI Null Hypothesis: D(INFLASI) has a unit root Lag Length: 1 (Automatic based on SIC, MAXLAG=4) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 17 Dependent Variable: D(INFLASI,2) Date: 08/01/16 Time: 13:37 Sample (adjusted): Included observations: 17 after adjustments D(INFLASI(-1)) D(INFLASI(-1),2) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

10 85 d. SB Null Hypothesis: D(SB) has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=4) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 18 Dependent Variable: D(SB,2) Date: 08/01/16 Time: 13:39 Sample (adjusted): Included observations: 18 after adjustments D(SB(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

11 86 e. LOGPDB Null Hypothesis: D(LOG(PDB)) has a unit root Lag Length: 2 (Automatic based on SIC, MAXLAG=4) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level observations and may not be accurate for a sample size of 16 Dependent Variable: D(LOG(PDB),2) Date: 08/01/16 Time: 13:40 Sample (adjusted): Included observations: 16 after adjustments D(LOG(PDB(-1))) D(LOG(PDB(-1)),2) D(LOG(PDB(-2)),2) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

12 87 4. Hasil uji kointegrasi Date: 08/01/16 Time: 13:44 Sample (adjusted): Included observations: 18 after adjustments Trend assumption: Linear deterministic trend Series: LOG(PK) LOG(JUB) INFLASI SB LOG(PDB) 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 * None * At most 1 * At most At most At most 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 Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen 0.05 No. of CE(s) Eigenvalue Statistic Critical Value * None * At most 1 * At most At most At most Max-eigenvalue 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 Unrestricted Cointegrating Coefficients (normalized by b'*s11*b=i): LOG(PK) LOG(JUB) INFLASI SB LOG(PDB)

13 Unrestricted Adjustment Coefficients (alpha): D(LOG(PK)) D(LOG(JUB)) D(INFLASI) D(SB) D(LOG(PDB)) Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) LOG(JUB) INFLASI SB LOG(PDB) ( ) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(LOG(PK)) ( ) D(LOG(JUB)) ( ) D(INFLASI) ( ) D(SB) ( ) D(LOG(PDB)) ( ) 2 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) LOG(PK) LOG(JUB) INFLASI SB LOG(PDB) ( ) ( ) ( ) ( ) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(LOG(PK)) ( ) ( ) D(LOG(JUB)) ( ) ( ) D(INFLASI)

14 89 ( ) ( ) D(SB) ( ) ( ) D(LOG(PDB)) ( ) ( ) 3 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) LOG(PK) LOG(JUB) INFLASI SB LOG(PDB) ( ) ( ) ( ) ( ) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(LOG(PK)) ( ) ( ) ( ) D(LOG(JUB)) ( ) ( ) ( ) D(INFLASI) ( ) ( ) ( ) D(SB) ( ) ( ) ( ) D(LOG(PDB)) ( ) ( ) ( ) 4 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) LOG(PK) LOG(JUB) INFLASI SB LOG(PDB) ( ) ( ) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(LOG(PK)) ( ) ( ) ( ) ( ) 89

15 90 D(LOG(JUB)) ( ) ( ) ( ) ( ) D(INFLASI) ( ) ( ) ( ) ( ) D(SB) ( ) ( ) ( ) ( ) D(LOG(PDB)) ( ) ( ) ( ) ( ) 5. Hasil estimasi ECM jangka panjang Dependent Variable: LOG(PK) Date: 08/01/16 Time: 13:46 Sample: Included observations: 20 C LOG(JUB) INFLASI SB LOG(PDB) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

16 91 6. Hasil estimasi ECM jangka pendek Dependent Variable: DLOG(PK) Date: 08/02/16 Time: 11:07 Sample (adjusted): Included observations: 19 after adjustments C DLOG(JUB) D(SB) D(INFLASI) DLOG(PDB) ECT01(-1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Hasil uji asumsi klasik a. Autokorelasi Breusch-Godfrey Serial Correlation LM Test: F-statistic Probability Obs*R-squared Probability Test Equation: Dependent Variable: RESID Date: 08/03/16 Time: 09:12 Presample missing value lagged residuals set to zero. C DLOG(JUB) D(SB) 7.33E D(INFLASI) -1.75E DLOG(PDB)

17 92 RESID(-1) RESID(-2) R-squared Mean dependent var -1.19E-18 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) b. Heterokedastisitas Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic Prob. F(5,13) Obs*R-squared Prob. Chi-Square(5) Scaled explained SS Prob. Chi-Square(5) Test Equation: Dependent Variable: RESID^2 Date: 068/03/16 Time: 11:11 Sample: Included observations: 19 C E DLOG(JUB) D(SB) 1.61E E D(INFLASI) -3.71E E DLOG(PDB) ECT01(-1) R-squared Mean dependent var 9.96E-05 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid 2.16E-07 Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

18 93 c. Uji Normalitas 93