LAMPIRAN
Lampiran 1 Analisis ARIMA
1.1. Uji Stasioneritas Variabel 1. Data Harga Minyak Riil
Level
Null Hypothesis: LO has a unit root Exogenous: Constant
Lag Length: 1 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-2.493138 0.1193
Test critical values: 1 level
-3.476805 5
level -2.881830
10 level
-2.577668 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLO
Method: Least Squares Date: 080312 Time: 14:07
Sample adjusted: 2000M03 2011M12 Included observations: 142 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. LO-1 -0.058033
0.023277 -2.493138
0.0138 DLO-1 0.356889
0.078984 4.518508
0.0000 C 0.258833
0.102665 2.521139
0.0128 R-squared
0.146929 Mean dependent var 0.005003
Adjusted R-squared 0.134655 S.D. dependent var
0.068279 S.E. of regression
0.063516 Akaike info criterion -2.654141
Sum squared resid 0.560770 Schwarz criterion
-2.591694 Log likelihood
191.4440 Hannan-Quinn criter. -2.628765
F-statistic 11.97038 Durbin-Watson stat
1.981465 ProbF-statistic 0.000016
First Difference
Null Hypothesis: DLO has a unit root Exogenous: Constant
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-8.421990 0.0000
Test critical values: 1 level
-3.476805 5
level -2.881830
10 level
-2.577668 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLO,2
Method: Least Squares Date: 080312 Time: 14:04
Sample adjusted: 2000M03 2011M12 Included observations: 142 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. DLO-1 -0.670765
0.079644 -8.421990
0.0000 C 0.003222
0.005446 0.591686
0.5550 R-squared
0.336272 Mean dependent var -0.000407
Adjusted R-squared 0.331532 S.D. dependent var
0.079120 S.E. of regression
0.064689 Akaike info criterion -2.624479
Sum squared resid 0.585846 Schwarz criterion
-2.582847 Log likelihood
188.3380 Hannan-Quinn criter. -2.607562
F-statistic 70.92992 Durbin-Watson stat
1.958953 ProbF-statistic 0.000000
2. Data Indeks Produksi
Level
Null Hypothesis: LIP has a unit root Exogenous: Constant
Lag Length: 12 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-0.193145 0.9353
Test critical values: 1 level
-3.480818 5
level -2.883579
10 level
-2.578601 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLIP
Method: Least Squares Date: 080312 Time: 14:08
Sample adjusted: 2001M02 2011M12 Included observations: 131 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. LIP-1 -0.008959
0.046383 -0.193145
0.8472 DLIP-1 -0.776184
0.097903 -7.928080
0.0000 DLIP-2 -0.559128
0.119424 -4.681886
0.0000 DLIP-3 -0.479020
0.119830 -3.997490
0.0001 DLIP-4 -0.497673
0.114490 -4.346866
0.0000 DLIP-5 -0.499541
0.110649 -4.514659
0.0000
DLIP-6 -0.502971 0.107742
-4.668282 0.0000
DLIP-7 -0.512286 0.105657
-4.848594 0.0000
DLIP-8 -0.567214 0.105244
-5.389527 0.0000
DLIP-9 -0.529661 0.107218
-4.940021 0.0000
DLIP-10 -0.457632 0.109687
-4.172169 0.0001
DLIP-11 -0.268664 0.102111
-2.631091 0.0097
DLIP-12 0.218962 0.078137
2.802285 0.0059
C 0.056662 0.213616
0.265253 0.7913
R-squared 0.582583 Mean dependent var
0.002776 Adjusted R-squared
0.536203 S.D. dependent var 0.066285
S.E. of regression 0.045142 Akaike info criterion
-3.257297 Sum squared resid
0.238421 Schwarz criterion -2.950024
Log likelihood 227.3530 Hannan-Quinn criter.
-3.132438 F-statistic
12.56115 Durbin-Watson stat 2.005767
ProbF-statistic 0.000000
First Difference
Null Hypothesis: DLIP has a unit root Exogenous: Constant
Lag Length: 11 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-6.571532 0.0000
Test critical values: 1 level
-3.480818 5
level -2.883579
10 level
-2.578601 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLIP,2
Method: Least Squares Date: 080312 Time: 14:09
Sample adjusted: 2001M02 2011M12 Included observations: 131 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. DLIP-1 -6.483535
0.986609 -6.571532
0.0000 DLIP-1,2 4.699198
0.925470 5.077631
0.0000 DLIP-2,2 4.132177
0.835711 4.944504
0.0000 DLIP-3,2 3.645812
0.743561 4.903178
0.0000 DLIP-4,2 3.141503
0.656666 4.784019
0.0000 DLIP-5,2 2.635921
0.573932 4.592743
0.0000 DLIP-6,2 2.127756
0.493604 4.310657
0.0000 DLIP-7,2 1.611278
0.414605 3.886300
0.0002 DLIP-8,2 1.040821
0.335020 3.106745
0.0024 DLIP-9,2 0.508803
0.252767 2.012930
0.0464 DLIP-10,2 0.049710
0.163670 0.303718
0.7619 DLIP-11,2 -0.219438
0.077779 -2.821296
0.0056 C 0.015413
0.004645 3.318548
0.0012
R-squared 0.854908 Mean dependent var
-0.000128 Adjusted R-squared
0.840153 S.D. dependent var 0.112447
S.E. of regression 0.044957 Akaike info criterion
-3.272245 Sum squared resid
0.238497 Schwarz criterion -2.986920
Log likelihood 227.3321 Hannan-Quinn criter.
-3.156305 F-statistic
57.93997 Durbin-Watson stat 2.006663
ProbF-statistic 0.000000
3.
Data Suku Bunga SBI Level
Null Hypothesis: LR has a unit root Exogenous: Constant
Lag Length: 1 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-0.777708 0.8220
Test critical values: 1 level
-3.476805 5
level -2.881830
10 level
-2.577668 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLR
Method: Least Squares Date: 080312 Time: 14:09
Sample adjusted: 2000M03 2011M12 Included observations: 142 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. LR-1 -0.009659
0.012420 -0.777708
0.4381 DLR-1 0.410055
0.078440 5.227627
0.0000 C 0.018530
0.028341 0.653836
0.5143 R-squared
0.164303 Mean dependent var -0.005493
Adjusted R-squared 0.152279 S.D. dependent var
0.051331 S.E. of regression
0.047261 Akaike info criterion -3.245350
Sum squared resid 0.310474 Schwarz criterion
-3.182903 Log likelihood
233.4199 Hannan-Quinn criter. -3.219974
F-statistic 13.66412 Durbin-Watson stat
2.104410 ProbF-statistic 0.000004
First Difference
Null Hypothesis: DLR has a unit root Exogenous: Constant
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-7.738290 0.0000
Test critical values: 1 level
-3.476805 5
level -2.881830
10 level
-2.577668 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLR,2
Method: Least Squares Date: 080312 Time: 14:10
Sample adjusted: 2000M03 2011M12 Included observations: 142 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. DLR-1 -0.599167
0.077429 -7.738290
0.0000 C -0.003291
0.003983 -0.826261
0.4101 R-squared
0.299584 Mean dependent var 8.31E-18
Adjusted R-squared 0.294581 S.D. dependent var
0.056191 S.E. of regression
0.047195 Akaike info criterion -3.255093
Sum squared resid 0.311825 Schwarz criterion
-3.213462 Log likelihood
233.1116 Hannan-Quinn criter. -3.238176
F-statistic 59.88114 Durbin-Watson stat
2.093890 ProbF-statistic 0.000000
4.
Data Return Saham Level
Null Hypothesis: RSR has a unit root Exogenous: Constant
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-9.495405 0.0000
Test critical values: 1 level
-3.476805 5
level -2.881830
10 level
-2.577668 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DRSR
Method: Least Squares Date: 080312 Time: 14:11
Sample adjusted: 2000M03 2011M12 Included observations: 142 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. RSR-1 -0.776717
0.081799 -9.495405
0.0000 C 0.005519
0.006196 0.890749
0.3746 R-squared
0.391735 Mean dependent var 0.000859
Adjusted R-squared 0.387390 S.D. dependent var
0.094043 S.E. of regression
0.073607 Akaike info criterion -2.366172
Sum squared resid 0.758516 Schwarz criterion
-2.324541 Log likelihood
169.9982 Hannan-Quinn criter. -2.349255
F-statistic 90.16272 Durbin-Watson stat
1.980212 ProbF-statistic 0.000000
5. Data Varians Harga Minyak
Level
Null Hypothesis: RSR has a unit root Exogenous: Constant
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-9.495405 0.0000
Test critical values: 1 level
-3.476805 5
level -2.881830
10 level
-2.577668 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DRSR
Method: Least Squares Date: 080312 Time: 14:11
Sample adjusted: 2000M03 2011M12 Included observations: 142 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. RSR-1 -0.776717
0.081799 -9.495405
0.0000 C 0.005519
0.006196 0.890749
0.3746 R-squared
0.391735 Mean dependent var 0.000859
Adjusted R-squared 0.387390 S.D. dependent var
0.094043 S.E. of regression
0.073607 Akaike info criterion -2.366172
Sum squared resid 0.758516 Schwarz criterion
-2.324541 Log likelihood
169.9982 Hannan-Quinn criter. -2.349255
F-statistic 90.16272 Durbin-Watson stat
1.980212 ProbF-statistic 0.000000
Lampiran 2
1.2. Plot ACF dan PACF Data Harga Minyak Pada Data Level
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