Uji Stationer Y

Graph 1

Uji stationer -> Level

Null Hypothesis: SER02 has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 8.277197 1.0000

Test critical values: 1% level -3.788030
5% level -3.012363
10% level -2.646119

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SER02)
Method: Least Squares
Date: 11/05/17 Time: 21:05
Sample (adjusted): 1991 2011
Included observations: 21 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

SER02(-1) 0.136271 0.016463 8.277197 0.0000

C 209203.7 194280.6 1.076812 0.2950

R-squared 0.782887 Mean dependent var 1414156.

Adjusted R-squared 0.771460 S.D. dependent var 1233290.
S.E. of regression 589584.8 Akaike info criterion 29.50262
Sum squared resid 6.60E+12 Schwarz criterion 29.60210
Log likelihood -307.7775 Hannan-Quinn criter. 29.52421
F-statistic 68.51199 Durbin-Watson stat 2.097830
Prob(F-statistic) 0.000000
Uji stationer -> 1st difference

Null Hypothesis: D(SER02) has a unit root

Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.355398 0.8986

Test critical values: 1% level -3.831511
5% level -3.029970
10% level -2.655194

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 19

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SER02,2)
Method: Least Squares
Date: 11/05/17 Time: 21:10
Sample (adjusted): 1993 2011
Included observations: 19 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(SER02(-1)) -0.061003 0.171646 -0.355398 0.7269

D(SER02(-1),2) -0.459749 0.243143 -1.890860 0.0769
C 336017.1 283251.7 1.186284 0.2528

R-squared 0.235435 Mean dependent var 190090.3

Adjusted R-squared 0.139864 S.D. dependent var 825086.4
S.E. of regression 765214.1 Akaike info criterion 30.07764
Sum squared resid 9.37E+12 Schwarz criterion 30.22676
Log likelihood -282.7376 Hannan-Quinn criter. 30.10288
F-statistic 2.463461 Durbin-Watson stat 2.233013
Prob(F-statistic) 0.116766
Uji stationer -> 2nd diference

Null Hypothesis: D(SER02,2) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.816036 0.0000

Test critical values: 1% level -3.831511
5% level -3.029970
10% level -2.655194

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 19

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SER02,3)
Method: Least Squares
Date: 11/05/17 Time: 21:11
Sample (adjusted): 1993 2011
Included observations: 19 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(SER02(-1),2) -1.492638 0.218989 -6.816036 0.0000

C 257782.3 173609.1 1.484843 0.1559

R-squared 0.732108 Mean dependent var 52683.32

Adjusted R-squared 0.716349 S.D. dependent var 1399375.
S.E. of regression 745291.2 Akaike info criterion 29.98024
Sum squared resid 9.44E+12 Schwarz criterion 30.07965
Log likelihood -282.8123 Hannan-Quinn criter. 29.99706
F-statistic 46.45835 Durbin-Watson stat 2.288410
Prob(F-statistic) 0.000003

Regresi Y

Dependent Variable: Y
Method: Least Squares
Date: 11/05/17 Time: 21:38
Sample: 1990 2011
Included observations: 22

Variable Coefficient Std. Error t-Statistic Prob.

C -1263.986 5788.349 -0.218367 0.8297

X1 0.009356 0.000218 42.83970 0.0000
X2 -163.1222 81.44064 -2.002958 0.0614
X3 1.433598 0.487730 2.939325 0.0092
X4 -130.5563 295.6106 -0.441650 0.6643

R-squared 0.997226 Mean dependent var 96807.68

Adjusted R-squared 0.996573 S.D. dependent var 89774.89
S.E. of regression 5255.119 Akaike info criterion 20.16851
Sum squared resid 4.69E+08 Schwarz criterion 20.41647
Log likelihood -216.8536 Hannan-Quinn criter. 20.22692
F-statistic 1527.909 Durbin-Watson stat 1.564017
Prob(F-statistic) 0.000000

Residual Series -> ECT

Null Hypothesis: ECT has a unit root

Exogenous: Constant
Lag Length: 4 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.402032 0.0005

Test critical values: 1% level -3.886751
5% level -3.052169
10% level -2.666593

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 17

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(ECT)
Method: Least Squares
Date: 11/05/17 Time: 21:42
Sample (adjusted): 1995 2011
Included observations: 17 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

ECT(-1) -4.391536 0.812942 -5.402032 0.0002

D(ECT(-1)) 3.212239 0.648024 4.956978 0.0004
D(ECT(-2)) 2.192615 0.621528 3.527780 0.0047
D(ECT(-3)) 1.494173 0.390398 3.827306 0.0028
D(ECT(-4)) 0.992260 0.353156 2.809692 0.0170
C -459.3955 706.4754 -0.650264 0.5289

R-squared 0.876384 Mean dependent var 497.0428

Adjusted R-squared 0.820196 S.D. dependent var 6740.253
S.E. of regression 2858.093 Akaike info criterion 19.02426
Sum squared resid 89855645 Schwarz criterion 19.31834
Log likelihood -155.7062 Hannan-Quinn criter. 19.05349
F-statistic 15.59712 Durbin-Watson stat 1.809921
Prob(F-statistic) 0.000113
Graph ECT