Tabel 4.4 Hasil uji kointegrasi
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.991552
220.5535 47.85613
0.0001 At most 1
0.798321 77.33802
29.79707 0.0000
At most 2 0.620349
29.30563 15.49471
0.0002 At most 3
0.008317 0.250541
3.841466 0.6167
Trace test indicates 3 cointegrating eqns at the 0.05 level denotes rejection of the hypothesis at the 0.05 level
MacKinnon-Haug-Michelis 1999 p-values
Tabel 4.4 diatas menunjukkan bahwa pada r = 3 nilai trace
statistic nya lebih kecil dari critical value pada tingkat signifikansi 5. Hal ini berarti hipotesis 0 yang menyatakan bahwa terdapat
paling tidak 3 kointegrasi tidak dapat ditolak dan hipotesis alternatif yang menyatakan bahwa tidak ada kointegrasi belum dapat diterima.
Hasil tersebut menunjukkan bahwa masing-masing variabel tersebut saling mempengaruhi dan memiliki hubungan stabilitas atau
keseimbangan dan kesamaan pergerakan dalam jangka panjang. Variabel-variabel ini dalam periode pendek akan cenderung saling
menyesuaikan untuk mencapai keseimbangan jangka panjangnya.
4.1.5. Estimasi Vector Error Correction Model VECM
Variabel-variabel atau peubah tidak stasioner yang terintegrasi pada tingkat yang sama akan bersifat stasioner setelah dilakukan
pembedaan. Uji kointegrasi diatas menunjukkan bahwa pada variabel-variabel penelitian terindikasi adanya kointegrasi dengan
rank 3 pada derajat kepercayaan 5. Dengan demikian maka model yang digunakan adalah model VEC. Hasil estimasi VECM dapat
dilihat pada Tabel 4.5 berikut sedangkan untuk selengkapnya dapat dilihat pada Lampiran 9.
Tabel 4.5 Hasil estimasi VECM
Standard errors in t-statistics in [ ] Cointegrating Eq:
CointEq1 CointEq2
CointEq3 HCPO-1
1.000000 0.000000
0.000000 PBIO-1
0.000000 1.000000
0.000000 HTBS-1
0.000000 0.000000
1.000000 HMGO-1
-0.612350 -48.27822
-0.145270 0.14411
11.7257 0.03278
[-4.24920] [-4.11731]
[-4.43110] C
-586.6817 511174.6
275.3727 Error Correction:
DHCPO DPBIO
DHTBS DHMGO
CointEq1 0.065309
-131.4849 0.202915
1.078142 0.90094
55.8857 0.15919
0.51658 [ 0.07249]
[-2.35275] [ 1.27466]
[ 2.08707] CointEq2
0.007169 -1.407614
0.001747 0.004380
0.00443 0.27489
0.00078 0.00254
[ 1.61772] [-5.12069]
[ 2.23055] [ 1.72370]
CointEq3 0.617213
535.3889 -0.622291
-1.737379 2.85990
177.401 0.50533
1.63982 [ 0.21582]
[ 3.01796] [-1.23146]
[-1.05950] DHCPO-1
-0.369451 153.5152
-0.138236 -0.969399
0.93418 57.9475
0.16506 0.53564
[-0.39548] [ 2.64921]
[-0.83747] [-1.80979]
DHCPO-2 -0.915205
58.05090 -0.275026
-0.846875 0.70770
43.8990 0.12505
0.40578 [-1.29321]
[ 1.32237] [-2.19938]
[-2.08701] DHCPO-3
-0.654045 -9.790574
-0.176965 -0.635100
0.65153 40.4147
0.11512 0.37358
[-1.00386] [-0.24225]
[-1.53720] [-1.70006]
DHCPO-4 0.490049
41.09184 0.002152
-0.205702 0.66503
41.2523 0.11751
0.38132 [ 0.73688]
[ 0.99611] [ 0.01832]
[-0.53945] DPBIO-1
-0.003544 0.375961
-0.000889 -0.003566
0.00420 0.26023
0.00074 0.00241
[-0.84476] [ 1.44474]
[-1.19931] [-1.48269]
DPBIO-2 -0.003844
0.517094 -0.000538
-0.002101 0.00319
0.19784 0.00056
0.00183 [-1.20538]
[ 2.61372] [-0.95463]
[-1.14877]
Persamaan VECM adalah sebagai berikut
VAR Model - Substituted Coefficients: ===============================
DHCPO = 0.065309192284 HCPO-1 - 0.612350176027HMGO-1 - 586.681697993 + 0.00716890326138 PBIO-1 -
48.2782165129HMGO-1 + 511174.562631 + 0.617212727326 HTBS-1 - 0.145269722001HMGO-1 + 275.372683012 -
0.369450987714DHCPO-1 - 0.915204818945DHCPO-2 - 0.65404470723DHCPO-3 + 0.49004891865DHCPO-4 -
0.00354390388993DPBIO-1 - 0.00384439082025DPBIO-2 - 0.00551906469568DPBIO-3 - 0.00741578120025DPBIO-4 +
1.61680921918DHTBS-1 + 1.42746089992DHTBS-2 + 3.93985380619DHTBS-3 - 3.81427340429DHTBS-4 +
0.251090268534DHMGO-1 - 0.361396293546DHMGO-2 - 0.101309955176DHMGO-3 - 0.270857568601DHMGO-4 +
125.453605992 DPBIO = - 131.484883156 HCPO-1 - 0.612350176027HMGO-1 -
586.681697993 - 1.40761411451 PBIO-1 - 48.2782165129HMGO-1 + 511174.562631 + 535.3888962 HTBS-1 - 0.145269722001HMGO-
1 + 275.372683012 + 153.51518553DHCPO-1 + 58.0508985987DHCPO-2 - 9.79057390559DHCPO-3 +
41.0918354932DHCPO-4 + 0.375961422836DPBIO-1 + 0.517093958504DPBIO-2 + 0.133073226928DPBIO-3 +
0.158297333985DPBIO-4 - 529.917330746DHTBS-1 - 243.213126066DHTBS-2 + 111.469911895DHTBS-3 -
293.017688206DHTBS-4 - 73.0342761624DHMGO-1 - 75.1226835383DHMGO-2 - 45.9160257866DHMGO-3 -
29.01910842DHMGO-4 + 10220.0714817 DHTBS = 0.202914853866 HCPO-1 - 0.612350176027HMGO-1 -
586.681697993 + 0.00174656487595 PBIO-1 - 48.2782165129HMGO-1 + 511174.562631 - 0.622290837204
HTBS-1 - 0.145269722001HMGO-1 + 275.372683012 - 0.138235538828DHCPO-1 - 0.275025517945DHCPO-2 -
0.176964630351DHCPO-3 + 0.00215238970809DHCPO-4 - 0.000889000166843DPBIO-1 - 0.000537979747005DPBIO-2 -
0.0011334173482DPBIO-3 - 0.00181070757716DPBIO-4 + 0.917030088539DHTBS-1 + 0.443817966876DHTBS-2 +
1.22876774853DHTBS-3 - 0.620158755645DHTBS-4 + 0.0938786100256DHMGO-1 - 0.0577974736675DHMGO-2 +
0.0800652221419DHMGO-3 + 0.013511708666DHMGO-4 + 21.9000981527
DHMGO = 1.07814160141 HCPO-1 - 0.612350176027HMGO-1 - 586.681697993 + 0.00437981744036 PBIO-1 -
48.2782165129HMGO-1 + 511174.562631 - 1.73737856909 HTBS- 1 - 0.145269722001HMGO-1 + 275.372683012 -
0.969398899DHCPO-1 - 0.84687482248DHCPO-2 - 0.635100094005DHCPO-3 - 0.205702043944DHCPO-4 -
0.00356649273703DPBIO-1 - 0.00210079000268DPBIO-2 - 0.00172359526136DPBIO-3 - 0.00159451126435DPBIO-4 +
2.14993003761DHTBS-1 + 2.24296823623DHTBS-2 + 1.97236952889DHTBS-3 + 0.693329935301DHTBS-4 -
0.147486155175DHMGO-1 - 0.144978785132DHMGO-2 - 0.365763363707DHMGO-3 - 0.229106105219DHMGO-4 +
123.059902846
