LAMPIRAN. Null Hypothesis: LO has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=13)
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1 74 LAMPIRAN Lampiran 1 Analisis ARIMA 1.1. Uji Stasioneritas Variabel 1. Data Harga Minyak Riil Level Null Hypothesis: LO has a unit root Lag Length: 1 (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(LO) Date: 08/03/12 Time: 14:07 LO(-1) D(LO(-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 Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) First Difference Null Hypothesis: D(LO) has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level
2 75 10% level Dependent Variable: D(LO,2) Date: 08/03/12 Time: 14:04 D(LO(-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 Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Data Indeks Produksi Level Null Hypothesis: LIP has a unit root Lag Length: 12 (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(LIP) Date: 08/03/12 Time: 14:08 Sample (adjusted): 2001M M12 Included observations: 131 after adjustments LIP(-1) D(LIP(-1)) D(LIP(-2)) D(LIP(-3)) D(LIP(-4)) D(LIP(-5))
3 76 D(LIP(-6)) D(LIP(-7)) D(LIP(-8)) D(LIP(-9)) D(LIP(-10)) D(LIP(-11)) D(LIP(-12)) 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 Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) First Difference Null Hypothesis: D(LIP) has a unit root Lag Length: 11 (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(LIP,2) Date: 08/03/12 Time: 14:09 Sample (adjusted): 2001M M12 Included observations: 131 after adjustments D(LIP(-1)) D(LIP(-1),2) D(LIP(-2),2) D(LIP(-3),2) D(LIP(-4),2) D(LIP(-5),2) D(LIP(-6),2) D(LIP(-7),2) D(LIP(-8),2) D(LIP(-9),2) D(LIP(-10),2) D(LIP(-11),2) C
4 77 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) Data Suku Bunga SBI Level Null Hypothesis: LR has a unit root Lag Length: 1 (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(LR) Date: 08/03/12 Time: 14:09 LR(-1) D(LR(-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 Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) First Difference Null Hypothesis: D(LR) has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level
5 78 10% level Dependent Variable: D(LR,2) Date: 08/03/12 Time: 14:10 D(LR(-1)) C R-squared Mean dependent var 8.31E-18 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) Data Return Saham Level Null Hypothesis: RSR has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(RSR) Date: 08/03/12 Time: 14:11 RSR(-1) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion
6 79 Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Data Varians Harga Minyak Level Null Hypothesis: RSR has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(RSR) Date: 08/03/12 Time: 14:11 RSR(-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 Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Lampiran Plot ACF dan PACF Data Harga Minyak Pada Data Level Date: 08/03/12 Time: 14:14 Sample: 2000M M12 Included observations: 144 Autocorrelation Partial Correlation AC PAC Q-Stat Prob. *******. ******* ****** **
7 80. ****** ***** * **** **** ***. * *** ***. * ** ** ** * **. * ** ** ** **. * ** ** ** Plot ACF dan PACF Perubahan Harga Minyak Date: 08/03/12 Time: 14:15 Sample: 2000M M12 Included observations: 143 Autocorrelation Partial Correlation AC PAC Q-Stat Prob. **. ** * *. * * *. * * * *. * * *. ** *
8 81 Lampiran Model Tentatif ARIMA (1,1,1) Dependent Variable: D(LO) Date: 08/03/12 Time: 14:21 Convergence achieved after 7 iterations MA Backcast: 2000M02 C AR(1) MA(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) Inverted AR Roots.18 Inverted MA Roots -.17 ARIMA (1,1,0) Dependent Variable: D(LO) Date: 08/03/12 Time: 14:21 Convergence achieved after 3 iterations C AR(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) Inverted AR Roots.33
9 82 ARIMA (0,1,1) Dependent Variable: D(LO) Date: 08/03/12 Time: 14:22 Sample (adjusted): 2000M M12 Included observations: 143 after adjustments Convergence achieved after 6 iterations MA Backcast: 2000M01 C MA(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) Inverted MA Roots -.34 Dependent Variable: D(LO) Date: 08/03/12 Time: 14:22 Sample (adjusted): 2000M M12 Included observations: 143 after adjustments Convergence achieved after 6 iterations MA Backcast: 2000M01 C MA(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) Inverted MA Roots -.34
10 83 2. Analisis Model ARCH/GARCH 2.1. Plot ACF dan PACF Residual Kuadrat ARIMA (0,1,1) Date: 08/03/12 Time: 14:28 Sample: 2000M M12 Included observations: 143 Q-statistic probabilities adjusted for 1 ARMA term(s) Autocorrelation Partial Correlation AC PAC Q-Stat Prob. **. ** * * * * Evaluasi Model ARCH-GACH GARCH (1) Dependent Variable: D(LO) Method: ML - ARCH (Marquardt) - Normal distribution Date: 08/03/12 Time: 14:25 Sample (adjusted): 2000M M12 Included observations: 143 after adjustments Convergence achieved after 16 iterations MA Backcast: 2000M01 Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) Variable Coefficient Std. Error z-statistic Prob. C MA(1) Variance Equation
11 84 C RESID(-1)^ GARCH(-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) Inverted MA Roots -.24 ARCH (1) Dependent Variable: D(LO) Method: ML - ARCH (Marquardt) - Normal distribution Date: 08/03/12 Time: 14:25 Sample (adjusted): 2000M M12 Included observations: 143 after adjustments Convergence achieved after 19 iterations MA Backcast: 2000M01 Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*RESID(-1)^2 Variable Coefficient Std. Error z-statistic Prob. C MA(1) Variance Equation C RESID(-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) Inverted MA Roots -.23
12 85 3. Estimasi Persamaan VAR Uji Lag Optimal VAR Lag Order Selection Criteria Endogenous variables: D(LR) D(LO) D(LIP) RSR Exogenous variables: C Date: 08/03/12 Time: 14:31 Sample: 2000M M12 Included observations: 138 Lag LogL LR FPE AIC SC HQ NA 3.06e e-10* * * * e e * 2.15e e Uji Stabilitas Persamaan VAR Roots of Characteristic Polynomial Endogenous variables: D(LR) D(LO) D(LIP) RSR Exogenous variables: C Lag specification: 1 1 Date: 08/03/12 Time: 14:31 Root Modulus No root lies outside the unit circle. VAR satisfies the stability condition Output VAR Vector Autoregression Estimates Date: 08/03/12 Time: 14:32 Standard errors in ( ) & t-statistics in [ ] D(LR) D(LO) D(LIP) RSR D(LR(-1)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(LO(-1)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ]
13 86 D(LIP(-1)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] RSR(-1) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] C ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] R-squared Adj. R-squared Sum sq. resids S.E. equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant resid covariance (dof adj.) 1.78E-10 Determinant resid covariance 1.55E-10 Log likelihood Akaike information criterion Schwarz criterion Estimasi VAR Uji Lag Optimal VAR Lag Order Selection Criteria Endogenous variables: D(LR) VT D(LIP) RSR Exogenous variables: C Date: 08/03/12 Time: 14:34 Sample: 2000M M12 Included observations: 137 Lag LogL LR FPE AIC SC HQ NA 6.41e * * 4.75e-08* * * e e e e * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
14 87 Uji Stabilitas VAR 2 Roots of Characteristic Polynomial Endogenous variables: D(LR) VT D(LIP) RSR Exogenous variables: C Lag specification: 1 1 Date: 08/03/12 Time: 14:35 Root Modulus i i No root lies outside the unit circle. VAR satisfies the stability condition Output VAR 2 Vector Autoregression Estimates Date: 08/01/12 Time: 12:34 Sample (adjusted): 2000M M11 Included observations: 141 after adjustments Standard errors in ( ) & t-statistics in [ ] D(LR) VT D(LIP) RSR D(LR(-1)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] VT(-1) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(LIP(-1)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] RSR(-1) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] C ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] R-squared Adj. R-squared Sum sq. resids S.E. equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent
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