95
e. Filipina Roots of Characteristic Polynomial
Endogenous variables: BD_Y CA_Y ER_Y Exogenous variables: C
Lag specification: 1 3 Date: 061911 Time: 17:25
Root Modulus
0.993906 - 0.015444i 0.994026
0.993906 + 0.015444i 0.994026
-0.765256 - 0.054153i 0.767170
-0.765256 + 0.054153i 0.767170
0.617786 - 0.430397i 0.752929
0.617786 + 0.430397i 0.752929
-0.100860 - 0.731581i 0.738501
-0.100860 + 0.731581i 0.738501
0.506831 0.506831
No root lies outside the unit circle. VAR satisfies the stability condition.
f. Thailand Roots of Characteristic Polynomial
Endogenous variables: BD_Y CA_Y ER_Y Exogenous variables: C
Lag specification: 1 2 Date: 061911 Time: 18:34
Root Modulus
0.895121 0.895121
0.720580 - 0.271285i 0.769956
0.720580 + 0.271285i 0.769956
0.041789 - 0.456269i 0.458179
0.041789 + 0.456269i 0.458179
-0.208619 0.208619
No root lies outside the unit circle. VAR satisfies the stability condition.
g. Kamboja
Roots of Characteristic Polynomial Endogenous variables: BD_Y CA_Y ER_Y
Exogenous variables: C Lag specification: 1 2
Date: 061911 Time: 19:24
Root Modulus
0.998443 0.998443
0.631609 - 0.283331i 0.692247
0.631609 + 0.283331i 0.692247
-0.153049 - 0.439891i 0.465756
-0.153049 + 0.439891i 0.465756
0.195804 0.195804
No root lies outside the unit circle. VAR satisfies the stability condition.
h. Laos
Roots of Characteristic Polynomial Endogenous variables: BD_Y CA_Y ER_Y
Exogenous variables: C Lag specification: 1 6
Date: 061911 Time: 20:38
96 Root
Modulus 0.880137 - 0.320630i
0.936721 0.880137 + 0.320630i
0.936721 0.934112 - 0.067837i
0.936572 0.934112 + 0.067837i
0.936572 0.850615
0.850615 0.082425 + 0.831548i
0.835623 0.082425 - 0.831548i
0.835623 -0.488796 - 0.668143i
0.827851 -0.488796 + 0.668143i
0.827851 0.164644 + 0.806802i
0.823430 0.164644 - 0.806802i
0.823430 -0.419449 - 0.680046i
0.799000 -0.419449 + 0.680046i
0.799000 0.571821 + 0.535684i
0.783541 0.571821 - 0.535684i
0.783541 -0.725840 - 0.170530i
0.745603 -0.725840 + 0.170530i
0.745603 0.640319
0.640319 No root lies outside the unit circle.
VAR satisfies the stability condition.
i. Myamar
Roots of Characteristic Polynomial Endogenous variables: BD CA ER
Exogenous variables: C Lag specification: 1 4
Date: 061911 Time: 21:11
Root Modulus
0.978185 - 0.086659i 0.982016
0.978185 + 0.086659i 0.982016
0.811077 - 0.411951i 0.909697
0.811077 + 0.411951i 0.909697
0.703841 - 0.550929i 0.893820
0.703841 + 0.550929i 0.893820
0.739666 0.739666
0.646827 0.646827
-0.081463 - 0.588530i 0.594141
-0.081463 + 0.588530i 0.594141
0.285841 - 0.117473i 0.309039
0.285841 + 0.117473i 0.309039
No root lies outside the unit circle. VAR satisfies the stability condition.
j. Vietnam
Roots of Characteristic Polynomial Endogenous variables: BD_Y CA_Y ER_Y
Exogenous variables: C Lag specification: 1 4
Date: 062111 Time: 17:55
Root Modulus
0.998445 0.998445
0.749097 - 0.539332i 0.923052
0.749097 + 0.539332i 0.923052
0.889183 0.889183
0.826518 - 0.317665i 0.885462
0.826518 + 0.317665i 0.885462
0.632845 - 0.492185i 0.801710
0.632845 + 0.492185i 0.801710
97 0.642950
0.642950 0.566510 - 0.164504i
0.589911 0.566510 + 0.164504i
0.589911 0.130777
0.130777 No root lies outside the unit circle.
VAR satisfies the stability condition.
LAMPIRAN 4. UJI KOINTEGRASI a. Brunei Darussalam
Date: 061911 Time: 15:14 Sample adjusted: 1982 2010
Included observations: 29 after adjustments Trend assumption: No deterministic trend restricted constant
Series: BD_Y CA_Y ER_Y Lags interval in first differences: 1 to 1
Unrestricted Cointegration Rank Test Trace Hypothesized
Trace 0.05
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.545231 29.71691
35.19275 0.1728
At most 1 0.148962
6.865936 20.26184
0.9055 At most 2
0.072681 2.188280
9.164546 0.7400
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
Unrestricted Cointegration Rank Test Maximum Eigenvalue Hypothesized
Max-Eigen 0.05
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.545231 22.85097
22.29962 0.0419
At most 1 0.148962
4.677656 15.89210
0.9145 At most 2
0.072681 2.188280
9.164546 0.7400
Max-eigenvalue test indicates 1 cointegrating eqns at the 0.05 level denotes rejection of the hypothesis at the 0.05 level
MacKinnon-Haug-Michelis 1999 p-values
98 Unrestricted Cointegrating Coefficients normalized by bS11b=I:
BD_Y CA_Y
ER_Y C
-19.27311 14.35854
-10.82886 5.545359
-1.993155 5.344998
22.05288 -4.899828
-2.150881 -0.880234
15.92304 -1.219797
Unrestricted Adjustment Coefficients alpha: DBD_Y
0.056765 -0.035218
-0.018116 DCA_Y
0.049353 -0.040213
-0.003907 DER_Y
-0.006634 -0.004520
-0.003281 1 Cointegrating Equations:
Log likelihood 151.3200
Normalized cointegrating coefficients standard error in parentheses BD_Y
CA_Y ER_Y
C 1.000000
-0.745004 0.561864
-0.287725 0.04358
0.27552 0.05706
Adjustment coefficients standard error in parentheses DBD_Y
-1.094030 0.48035
DCA_Y -0.951195
0.44114 DER_Y
0.127851 0.06917
2 Cointegrating Equations: Log likelihood
153.6588 Normalized cointegrating coefficients standard error in parentheses
BD_Y CA_Y
ER_Y C
1.000000 0.000000
5.034250 -1.344084
2.55364 0.45932
0.000000 1.000000
6.003170 -1.417923
3.39618 0.61086
Adjustment coefficients standard error in parentheses DBD_Y
-1.023835 0.626816
0.46323 0.36629
DCA_Y -0.871043
0.493703 0.41521
0.32832 DER_Y
0.136861 -0.119411
0.06730 0.05321
b. Singapura