Dampak guncangan faktor eksternal dan kebijakan domestik terhadap perekonomian Indonesia analisis kointegrasi antar pasar kawasan internasional
Lampiran 25 Lanjutan
Persamaan Nomor 25.6.
ECM untuk Variabel LP1 Dieslimasi OIch OLS W
sK
VAN31
.,
@D q a d e u Variabel Defcrcnsiasi Log IPI Non h4igas? dLPl )
-
Jmnlah Obsavasi 159 wntuk Periodc Eslimasi 1990M4 2003M6
R-Sqd
S.E.cfRepsskm
Mean of Depcndrm V d I e
hidual SumdSqmrs
Akaklnfo.Cdaim
DWsudaic
.33822
.OK0648
.I015386
-89757
164.9581
1.9143
R-Bar-Squaed
F a . F(20.138)
S.D.ofDcpardmt Vmi&k
m c mLog-IiJcdi
SchwnrrB.yesiin Cnbion
SyslcmLcg-likdihood
.2423 1
3.5265[.000]
.092651
385.9581
132.7346
1421.8
ECM imtuk Vriabd LE4 DieSbsi Okb OLS J3ahsis Koint@
VAR(3)
dengan Ikpmden Variabcl Def~cosiasiLag IaddrsNilai Tukar RpNSD ( dLE4 )
Jumlah Obsavasi 159 umtuk Paiodt Estimasi 1990M4 - 2003M6
-
-
I OOOO LY - 0 14626 LE4 0 022648 LR3 - 029550 LPI 0 0043420 Trad
-1268WLY+I0000U4+84593UII+0126551+4-14601 LR3:
I OOOO LNX4 113 8663 LC1 + 0 63034 LE4 + I 9 2787 U S + 53 6982 LPI + 0 46555 Trend.
-10202LY-012612LNX4+10000UIl-011336UU+0040833LPI-00015559Td
-
R-Squared
S.E.of Rcqcssim
Mean of Dcpndau Variabk
Residual Sum of Squas
W
e Info. Critaiaa
DW-stninic
18657
.MOO92
-.0095209
1.1201
147.3512
2.0143
R-Bar-Sqd
Flut. F(20,138)
S.D. of !%pedmt VariabIe
EquabooLog-hiihood
Scbaarr Bayesian Crilaim
Syslm Lq-likdihood
068678
l.S826[.065]
,093355
168.3512
115.1277
1421.8
Lampiran 25 Lanjutan
Pmamaan Nomor 25.8,
E M untuk Variabel LR3 Dicstimasi Oleh OLS Masis Kointegnsi VAR(3)
dengan Dependcn Variabcl Dehmissi Log Suku B~mgaUS4 Prime ( dLR3 )
Jumlah Observasi 159 umh& Puiode Estimasi 1990M4 2003M6
-
-
-
ecml = 1.0000LY - 0.14626 LE4 0.022648W - 0.29550LPI 0.0043420T&
ad- -126894LY+IoooOU4+84593LCI+O12655LE4-1WlW.
am2 = I 0000 LNX4 113 8663 LC1 +O 63034LE4 * 19 2787 US + 53 6982 LPI + 0 46555 T d .
d=
-10202LY-012612LNX4+loooOLCI-011336W+OWM133LPI-00015559Trcnd
-
R - S q d
S.E.of Rcpwica
Mean of Dcpcndeslt Vsrisbk
Rendual Sum of SquncJ
f i d c Info.Critaioa
DUrstatbtic
.21W
.032449
-.0053815
.I4530
309.7174
20368
R-Bar-Squad
F-sst. F( 20.138)
S.D.of Depadmt Vxiablc
Equulkm Log-I'iihood
Scb~m
B ~ c s i P Critsioo
I
S?ntrm h g h k d h o o d
,10580
l .9347[.014]
.034315
330.7174
277.4939
1421.8
Lampiran 26. Model Skuktud Kointegrasi VECM Over Idenlif;d Perekonomian
Indonesia dalam Keterkaitan P a w Uni E m p
Persamaan Nomor 26.1
ECM untuk Variabel Ll5 Difftimasi Oleh OLS B+s
Koiategrasi VAR(3)
dcogao Depcmlea Vaiabel Dcf'iasi Log Invcstasi dari Uni Eropa ( dLl5 )
Jumlah Obsavasi 159 umtuk Periode Estimasi 1990M4 - 2003M6
aml =
ecm2 =
d=
am4 =
m 5=
I.OOOOLY -0.092147 LNXS -0.14400LE5 -0.28470LPI -0.0033231 T M
I.OOOOLl5 -055954LR4+0.37525 US 3.4609LPI;
-020166LIS+ 1 . 0 0 0 0 ~ + 0 . 5 0 6 3 LES+O.21276LR4-0.572FS
8
LJS:
-0.84519LY - 0.37527 LNXS + I OOOO LC1 - 0.039768 LU.
- 5.0592 LNX.5 +42745 LC1 1.6685LE5 + loo00 LJS
R-Squared
S.E. of Regressicn
Mean of DcpmdmtV d c
RcsimLal Slim ofsqum
A w e Info. Gimia~
DW-sI&hc
-
-
.579%
1.3631
-.0076922
2.545423
-285.0210
1.9945
R-Bar-Sqd
F-stat F(21.137)
SD. of Dcpeodmt VBisMe
whg-likclkd
S c h m Bqtsim Crirsaa
S ~ k & i k k w d
.51557
9.0076[.000]
1.9584
-263.0210
-318.7789
1371.5
Lampiran 26 Lanjulan
Persamaan Nomor .26.2.
ECM untuk Variabel LNXS Diestimasi Oleb OLS Berbasis Koiotegrasi VAR(3)
Dqwdcn Vmisbel Defaensiasi Log Rasio EkspdJmpcw Tqum UE ( -5)
Jumlah Obsewasi 159 umhtk Periode Estimasi 1990M4 - 2003M6
CoelScit
Rcerusor
--
-
stl.dulEnw
-
T-RatiolPnM
-
=mi= 1.0000 LY 0.092147 LNXS - 0.14400 LE5 0.28470 LPl 0.003231 T d :
am2
loo00 U5 0.55954 LR4 + 0.37525 U S - 3 4609 LPI:
a m 3 - 0.20166 U5 + 1.0000 LNX5 + 0.50638 LW + 0.21276 LR4 0.57288 US:
am4 = 0.84519 LY 0.37527 LNXS + 1.0000 l i 1 - 0.039768 LECI;
am5 = 5.0592 LNXS + 4.2745 LC 1 1.6685 LES + 1.0000 US
-
-
-
-
..
-2
=lEX-2rn-3)
a 4 2 = LRX-ZWy-I)
dUS2 = US(-Zj-US(-3)
dLP12 = WI(-2WI(-3)
R-Squad
S.E.ofRcgressim
Mean of Depcndmt Variable
Rardual Sum of S q m a
A L - a i Info. Critsim
DW-statistic
,53420
.I7877
.010921
4.3783
37.9727
2.0051
R-Br-Squred
F-an. F(21.137)
S.D. of Dqua&aV.rkMe
Equatioo Lcg-liLdiboal
Scbwm-z~Cri(crao
Sjstan&kkdhcd
46280
7.4817f.000j
.24391
59.9727
4.2148
1371.5
ECM untuk Variabei LC1 Diestimasi Oleh OLS &rbasis Koint@
VAR(3)
den- Dependen Variabel Dcfamsiasi Log Koosvnsi R d Tangga ( dLC1 )
Jumlah Obsewasi 159 umtuk Paiode EstImasi 1990M4 2003M6
-
-- -
-
-
-
ecml = loo00 LY -0.092147 LNX5 0.14400 LE5 0.28470LPl 0.0033DI T
&
mo2
I.Wo0 LI5 - 0.55954 LR4 + 0.37525 LIS - 3.LPI;
sm3
0.20166 Ll5 + 1.0000 LNX5 + 0.50638 LES + 0.21276 LR4 - 0.57288 US;
ccml = 0.84519 LY 0.37527 LNXS + 1.0000LC1 0.039768LE5,
= 5.0592 LNX5 + 4.2745 LC1 1.6685 LE5 + 1.0000 US
-
-
-
-
dLCl= LCI-LC1 (-I)
dLYl
dL15l
dLN%S I
U l l
= LY(-1)-LY(-2)
= w-I)-LIY-2)
=m y - l k L N x 5 ( - 2 )
=LCI(-I)-EI(-2)
=L E S ~ - I ~ - L E ~ ; ~ ~
dLR4 1 = IRq-ltLR4(-2)
u s 1 = Us(-IpUs(-2)
dLPll = WI(-l>LPI(-2)
dLY2
= LY(-2)-LY(-3)
a 2 = LIy-Z)-LIy-3)
a w x S 2 = LNXy-2)-LNxy-3)
a 1 2 * XI(-2)-El(-3)
-2
=U S ( - 2 w - 3 )
a 4 2 = LR4(-2)-mqy3)
dus2 =US(-2)-us(-3)
dLP12 = Ill(-2)-mi(-3)
R-%=ed
S.E. of Regression
Mean of Dpmdea Vsiabk
Residual Sum*fo
Akaike Info. Critcrim
~w-ststisti~
.28094
.038394
.0055376
.20195
282.5456
1.9772
R - B P - m
F-slat F(21,137)
S.D.
VrLMe
Equauon Log-Likdibood
Schawz B.ycJi C d a i m
s-
~
o
g
-
w
.I7071
2.54881.0011
.042161
3045456
248.7876
1371.5
ECM Mtulr Variabel LIS Diestimasi Olcb OLS Behasis Kointegrsi VAR(3)
denggl Dcpcnden Variabcl Defcrensiasi Log IHSG di BE1 ( dLJS )
Jomlah Obsavasi 159 umtuk Paiodc Estimasi 1990M4 - W M 6
-
ecml = I.MXW) LY - 0.092147 LNXS 0.144lM LES - 0.28470 LP1- 0.0033231 Tnod;
cuo2 = I.MXW)US 0.55954 LR4 +0.37525 U S - 3.4609 LPI:
a m 3 = 0.20166 U5 + I0000 LNXS + 0.50638 LE5 r 0.21276 LR4 - 0.57288 US:
-
am4 =
ccd=
-2
- 0.84519LY - 0 37527 LNXS + loo00 LC1 - 0.039768 LE5:
-5.0592 LNXS +4.2745 LC1 - 1.6685 LES + l.0000 US
.-.--.-,
= WXy-Z)UfXS(-3)
U l Z =LCI(-2)ICI(-3)
dLE52 = LES(-Z)-W-3)
dLR42 = LR4(-2)4R4(-3)
U S 2 = Uy-2)US(-3)
dLPl2 = WI(-Z)-U'I(-3)
R-Squared
S.E. of Regcsiaa
Mean of Dcpadrm V d l e
Residual Sum 0fSqo.a
Akaike Lnto. Oisim
DW-statistic
.20895
-089205
-.0012680
1.0902
148.5020
2.0328
R-Ba-Sguarcd
F-slfl F( 21, 137)
SD. ofapmdrmVariable
Equm1011 Log-likelihood
SdnuaL Ekycsii Critaioo
Systan Log-likdihocd
.087692
1.m2f.0341
,093594
1705020
114.7U I
1371.5
Lampiran 26 Lanjutan
Persamaan Nomor 26.5.
-
-
-
ecml= 1.0000LY 0.092147 LNXS 0.14400 L.E.5 0.28470 LPI -0.0033231 Trad;
e d = 1.0000lJ5 -0.55954LR4+0.37525 U S -3.4609LPI;
ecm3 = 0.20166 U5 + 1.0000 LNXS +0.50638 LE
.5. +0.21276 LR4 0.57288 US;
ecru4 = -0.84519 LY 0.37527 LNXS + 1.0000 E l 0.039768 LES;
c c d = - 5.0592LNXS +42745 LC1 1.6685 LE5 + 1.0000 U S
-
-
-
-
-
dLY = LY-LY (-1)
dLYI
= LY(-I)-LY(-2)
dLl5 l = LIs(-l~Lly-2)
dLNx5 l = L N x s ( - L ~ - 2 )
dLCII -LCI(-I)-LcI(-2)
dLESl = LEY-I)-t2ZY-2)
dlR4l =1Ry.l)4RyY2)
dLlSl = UY-IWY-2)
dLPl l =LPL(-I)Lp1(-2)
dLY2 = LY(-2)-LY(-3)
&I52
= W-2)U5(-3)
dLNXS2 = LNXY-2turXy-3)
a 1 2 -U31(-2>LCl(-3)
dLES2 = m - 2 W ( - 3 )
R-Squsnd
S.E. of Rcgressim
Mean of Dcpadrm Vriabk
Residual Sum of S q a m
M
c Info. Crircrioa
DW-statistjc
,37538
-016212
.SO34621
-036007
419.6270
1.8138
R-Ba-Squad
F a . F(21.137)
S.D.of Dmui&a V.rirMc
EquationLag-likdihood
Schwaz w
m I3te-h
S.ydcmLog-Wibood
-27x3
3.9206(.0001
.019101
441.6270
385.8691
1371.5
ECM lmtulr Variabel MI Diestimasi Oleh OLS BB.basis Kointegmi VAR(3)
dcngan Dqmden Variabcl Dcfamsasi Log P I Non Migas ( dLP1)
Jumlah Obsavasi 159 u m h k Paiode Estimasi 1990M4 2003M6
-
Intercept
dLYl
-
-
s m l = 10000 LY 0.092147 LNXS - 0.14400 LE5 028470 LPI - 0.0033231 Tnod;
ccmZ = 1.0000 LI5 - 0.55954 LR4 + 0.375tS U S - 3.4609 LPI;
021113= 0.201fZjUS + 1.0000 LNXS +0.50638 LE5 +0.21276 LR4 -0.57288 U S ;
a m 4 = - 0.84519 LY 0.37527 LNXS + 1.WOO LC1 0.039768 LES;
ccm5 = 5.0592 LNXS + 4.2745 LC1 1.6685 LE5 + 1.OMX) US
-
-
. .
-
. .
R-Sguared
S
-
E. of Regession
Mean of Depend& V&1c
Residual Sum of Sqwcs
.;Lake inlo. Criterioa
DW-scatisti€
35988
.079607
.W15386
-116820
16.6030
1.9833
R-&-Squared
F-slaL F(21.137)
S.D.of Depmdatt Vaiabk
F q a t h Log-likelihood
Scb1~nB.ysi8nCriterioa
Sysocm Log-W;dihood
,26176
3.6677[.000]
39265 1
188.6030
132.8451
1371.5
Lampiran 26 Lanjutan
Persamaan Nomor 26.7.
ECM ~mtukVerisbel LF5 Diestimssi Oleh OLS &rbasis Koint*
VAR(3)
dengan Dcpenden Vmiabcl Dcfgglsiasi Log InNil& Tukar Rp/GBP ( dLES )
Jlrmlah Observasi 159 nmluk Paiode Estimssi 1990M4 - 2003M6
Reg-r
Cad6rient
Stlndvd E m r
T-lR.bl
w
I9993
.43712
.0074131
.M2967
20514
.0806M
,14354
079713
.IOggg
4266
.0053095
.C41026
,21138
,080671
.I4553
.O8M35
,095158
-44598
.OM973
.a32
,44713
.090192
-2.5839
.046981
.0084940
-.24288
-.081592
,038576
-.097308
,12417
t
dLY l
dLlS l
‘UNX.51
dLCI I
&El
dLR4 1
dWSl
dLPll
dLY2
dL152
dLNX52
dLCI2
dLE52
dLR42
dLlS2
MI2
ecml(-I)
ecd(-I)
ccm3(-I)
SN-1)
ecd(-I)
-098035
.87539
.OIW186
-.I5868
-.16239
467483
44371 1
12654
-.a9788
1.3339
-.I7078
-.83134
1.0303
-3m53
-
-
-
-
-
a m 1 = 1.Wa) LY 0.092147 lhlX5 0.144W LES 0.28470 LPl 0.0033231 Trad;
ecm2 = 1 . W LI5 -055954 LR4 +0.37525 US - 3.4609 LPI;
ecm3 = - 0.20166 LIS + 1.0000 LNXS +050638 LE.5 + 0.21276 LR4 0.57288 US:
-
&PI I
dLY2
&IS2
=
t~li-iwi(-i)
= LY(-I)LY(-3)
= 1.15t-2)-Us(-3]
m
2 = LNXS(-zwNx3(-3)
a 1 2 =LC1(-2~1(-3)
mE52 = LE5(-2Wf-3)
U 4 2 = IR4@)4RY-3)
U S 2 =US(-Z)US(-3)
dLP12 = LFI(-2)LpI(-3)
'
R-Squad
5 E,olRegcsas
Slean af D e p e n d m V d l e
Residual Sum ofSqolro
UiaQ InfoCrilcrna
DW-sutistic
R-%-Squad
Fstat. F( 21,137)
S.D. of apeodcmV8riablc
E q J a w Log-likdibood
SChw~zBayaianCritaioa
SyrtcmLog--
-1.2924[.1981
.10748[.915]
1 l458[.254J
4.5854[.000]
-.39n5[.691 j
.47832[.633]
-.67789[.4991
1.5577[.1221
-.89945[370]
I.~~~[.oso]
2.0~03[.042]
-3.8678[.MW)]
-.76824[.4441
-.83652(.404]
-.30036(.764]
1.5425[. 1251
-.523221.602]
2.9909[.0031
-3.7974[.000)
-3.51~.001]
2.304l[.023j
-3.4ZM1[0011
Lampiran 26 Lanjutan
Persamaan Nomor 26.8.
ECM unluk Variabel LR4 Diestimasi Oleb OLS W a s i s Kointegnsi VAR(3)
dmgan *den
Variabel Deferensiasi Log Suku Bunga LIBOR ( dLR4 )
-
Jumlsh Observasi 159 umtuk Pctiode Estimasi 1990M4 2003M6
Itcemror
coemciot
StandardError
T-RatiolPrebl
-
ecml= I.OaX) LY 0.092147 LNXS - 0.144M) LE5 - 0.28470 LPI - 0.0033231 Trend;
ecmZ = I.MY)O L15 0.55954 LR4 +0.37525 US - 3.4609 LPI:
ecm3 = -0.20l66 LIS + 1.0000 LNW + 0.50638 LE5 + 0.21276 LR4 - 0.57288 US;
am4= - 0.84519 LY - 0.37527 LNX5 + 1.0000 LC1 0.039768 LES;
em15 = -5.0592 W + 4 . 2 7 4 5 LC1 1.6685 L U + 1.OMX)US
-
-
dLR4 = LR4-LR4 (-I)
dLYl
= LY(-I)-LY(-2)
dLUl =wy-I)LIY-2)
dLNXSl = ~ - 1 ~ dLCl1 =LcI(-I)-LcI(-2)
dLF.51 = LEy-~~~2)
dLR4 1 =)2W
-!(4= us(-I)-US(-2)
QlSl
U l 1 =IP1(-I>LPI(-2)
an = LY(-~)-LY(-~)
dLS2 = Uy-Z)-LI5(-3)
dLNX52 W - 2 m - 3 )
dLCl2 =LcI(-2)-Lc1(-3)
LES(-2)-LW-3)
dLE52
dLR42 = IRy-2)Uq-3)
dLIS2 = us(-2)-US(-3)
dLP12 = LF'I(-2LpI(-3)
2
)
-
R-Squad
S.E. of Regrrrsim
Meglof D c p c n d r m V d c
Rsidual S~~olofSqlmcs
Akaike Mo.Crilaim
DW-stati&
.3 1453
,050210
-.013221
,34539
239.8821
1.9915
R-Bar-Squared
F-stat. F( 21; 137)
SD. of Dependmt Variable
& p a t h Log-Udibmd
Schuarz Bsycsian Crilwion
S-Log-W;dibmd
.20946
2.9935[.000]
.056472
261.8821
206.1242
1371.5
Lampiran 27. Model Stnrktural Kointegrasi VECM Over Idenrfed Pmekommh
Indonesia &lam Keterkaitan Pasar ROW
Persamaan Nomor 27.1.
ECM uahlk Variabel L16 Dicstimasi Oieh OLS Babssis K o M VAlU3)
deogan Depemh Variabel aefereasiasi Log Investesi daci R ~ (Wd U 6 )
Jumlah Obscrvasi 159 umtd Paiodc Estimasi 1990M4 2003M6
-
lntecept
dLY l
dL161
dLNX61
dLCll
LEA I
dLR3l
a s 1
dLPll
dLY2
dL162
d ~ ~ 4 2
dLM2
dWS2
dLPl2
ml(-I)
ccm2(-1)
d(-l)
w - 1 )
ccml
ccm2
eon3
ccm4
-.65 198
-1.6263
,36886
,99675
21.8308
-.99181
-17.03G
-3.8721
-
1.4411
3.6734
1.3106
1.5802
5.4187
-14067
2.5948
3.2570
-.452@.652j
-.44273[.659]
28144[.779]
.63016[.5291
4.0288[.0001
-~.oLw~[.ooo~
-6.5655[.0001
-1.1889[237]
= 1.0000 LY - 0.009929 L16 0.12675 LE4 - 0.34449 LPI - 0.0039588 Tnnd;
-
-
-
-
59149
1.4300
.0067310
RBP-Sguacd
F a . F( 20,138)
S.D. dDcDadmt Vr*bk
1.0000W6 18.1963 LNX6 9.2052 LFA- 6.9260 LR3 + 0.96732 LIS 1.UI52 LPI:
= 0.72503 LY + 1.0000 LNX6 + 0.21243 LE4 +OI&M5W -0.0062131 Trmd;
= 0.1 1518 LY + 1.0000 LC1 0.08971 1 US 0.44238 LPI - 0.0039447 T d
=
-
dL16 = LI6-LIq-I)
dLY I = LY(-IbLYf-2)
R-Sgd
S.E.of Regnssim
MtanofDcDoadmVrLblc
,53229
9.9906[.000]
2.0909
Lampiran 27 Lanjutan
Persamaan Nomor 27.2.
ECM unluk Variabd LNX6 Diestimasi Oleh OLS Battasis Kointewsi VAR(3)
Dcpenden Vmiabel Defatnsiasi Log Rasio EksporlImpor N M ~ u j u a n ' K (dLkX6)
0~
Jlrmlah Obsavasi 159 umtuk Pmode Estimasi 1990M4 2003M6
-
hrrrsor
M r d Error
Cocf&icnt
-
-
anal
= 1.0000 LY 0.009929U6 0.12675 LE4 - 034449 LPI
am2
=
=
ccm3
ecm4
-
T-R.tialPrnbl
0.0039588Trend;
l.WOO LM 18.1963 LNX6 9.2052 LEA -6.9260 LR3 +0.%732 U S 1.3052 LPI:
0.72503 LY + 1.0000 LNX6+0.21243 LE4+0.18405 LR3 -0.006213I T d
= 0.11518 LY + 1.0000 LC1 0.089711 U S 0.44238 LPI 0.0039447 Tread
-
..
.,
R-Squad
S.E. ofRcgwska
Mean of Depmdmt VrLMc
RssiduolSumd~
M e Mo. Critpim
~waatiaic
-
.60616
2.5751
.0079328
9.1512
-19.6374
1.8sn
-
-
-
R-Bar-Squared
F-staL F(20.138)
S.D. of Cepndmt Vniable
Log-Wrdbmd
S c b m !hpm Critrrion
system Log-blrdibood
,54908
10.61%(.000]
.38349
1.3626
-51.8609
1384.1
Lampiran 27 Lanjutan
Persamaan Nomor 27.3.
ECM uniuk Vaiabcl LC1 Dieaiumi Oleh OLS Bea-ba& Kointegnsi VAR(3)
dengan Depcndm Variabel Defmsiasi Log Konsumsi R d Tangga (dLCI)
Jumlah Obsavasi 159 umtuk Periode Estimasi 1990M4 - 2003M6
am1
ecm2
ecm3
am4
=
=
=
=
-
-
.-,- ~
-, ~ .
dLNX62 = LNXq-2)-LNX6(-3)
dLCl2 -El(-2)-El(-3)
dLF32 = LE4(-2)-LE4(-3)
dLR32 LR3(-2)-LR3(-3)
u s 2 = US(-2)-LE(-3)
dLP12 = LPI(-2)-LPl(-3)
R-Squand
S.E. of R e p s i o n
Mean of I k p m d d VI.Lbk
Residual SumdSquacr
A h k c Info. Oivrioo
-
DW-
-
-
1.0000 LY -0.009929 Ll6 0.12675 LE4 - 0.34449 LPI 0.0039588Trad;
I.OM)OL16 18.1%3 LNX6-9.2052 LE4 -6.9260 LR3 +0.%732 U S 1.3052 LPI;
0.72503 LY + 1.0000 LNX6 +0.21243 LE4 + 0 18405 LR3 - 0.0062131 Trmd.
0.11518 LY + 1.0000LC1 0.089711 U S - 0.4238 LPI 0.0039447 Tread
-
-
-
ECM lmtuk Variabel LJS Die&nasi O M OLS F3ah.i~fhhtwmi VAR(3)
.,
dD c p d c a Variabcl DefacosisFi Log LHSG di B U TdLJs )
Jlrmlah Obscrvasi 159 umtuk Periodc Estimffi 1990M4 2003M6
-
Stuukrd Error
Rcpresmr
-
-
ccml
= I.Wo0 LY 0.009929 U6 0.12675 LE4 - 0.34449 LPI - 0.0039588 Trad;
=mZ
=
T-~tiolPmbl
-
1.Wo0 L16 - 18.1%3 LNX6-9.2052 LE4 -6.9260 LR3 +0.%732 U S 1.3052 LPI:
= 0.72503 LY + I.Wo0LNX6 +0.21243 LFA+0.18405 LR3 -0.0062131 Trmd;
= - 0.11518 LY + 1.WOO LC1 - 0.08971 1 U S - 0.44238 LPI 0.0039447 Trmd
ccd
-
ccm4
-
d W 2 ~Ry-i)-LR3i4')
U S 2 = US(-2)-US(4)
dLP12 = LPI(-2)-MI(-3)
R-Sqd
S.E. of IZepsAm
Mean of Depadmt Variable
Residual Sum ofe Info.Critsica
DW-statistic
M
.17079
.091000
-.0012680
1.1428
145.7571
1.9944
R-Bar-Squatrd
Fatat F(20.138)
S.D. ofDqwdmt Vmable
Eqwticm J-og-Wrdikd
Schwan B q & i Criterion
SrS(a0Log-Lilrdibood
.050619
1.4212[.122]
.093394
166.7571
113.5336
1384.1
ECM crmuk Variabel LY Diestimasi Oleb OLS M
s Koiotegrasi VAR(3)
dengan Depu~dcnVminlxl Dd&nsi&
LogRodulr Brut0 ( dLY )
J d a b Obsavasi 159 mtok Paiodc Estimasi 1990M4 - 22003M6
-
1.0000 LY 0.009929 L16 - 0.12675 LE4 -0.34449 LPI -0,0039588T w
1.0000 L16 18.1%3 LNX6 9.2052 LE4 6.9260 W + 0.96732 LIS 1.3052 LPI;
= 0.72503 LY + 1.0000 LNX6+0.21243 LE4 +O.I&PaSW -0.0062131 Trend;
= -0.l1518 LY + 1.0000 LC1 0.08971 I US 0.44238 LP1- 0.0039447 Trend
an1
eem2
=
=
cud
ecd
-
-
-
-
-
dLY = LY-LY(-I)
dLY I LY(-1)-LY(-2)
a 1 6 1 = L1q-1)-LIq-2)
dLNX61= LNX6(-I)-LNXq-2)
U L I = Kl(-l)-LC1(-2)
dLE41= LUy-1)-LE4(-2)
dLR3 I LRy-I)-L.R3(-2)
dUSl = US(-l)-Us(-2)
dLP11 = LPI(-I>LPI(-2)
dLY2 = LY(-2)-LY(-3)
d l 6 2 L16(-2M-3)
-
-
. .
.
,
R-Sqd
S.E. of R e p s i a n
Mean of Depeodcot Variable
Residual Sum *
f
o
Maike lnfo.Critcrim
DW-staimc
-36608
.016273
-0034621
.036544
419.4518
1.8199
R-&-Squared
F-W
~ ( 2 0138)
.
S.D. of Dqmdcnt V d I e
E q m h log-Widibocd
ScbaarzBapm Critaian
Sytcm Log-likclihmd
.27420
3.9846[.000]
.019101
440.4518
3872283
13841
Lampiran 27 Lanjutan
Persamaan Nomor 27.6.
ECM I&
Variabel LPl D i M O l d OLS
Kointcgrssi VAR(3)
dmgaa Depden Variabe.1 Defau~siasiLog IPI Non hCqgs ( dLP1)
J d a h Obsavasi 159 umtuk Paiode. Estimasi 1990M4 - 2003M6
-
-
-
-
= 1.0000 LY 0.009929 L16 -0.12675 LE4 0.34449 LPI 0.0039588 T
m l
am2
-
-
d;
-
1.0000 L16 - 18.1963 LNX6 92052 LFA 6.9260 LR3 +0.%732 US 1.3052 LPI;
= 0.72503 LY + 1.0000 LNX6 +0.21243 LFA +0.1&105 LR3 - 0.0062131T&
= 0.11518 LY + 1.0000 LC1 0.089711 U S 0.44238 LPI 0.0039447 Trcrd
ccm3
-
am4
-
-
.~,
dLR32 1~$-ikLR3(-3)
u s 2 = US(-2)-US(-3)
dLPl2 PI(-Z)-LPI(-3)
R-Squared
-
S.E.of&R
Mean ofDepmhl Vaiabk
Resi&al Sum d Stpzm
W e Info. Oitsim
DW-natistie
-
.31208
.082226
.OO15386
.93303
161.8777
1.9370
R-Bar-Squared
F-stat F( 20,138)
S.D. of Depadmt Vaiabk
E q d a l Log-likdibcul
ScbwarzBapiao Cri&
System L o g - W i
.21238
3.1302(.000]
.09265 1
182.8777
129.6542
1364.1
Lampiran 27 Lanjutan
Persamaan Nomor 27.7.
ECM d Variabcl LE4 Diestimi Oleh OLS Babasis Kointegmi VAR(3)
dengan Dcpcndcn Variabel Defaarsiasi Lag In& Nilm Tukar RplCRD ( dLEQ )
J d a h Obsavasi 159 umtuk P e r i d Estimssi 1990M4 - 2003M6
m l
am2
am)
am4
=
=
=
=
-
-
-
1.OWO LY 0.009929W6 - 0,12675 LE4 0.34449LPI 0.0039588 Tread;
1.0000 L16 18.1%3 LNX6 9.2052 LE4 6.9260 LR3 +0.%732 US 1.3052 LPI;
0.72503 LY + I MMOLNX6 +0.21243 LE4 +0.18405 LR3 -0.0062131 Trad
-0.II.518 LY + I M M O LC1 0.089711 US -0.44238 LPI 00039447 T r d
-
-
-
-
~ L P I=Z~pI(-j)-wi(-i)
R-Squared
S.E. of Rcgr*
Mean of Dependw Vriable
Residual Sum of Squms
Al;aile Info. C ~ i ~ u i a l
DW-natislic
.24448
,086826
-.0095209
1 .I403
153.2228
2.0290
R-Bar-Sqd
F-smt. F( 20.138)
S.D.of Dcpadcot Vmable
E q d c n Log-lilidihood
Schww Baycdm Crimmn
SySem L o g - l i k d ' i
,13498
2.2328[.~]
.a93355
174.2228
1209993
1384.1
Lampiran 27 Lanjutan
Persamaan Nomor 27.8.
ECM untuk Veriabel LR3 Dicstimasi Oleh OLS &rbssis Koint-
ccml
ecd
am3
am4
-
VAR(3)
= 1.0000 LY -0.009929 L16 0.12675 LE4 - 0.34449 LPI - 0.0039588 Trad;
= 1.0000 Ll6 18.1963 LNX6 9.2052 LM 6.9260 W + 0.96732 US I 3 5 2 LPI;
-
--
-
-
-
0.72M) LY + 1.WM) LNX6+021243 LE4 +0.18405 W -0.0062131 T&
= 0.11518 LY + 1.0000 LC1 0.08971 1 U S -0,44238LF'I - 0.0039447 Trmd
-
7
~~~~.
-,
dLNX62 &~6(-2>LNX6(-3)
dU312 = El(-ZbLCI(-3)
dLE42 = LE4(-2).LE4(-3)
dLR32 = W(-2)-w(-3)
U S 2 = US(-Z)-US(-3)
dLPl2 = LPI(-2)-LPI(-3)
R-Squad
S.E. of Rcgcsim
Mean of Dcpdent Variable
Residual Sum of squms
W e Info. Crituim
DW-natlsbc
.2213 1
.032400
-.0053815
,14487
309.9542
2.0652
R-Bar-Squared
F-stat. F( 20. 138)
S.D. of Depmdcnc V d l e
Equatica Log-likd:dihood
S c h w ~ 1 E q c s i ai1k a i m
Syslrm Log-lilrdibmd
.I0846
1.%10(.013]
-034315
330.9542
277.7307
1384.1
Lampiran 28. Model S k u k t d Kointegmi VECM Over Identifd Perekonomian
Agroindustri Indonesia dalam KeterLHitan Pasar Internasional %cam
Agregat
Persamaan Nomor 28.1.
ECM uneuk Variabcl LIF Diestimasi Oleh OLS Babasis Kointcgrasi VAR(3)
den- Dependen V
1
Defuamki Log Invcstasi Luar Negai ( dLIF )
-
Jumlah Obsavasi 159 umtuk Paiodt FAmssi 1990M4 2003M6
~LNTZ
ml(-1)
=d(-l)
d(-1)
ecml
eemZ
ean:
=
-.SSOI
.73386
.063861
,013288
.0075362
-.43820
-.0081669
-.024L 13
-
-
-1.1923i.23sj
-6.8618[.000]
-.61463[.540)
-3.19971.0021
LY +0.96491 LIF - 0.52818 LNXA-2.1214 LL 0.48336 LT 1.9697 LP2 +0.0064398 T
-
d,
= LIF + 1.6338LNXA + 15.4987 LC2 - 0.30902 US - 53.7334 LL 0.26182 LPZ + 3.9436 LNT;
= 23.0661 LY + LNXA - 45.5253 LC2 + 5.1702 U S + 7.2044 LT + 16.0933 LP2 + 7.0744 LNT +
0.054787 Trmd
S.E. bf~egssioo
t&an of DepQdem\'ri.bk
Rmdual Sumol+ms
A h k c Info. Critam
DU'5mtidk
.I5726
-.OM3410
3.3881
58.3543
1.9326
F a b t ~(21,137)
S.D. of Dspeda*VrLMc
EqudollL@khmd
SrbwnByaiac+aaaO
Sys(caLog-tilrdibmd
3.1092[.000]
,17794
80.3543
24.5964
2440.9
Lampiran 28 Lanjutan
Persamaan Nomor 28.2.
ECM untulr Variabcl LNXA Diestimasi Olcb OLS Berbasis Kointegrasi VAR(3)
Depaden Variaba Dcfacnsiasi Log Rasio Eksporhpa
( dLNXA )
Jumlah Obsavmi 159 umtuk Periodc Esb'masi 1990M4 - 2003M6
~~
dLLl
dLTl
,089924
.54546
,17614
1.3250
,19440
.34493
.92934
-.051065
.0068109
-.I5454
dLNXA2
dLC22
US2
dLL2
dLT2
-.31099
2075 1
.27249
-30746
,15152
-.025659
.OW5897
dLP22
dLNT2
am](-I)
&(-I)
ccm3(-1)
-
-
.OS08R
,016827
.OD95435
-
-.56786i.~71j
.012486[.990]
-.87736[.3821
-23470[.815]
1.0675[.288]
.78997[.4311
-.33084[.74lI
1,87361.063)
-1.5249[.130]
.48092[.631]
ccml LY +0.96491 LIF -0.52818 LNXA -2.1214 LL 0.48336 LT 1.9697 LP2 +O.M)64398 T 4
am2 = LIF + 1.6338 LNXA + 15.4987 U3L 0.30902 US 53.7334 LL 0.26182 LP2 + 3.9436 LNT:
eem3 = 23.0661 LY + LNXA - 45.5253 LC2 + 5.1702 U S + 7.2044 LT + 16.0933 LP2 + 7.0744 LNT +
0.054787 Tnod
dLC21 = Lc2(.ljLt52(-2)
u s 1 = US(-1)-US(-2)
dLL I = LU- I FLU-2)
dLTl = LT(-IkLT(-Z)
d ~ n= LT(-$LT~-~~
dLP22 = LP2(-2>LPZ(-3)
dLhT2 = LNT(-2)-LNT(-3)
RSguaaed
S.E.of Rcgressim
MeanofD€QmdauV.ri.Me
ResimulSumdSqurcs
Akaikc Info. Oitsiao
DWslatistic
-
.
-
-
.
,25325
.19915
-.0038880
5.4335
m.sos8
20292
K-Bar-Sqused
.I3879
F s u t F(21.137)
22125[.003]
SD. ofDcpmdm~V.nrMe
.21460
Equdm l ~ & M h d
42.11068
s c b ~ ~ n ~ a i . o ~ r i ~ s i o o -12.9511
SyamnhgSdihd
2440.9
ECM tmtuk Variebd LC2 Diestimasi Oleb OLS B e a k i s Koimegmi VAR(3)
dengan Depeodeo Variabcl Defacnsiasi Log Konsumsi RT dm Pancrintab ( dLC2 )
J d a b Observasi 159 umtnk Periodc Estimasi 1990M4 - 2003M6
WS2
dLL2
dLT2
dLP22
dLNT2
ml(-I)
,031651
-.I4285
-.058570
-.095417
-.11931
-.016341
-.011427
.0062173
mm3(- I)
-
-
.0295Pd
,22255
.032650
.057934
.I5609
.013583
,0028262
.W16029
1.0699i284
-.64191[.522]
-1.7939[.075)
-1.6470[. 1021
-.76435[.446]
-1.2031[.231]
4.0433[.MK)]
3.8787[.0001
a m 1 = LY + 0.%491 LIF 0.52818 LNXA 2.1214 LL -0.48336 LT - 1.%97 LF2
' +O.(W164398Tnad;
-
a m 2 = LIF + 1.6338 LNXA + 15.4987 LC2 0.30902 U S - 53.7334 LL 0.26182 LPZ + 3.9436 LNT,
ccm3 = 23.0661 LY + LNXA 45.5253 LC2 + 5.1702 U S + 7.2044 LT + 16.0933 LP2 + 7.0744 LNT
0.054787 T m d
dLC2
-
= LC2-LC2(-1)
dLYl = LY(-1)-LY(-2)
~ L K I =LIF(-I)-L~-~)
dLNXAl = LNW-1)-LNxA(-2)
dLC21 = K2(-1)-LCY-2)
dLIS 1 US(-I)-US(-2)
dLL 1 = LL(- I).LU-2)
&TI
= LT(-I)-LT(-2)
dLF2 l = LPX- L)-LPZ(-2)
CNTI = LNT(-l)-LNT(-2)
dLY2 = LY(-2)-LY(-3)
dLIF2 = LIF(-2)-LE(-3)
dLNXA2 = LNXA(-2)-LNXA(-3)
dLC22 = LCU-2)-LCU-3)
-
dLNT2 = L N T ( - ~ ~ & T ( - ~ )
R-Squared
S.E. of Rcgrcssiao
Mean of Depmdcnt VrLbk
ResidwIS~lmdSqura
Akaike Info.Oiraim
DW-sa&k
,37453
.033449
.OD49582
-15328
H14.4699
1.8011
R-Bar-S&
F-stat F(21.137)
S.D.of Depmda*Voi.Me
l&~hL&&dihd
SchsmByaimCrilcrm
SmLoglilrdiboal
,27865
3.9064[.OOO]
.039383
326.4699
270.7120
244Q.9
+
Lampiran 28 hjutm
Persamaan Nomor 28.4.
ECM mtuk Vriabel U S Diestimasi Oleb OLS Babasis Kointegrasi VAR(3)
dmDcpeadco Variabel Dtfcre~siaPiLog IHSG di BFJ ( U S )
Jumlah Observasi 159mtuk Paiodc Esbimasi 1990M4 2003M6
-
-
-
-
-
am1 = LY + 0.96491 UF 0.52818 LNXA 2.1214 LL 0.48336 LT 1.9697 LP2 + 0.W398 Trmd;
ccm2 = LIF + 1.6338 LNXA + 15.4987 LC2 0.30902 US 53.7334 LL 0.26182 LP2 + 3.9436 LNT;
eem3 = 23.0661 LY + LNXA - 45.5253 LC2 + 5.1702 US + 7.2044 LT + 16.0933 LP2 + 7.0744 LNT +
0.M4787 T d
-
-
dLJS = US-US(-I)
dLYl
dLtF1
= LY(-I)-LY(-2)
= LIF(-INIF(-2)
dLP22 = ~ P I ( - i b e - 3 )
dLNT2 = LNT(-2)-LNT(-3)
R-Squd
S.E. of Rcgrcsim
Mean of Dc(mdmVpLbl
RsihursamdSplrcp
Akaikeinfo.Crncrioa
DW-
,22925
.088053
-.0012680
1.0622
1505692
1.9568
R-%-&pad
F-s&t F(21.137)
S.D.ofDspmdmt VaidAc
Eqwlim-
SchwazBayuim~
S y s M l Log-likdhmd
.11111
1.9405[.013]
093394
1725692
116.8112
2440.9
Lampiran 28 Lanjutan
Persamaan Nomor 28.5.
ECM mluk Variabel LY Distimasi Oleb OLS Berbasis K o h t e p i VAR(3)
dcngen Dependen Variabcl Defawisiasi Log Roduk Dancstilt Ehuto ( dLY )
J d a h Obsavasi 159 umtuk Paiodt Estimasi 1990M4 M03M6
-
-
-
Stan&rd Error
-C
T-WlRobl
u s1
dLLl
-
-
-
-
-
m l = LY + 0.96491 LIF 0.52818 W X A 2.1214 U 0.48336 LT 1.9697LP2 0.0064398 Trend.
e e d = LIF + 1.6338 L W + 15.4987 LC2 0.30902 US 53 7334 LL 0 26182 LP2 + 3.9436 LhT.
eem3 = 23.0661 LY + LNXA - 45.5253 LC2 + 5.1702 US + 7.2044 LT + 16.0933 LP2 + 7.0744 LhT
0.054787 T d
-
-
..
dLC2l = Lc2(-liLC2(-2)
aus I = us(-ous(-r)
dLLl = LU-I)-LU-2)
&TI
= LT(-IbLT(-2)
dLP21 = LW-IkLPy-2)
dLNTl = LNT(-1)-LNT(-2)
dLY2 = LY(-2hLY(-3)
&IF2 = LIF(-2W(-3I
dLNXAz = mki(-ztiEjXA(-3)
dLC22 L C ~ - 2 ~ - 3 )
US2 = Ws(-2)US(-3)
LU-2m-3)
dLL2
LT(-2)-LT(-3)
dLT2
dLP22 = LP2(-2)-LP2(-3)
dLNT2 = LNT(-2)-LNT(-3)
P.-Squared
SE.of Rcgressim
ManofDepcndrmVrlihk
Rsrmul Sum dSqures
Akaike Info.Crhriao
DW-sIaiistic
-
--
,22799
.018024
.0034621
R-Bar-Squared
Faat. F( 21,137)
SD.-fo
VailMe
402.7844
1.93%
EquatmLog-w
SchwuzB.ysm~Oicrioa
SyrtrmLog-likdibd
.Wm
.I0965
1.9266[.014]
.019101
424-7844
369.0265
2440.9
+
Persamaan Nomor 25.6.
ECM untuk Variabel LP1 Dieslimasi OIch OLS W
sK
VAN31
.,
@D q a d e u Variabel Defcrcnsiasi Log IPI Non h4igas? dLPl )
-
Jmnlah Obsavasi 159 wntuk Periodc Eslimasi 1990M4 2003M6
R-Sqd
S.E.cfRepsskm
Mean of Depcndrm V d I e
hidual SumdSqmrs
Akaklnfo.Cdaim
DWsudaic
.33822
.OK0648
.I015386
-89757
164.9581
1.9143
R-Bar-Squaed
F a . F(20.138)
S.D.ofDcpardmt Vmi&k
m c mLog-IiJcdi
SchwnrrB.yesiin Cnbion
SyslcmLcg-likdihood
.2423 1
3.5265[.000]
.092651
385.9581
132.7346
1421.8
ECM imtuk Vriabd LE4 DieSbsi Okb OLS J3ahsis Koint@
VAR(3)
dengan Ikpmden Variabcl Def~cosiasiLag IaddrsNilai Tukar RpNSD ( dLE4 )
Jumlah Obsavasi 159 umtuk Paiodt Estimasi 1990M4 - 2003M6
-
-
I OOOO LY - 0 14626 LE4 0 022648 LR3 - 029550 LPI 0 0043420 Trad
-1268WLY+I0000U4+84593UII+0126551+4-14601 LR3:
I OOOO LNX4 113 8663 LC1 + 0 63034 LE4 + I 9 2787 U S + 53 6982 LPI + 0 46555 Trend.
-10202LY-012612LNX4+10000UIl-011336UU+0040833LPI-00015559Td
-
R-Squared
S.E.of Rcqcssim
Mean of Dcpndau Variabk
Residual Sum of Squas
W
e Info. Critaiaa
DW-stninic
18657
.MOO92
-.0095209
1.1201
147.3512
2.0143
R-Bar-Sqd
Flut. F(20,138)
S.D. of !%pedmt VariabIe
EquabooLog-hiihood
Scbaarr Bayesian Crilaim
Syslm Lq-likdihood
068678
l.S826[.065]
,093355
168.3512
115.1277
1421.8
Lampiran 25 Lanjutan
Pmamaan Nomor 25.8,
E M untuk Variabel LR3 Dicstimasi Oleh OLS Masis Kointegnsi VAR(3)
dengan Dependcn Variabcl Dehmissi Log Suku B~mgaUS4 Prime ( dLR3 )
Jumlah Observasi 159 umh& Puiode Estimasi 1990M4 2003M6
-
-
-
ecml = 1.0000LY - 0.14626 LE4 0.022648W - 0.29550LPI 0.0043420T&
ad- -126894LY+IoooOU4+84593LCI+O12655LE4-1WlW.
am2 = I 0000 LNX4 113 8663 LC1 +O 63034LE4 * 19 2787 US + 53 6982 LPI + 0 46555 T d .
d=
-10202LY-012612LNX4+loooOLCI-011336W+OWM133LPI-00015559Trcnd
-
R - S q d
S.E.of Rcpwica
Mean of Dcpcndeslt Vsrisbk
Rendual Sum of SquncJ
f i d c Info.Critaioa
DUrstatbtic
.21W
.032449
-.0053815
.I4530
309.7174
20368
R-Bar-Squad
F-sst. F( 20.138)
S.D.of Depadmt Vxiablc
Equulkm Log-I'iihood
Scb~m
B ~ c s i P Critsioo
I
S?ntrm h g h k d h o o d
,10580
l .9347[.014]
.034315
330.7174
277.4939
1421.8
Lampiran 26. Model Skuktud Kointegrasi VECM Over Idenlif;d Perekonomian
Indonesia dalam Keterkaitan P a w Uni E m p
Persamaan Nomor 26.1
ECM untuk Variabel Ll5 Difftimasi Oleh OLS B+s
Koiategrasi VAR(3)
dcogao Depcmlea Vaiabel Dcf'iasi Log Invcstasi dari Uni Eropa ( dLl5 )
Jumlah Obsavasi 159 umtuk Periode Estimasi 1990M4 - 2003M6
aml =
ecm2 =
d=
am4 =
m 5=
I.OOOOLY -0.092147 LNXS -0.14400LE5 -0.28470LPI -0.0033231 T M
I.OOOOLl5 -055954LR4+0.37525 US 3.4609LPI;
-020166LIS+ 1 . 0 0 0 0 ~ + 0 . 5 0 6 3 LES+O.21276LR4-0.572FS
8
LJS:
-0.84519LY - 0.37527 LNXS + I OOOO LC1 - 0.039768 LU.
- 5.0592 LNX.5 +42745 LC1 1.6685LE5 + loo00 LJS
R-Squared
S.E. of Regressicn
Mean of DcpmdmtV d c
RcsimLal Slim ofsqum
A w e Info. Gimia~
DW-sI&hc
-
-
.579%
1.3631
-.0076922
2.545423
-285.0210
1.9945
R-Bar-Sqd
F-stat F(21.137)
SD. of Dcpeodmt VBisMe
whg-likclkd
S c h m Bqtsim Crirsaa
S ~ k & i k k w d
.51557
9.0076[.000]
1.9584
-263.0210
-318.7789
1371.5
Lampiran 26 Lanjulan
Persamaan Nomor .26.2.
ECM untuk Variabel LNXS Diestimasi Oleb OLS Berbasis Koiotegrasi VAR(3)
Dqwdcn Vmisbel Defaensiasi Log Rasio EkspdJmpcw Tqum UE ( -5)
Jumlah Obsewasi 159 umhtk Periode Estimasi 1990M4 - 2003M6
CoelScit
Rcerusor
--
-
stl.dulEnw
-
T-RatiolPnM
-
=mi= 1.0000 LY 0.092147 LNXS - 0.14400 LE5 0.28470 LPl 0.003231 T d :
am2
loo00 U5 0.55954 LR4 + 0.37525 U S - 3 4609 LPI:
a m 3 - 0.20166 U5 + 1.0000 LNX5 + 0.50638 LW + 0.21276 LR4 0.57288 US:
am4 = 0.84519 LY 0.37527 LNXS + 1.0000 l i 1 - 0.039768 LECI;
am5 = 5.0592 LNXS + 4.2745 LC 1 1.6685 LES + 1.0000 US
-
-
-
-
..
-2
=lEX-2rn-3)
a 4 2 = LRX-ZWy-I)
dUS2 = US(-Zj-US(-3)
dLP12 = WI(-2WI(-3)
R-Squad
S.E.ofRcgressim
Mean of Depcndmt Variable
Rardual Sum of S q m a
A L - a i Info. Critsim
DW-statistic
,53420
.I7877
.010921
4.3783
37.9727
2.0051
R-Br-Squred
F-an. F(21.137)
S.D. of Dqua&aV.rkMe
Equatioo Lcg-liLdiboal
Scbwm-z~Cri(crao
Sjstan&kkdhcd
46280
7.4817f.000j
.24391
59.9727
4.2148
1371.5
ECM untuk Variabei LC1 Diestimasi Oleh OLS &rbasis Koint@
VAR(3)
den- Dependen Variabel Dcfamsiasi Log Koosvnsi R d Tangga ( dLC1 )
Jumlah Obsewasi 159 umtuk Paiode EstImasi 1990M4 2003M6
-
-- -
-
-
-
ecml = loo00 LY -0.092147 LNX5 0.14400 LE5 0.28470LPl 0.0033DI T
&
mo2
I.Wo0 LI5 - 0.55954 LR4 + 0.37525 LIS - 3.LPI;
sm3
0.20166 Ll5 + 1.0000 LNX5 + 0.50638 LES + 0.21276 LR4 - 0.57288 US;
ccml = 0.84519 LY 0.37527 LNXS + 1.0000LC1 0.039768LE5,
= 5.0592 LNX5 + 4.2745 LC1 1.6685 LE5 + 1.0000 US
-
-
-
-
dLCl= LCI-LC1 (-I)
dLYl
dL15l
dLN%S I
U l l
= LY(-1)-LY(-2)
= w-I)-LIY-2)
=m y - l k L N x 5 ( - 2 )
=LCI(-I)-EI(-2)
=L E S ~ - I ~ - L E ~ ; ~ ~
dLR4 1 = IRq-ltLR4(-2)
u s 1 = Us(-IpUs(-2)
dLPll = WI(-l>LPI(-2)
dLY2
= LY(-2)-LY(-3)
a 2 = LIy-Z)-LIy-3)
a w x S 2 = LNXy-2)-LNxy-3)
a 1 2 * XI(-2)-El(-3)
-2
=U S ( - 2 w - 3 )
a 4 2 = LR4(-2)-mqy3)
dus2 =US(-2)-us(-3)
dLP12 = Ill(-2)-mi(-3)
R-%=ed
S.E. of Regression
Mean of Dpmdea Vsiabk
Residual Sum*fo
Akaike Info. Critcrim
~w-ststisti~
.28094
.038394
.0055376
.20195
282.5456
1.9772
R - B P - m
F-slat F(21,137)
S.D.
VrLMe
Equauon Log-Likdibood
Schawz B.ycJi C d a i m
s-
~
o
g
-
w
.I7071
2.54881.0011
.042161
3045456
248.7876
1371.5
ECM Mtulr Variabel LIS Diestimasi Olcb OLS Behasis Kointegrsi VAR(3)
denggl Dcpcnden Variabcl Defcrensiasi Log IHSG di BE1 ( dLJS )
Jomlah Obsavasi 159 umtuk Paiodc Estimasi 1990M4 - W M 6
-
ecml = I.MXW) LY - 0.092147 LNXS 0.144lM LES - 0.28470 LP1- 0.0033231 Tnod;
cuo2 = I.MXW)US 0.55954 LR4 +0.37525 U S - 3.4609 LPI:
a m 3 = 0.20166 U5 + I0000 LNXS + 0.50638 LE5 r 0.21276 LR4 - 0.57288 US:
-
am4 =
ccd=
-2
- 0.84519LY - 0 37527 LNXS + loo00 LC1 - 0.039768 LE5:
-5.0592 LNXS +4.2745 LC1 - 1.6685 LES + l.0000 US
.-.--.-,
= WXy-Z)UfXS(-3)
U l Z =LCI(-2)ICI(-3)
dLE52 = LES(-Z)-W-3)
dLR42 = LR4(-2)4R4(-3)
U S 2 = Uy-2)US(-3)
dLPl2 = WI(-Z)-U'I(-3)
R-Squared
S.E. of Regcsiaa
Mean of Dcpadrm V d l e
Residual Sum 0fSqo.a
Akaike Lnto. Oisim
DW-statistic
.20895
-089205
-.0012680
1.0902
148.5020
2.0328
R-Ba-Sguarcd
F-slfl F( 21, 137)
SD. ofapmdrmVariable
Equm1011 Log-likelihood
SdnuaL Ekycsii Critaioo
Systan Log-likdihocd
.087692
1.m2f.0341
,093594
1705020
114.7U I
1371.5
Lampiran 26 Lanjutan
Persamaan Nomor 26.5.
-
-
-
ecml= 1.0000LY 0.092147 LNXS 0.14400 L.E.5 0.28470 LPI -0.0033231 Trad;
e d = 1.0000lJ5 -0.55954LR4+0.37525 U S -3.4609LPI;
ecm3 = 0.20166 U5 + 1.0000 LNXS +0.50638 LE
.5. +0.21276 LR4 0.57288 US;
ecru4 = -0.84519 LY 0.37527 LNXS + 1.0000 E l 0.039768 LES;
c c d = - 5.0592LNXS +42745 LC1 1.6685 LE5 + 1.0000 U S
-
-
-
-
-
dLY = LY-LY (-1)
dLYI
= LY(-I)-LY(-2)
dLl5 l = LIs(-l~Lly-2)
dLNx5 l = L N x s ( - L ~ - 2 )
dLCII -LCI(-I)-LcI(-2)
dLESl = LEY-I)-t2ZY-2)
dlR4l =1Ry.l)4RyY2)
dLlSl = UY-IWY-2)
dLPl l =LPL(-I)Lp1(-2)
dLY2 = LY(-2)-LY(-3)
&I52
= W-2)U5(-3)
dLNXS2 = LNXY-2turXy-3)
a 1 2 -U31(-2>LCl(-3)
dLES2 = m - 2 W ( - 3 )
R-Squsnd
S.E. of Rcgressim
Mean of Dcpadrm Vriabk
Residual Sum of S q a m
M
c Info. Crircrioa
DW-statistjc
,37538
-016212
.SO34621
-036007
419.6270
1.8138
R-Ba-Squad
F a . F(21.137)
S.D.of Dmui&a V.rirMc
EquationLag-likdihood
Schwaz w
m I3te-h
S.ydcmLog-Wibood
-27x3
3.9206(.0001
.019101
441.6270
385.8691
1371.5
ECM lmtulr Variabel MI Diestimasi Oleh OLS BB.basis Kointegmi VAR(3)
dcngan Dqmden Variabcl Dcfamsasi Log P I Non Migas ( dLP1)
Jumlah Obsavasi 159 u m h k Paiode Estimasi 1990M4 2003M6
-
Intercept
dLYl
-
-
s m l = 10000 LY 0.092147 LNXS - 0.14400 LE5 028470 LPI - 0.0033231 Tnod;
ccmZ = 1.0000 LI5 - 0.55954 LR4 + 0.375tS U S - 3.4609 LPI;
021113= 0.201fZjUS + 1.0000 LNXS +0.50638 LE5 +0.21276 LR4 -0.57288 U S ;
a m 4 = - 0.84519 LY 0.37527 LNXS + 1.WOO LC1 0.039768 LES;
ccm5 = 5.0592 LNXS + 4.2745 LC1 1.6685 LE5 + 1.OMX) US
-
-
. .
-
. .
R-Sguared
S
-
E. of Regession
Mean of Depend& V&1c
Residual Sum of Sqwcs
.;Lake inlo. Criterioa
DW-scatisti€
35988
.079607
.W15386
-116820
16.6030
1.9833
R-&-Squared
F-slaL F(21.137)
S.D.of Depmdatt Vaiabk
F q a t h Log-likelihood
Scb1~nB.ysi8nCriterioa
Sysocm Log-W;dihood
,26176
3.6677[.000]
39265 1
188.6030
132.8451
1371.5
Lampiran 26 Lanjutan
Persamaan Nomor 26.7.
ECM ~mtukVerisbel LF5 Diestimssi Oleh OLS &rbasis Koint*
VAR(3)
dengan Dcpenden Vmiabcl Dcfgglsiasi Log InNil& Tukar Rp/GBP ( dLES )
Jlrmlah Observasi 159 nmluk Paiode Estimssi 1990M4 - 2003M6
Reg-r
Cad6rient
Stlndvd E m r
T-lR.bl
w
I9993
.43712
.0074131
.M2967
20514
.0806M
,14354
079713
.IOggg
4266
.0053095
.C41026
,21138
,080671
.I4553
.O8M35
,095158
-44598
.OM973
.a32
,44713
.090192
-2.5839
.046981
.0084940
-.24288
-.081592
,038576
-.097308
,12417
t
dLY l
dLlS l
‘UNX.51
dLCI I
&El
dLR4 1
dWSl
dLPll
dLY2
dL152
dLNX52
dLCI2
dLE52
dLR42
dLlS2
MI2
ecml(-I)
ecd(-I)
ccm3(-I)
SN-1)
ecd(-I)
-098035
.87539
.OIW186
-.I5868
-.16239
467483
44371 1
12654
-.a9788
1.3339
-.I7078
-.83134
1.0303
-3m53
-
-
-
-
-
a m 1 = 1.Wa) LY 0.092147 lhlX5 0.144W LES 0.28470 LPl 0.0033231 Trad;
ecm2 = 1 . W LI5 -055954 LR4 +0.37525 US - 3.4609 LPI;
ecm3 = - 0.20166 LIS + 1.0000 LNXS +050638 LE.5 + 0.21276 LR4 0.57288 US:
-
&PI I
dLY2
&IS2
=
t~li-iwi(-i)
= LY(-I)LY(-3)
= 1.15t-2)-Us(-3]
m
2 = LNXS(-zwNx3(-3)
a 1 2 =LC1(-2~1(-3)
mE52 = LE5(-2Wf-3)
U 4 2 = IR4@)4RY-3)
U S 2 =US(-Z)US(-3)
dLP12 = LFI(-2)LpI(-3)
'
R-Squad
5 E,olRegcsas
Slean af D e p e n d m V d l e
Residual Sum ofSqolro
UiaQ InfoCrilcrna
DW-sutistic
R-%-Squad
Fstat. F( 21,137)
S.D. of apeodcmV8riablc
E q J a w Log-likdibood
SChw~zBayaianCritaioa
SyrtcmLog--
-1.2924[.1981
.10748[.915]
1 l458[.254J
4.5854[.000]
-.39n5[.691 j
.47832[.633]
-.67789[.4991
1.5577[.1221
-.89945[370]
I.~~~[.oso]
2.0~03[.042]
-3.8678[.MW)]
-.76824[.4441
-.83652(.404]
-.30036(.764]
1.5425[. 1251
-.523221.602]
2.9909[.0031
-3.7974[.000)
-3.51~.001]
2.304l[.023j
-3.4ZM1[0011
Lampiran 26 Lanjutan
Persamaan Nomor 26.8.
ECM unluk Variabel LR4 Diestimasi Oleb OLS W a s i s Kointegnsi VAR(3)
dmgan *den
Variabel Deferensiasi Log Suku Bunga LIBOR ( dLR4 )
-
Jumlsh Observasi 159 umtuk Pctiode Estimasi 1990M4 2003M6
Itcemror
coemciot
StandardError
T-RatiolPrebl
-
ecml= I.OaX) LY 0.092147 LNXS - 0.144M) LE5 - 0.28470 LPI - 0.0033231 Trend;
ecmZ = I.MY)O L15 0.55954 LR4 +0.37525 US - 3.4609 LPI:
ecm3 = -0.20l66 LIS + 1.0000 LNW + 0.50638 LE5 + 0.21276 LR4 - 0.57288 US;
am4= - 0.84519 LY - 0.37527 LNX5 + 1.0000 LC1 0.039768 LES;
em15 = -5.0592 W + 4 . 2 7 4 5 LC1 1.6685 L U + 1.OMX)US
-
-
dLR4 = LR4-LR4 (-I)
dLYl
= LY(-I)-LY(-2)
dLUl =wy-I)LIY-2)
dLNXSl = ~ - 1 ~ dLCl1 =LcI(-I)-LcI(-2)
dLF.51 = LEy-~~~2)
dLR4 1 =)2W
-!(4= us(-I)-US(-2)
QlSl
U l 1 =IP1(-I>LPI(-2)
an = LY(-~)-LY(-~)
dLS2 = Uy-Z)-LI5(-3)
dLNX52 W - 2 m - 3 )
dLCl2 =LcI(-2)-Lc1(-3)
LES(-2)-LW-3)
dLE52
dLR42 = IRy-2)Uq-3)
dLIS2 = us(-2)-US(-3)
dLP12 = LF'I(-2LpI(-3)
2
)
-
R-Squad
S.E. of Regrrrsim
Meglof D c p c n d r m V d c
Rsidual S~~olofSqlmcs
Akaike Mo.Crilaim
DW-stati&
.3 1453
,050210
-.013221
,34539
239.8821
1.9915
R-Bar-Squared
F-stat. F( 21; 137)
SD. of Dependmt Variable
& p a t h Log-Udibmd
Schuarz Bsycsian Crilwion
S-Log-W;dibmd
.20946
2.9935[.000]
.056472
261.8821
206.1242
1371.5
Lampiran 27. Model Stnrktural Kointegrasi VECM Over Idenrfed Pmekommh
Indonesia &lam Keterkaitan Pasar ROW
Persamaan Nomor 27.1.
ECM uahlk Variabel L16 Dicstimasi Oieh OLS Babssis K o M VAlU3)
deogan Depemh Variabel aefereasiasi Log Investesi daci R ~ (Wd U 6 )
Jumlah Obscrvasi 159 umtd Paiodc Estimasi 1990M4 2003M6
-
lntecept
dLY l
dL161
dLNX61
dLCll
LEA I
dLR3l
a s 1
dLPll
dLY2
dL162
d ~ ~ 4 2
dLM2
dWS2
dLPl2
ml(-I)
ccm2(-1)
d(-l)
w - 1 )
ccml
ccm2
eon3
ccm4
-.65 198
-1.6263
,36886
,99675
21.8308
-.99181
-17.03G
-3.8721
-
1.4411
3.6734
1.3106
1.5802
5.4187
-14067
2.5948
3.2570
-.452@.652j
-.44273[.659]
28144[.779]
.63016[.5291
4.0288[.0001
-~.oLw~[.ooo~
-6.5655[.0001
-1.1889[237]
= 1.0000 LY - 0.009929 L16 0.12675 LE4 - 0.34449 LPI - 0.0039588 Tnnd;
-
-
-
-
59149
1.4300
.0067310
RBP-Sguacd
F a . F( 20,138)
S.D. dDcDadmt Vr*bk
1.0000W6 18.1963 LNX6 9.2052 LFA- 6.9260 LR3 + 0.96732 LIS 1.UI52 LPI:
= 0.72503 LY + 1.0000 LNX6 + 0.21243 LE4 +OI&M5W -0.0062131 Trmd;
= 0.1 1518 LY + 1.0000 LC1 0.08971 1 US 0.44238 LPI - 0.0039447 T d
=
-
dL16 = LI6-LIq-I)
dLY I = LY(-IbLYf-2)
R-Sgd
S.E.of Regnssim
MtanofDcDoadmVrLblc
,53229
9.9906[.000]
2.0909
Lampiran 27 Lanjutan
Persamaan Nomor 27.2.
ECM unluk Variabd LNX6 Diestimasi Oleh OLS Battasis Kointewsi VAR(3)
Dcpenden Vmiabel Defatnsiasi Log Rasio EksporlImpor N M ~ u j u a n ' K (dLkX6)
0~
Jlrmlah Obsavasi 159 umtuk Pmode Estimasi 1990M4 2003M6
-
hrrrsor
M r d Error
Cocf&icnt
-
-
anal
= 1.0000 LY 0.009929U6 0.12675 LE4 - 034449 LPI
am2
=
=
ccm3
ecm4
-
T-R.tialPrnbl
0.0039588Trend;
l.WOO LM 18.1963 LNX6 9.2052 LEA -6.9260 LR3 +0.%732 U S 1.3052 LPI:
0.72503 LY + 1.0000 LNX6+0.21243 LE4+0.18405 LR3 -0.006213I T d
= 0.11518 LY + 1.0000 LC1 0.089711 U S 0.44238 LPI 0.0039447 Tread
-
..
.,
R-Squad
S.E. ofRcgwska
Mean of Depmdmt VrLMc
RssiduolSumd~
M e Mo. Critpim
~waatiaic
-
.60616
2.5751
.0079328
9.1512
-19.6374
1.8sn
-
-
-
R-Bar-Squared
F-staL F(20.138)
S.D. of Cepndmt Vniable
Log-Wrdbmd
S c b m !hpm Critrrion
system Log-blrdibood
,54908
10.61%(.000]
.38349
1.3626
-51.8609
1384.1
Lampiran 27 Lanjutan
Persamaan Nomor 27.3.
ECM uniuk Vaiabcl LC1 Dieaiumi Oleh OLS Bea-ba& Kointegnsi VAR(3)
dengan Depcndm Variabel Defmsiasi Log Konsumsi R d Tangga (dLCI)
Jumlah Obsavasi 159 umtuk Periode Estimasi 1990M4 - 2003M6
am1
ecm2
ecm3
am4
=
=
=
=
-
-
.-,- ~
-, ~ .
dLNX62 = LNXq-2)-LNX6(-3)
dLCl2 -El(-2)-El(-3)
dLF32 = LE4(-2)-LE4(-3)
dLR32 LR3(-2)-LR3(-3)
u s 2 = US(-2)-LE(-3)
dLP12 = LPI(-2)-LPl(-3)
R-Squand
S.E. of R e p s i o n
Mean of I k p m d d VI.Lbk
Residual SumdSquacr
A h k c Info. Oivrioo
-
DW-
-
-
1.0000 LY -0.009929 Ll6 0.12675 LE4 - 0.34449 LPI 0.0039588Trad;
I.OM)OL16 18.1%3 LNX6-9.2052 LE4 -6.9260 LR3 +0.%732 U S 1.3052 LPI;
0.72503 LY + 1.0000 LNX6 +0.21243 LE4 + 0 18405 LR3 - 0.0062131 Trmd.
0.11518 LY + 1.0000LC1 0.089711 U S - 0.4238 LPI 0.0039447 Tread
-
-
-
ECM lmtuk Variabel LJS Die&nasi O M OLS F3ah.i~fhhtwmi VAR(3)
.,
dD c p d c a Variabcl DefacosisFi Log LHSG di B U TdLJs )
Jlrmlah Obscrvasi 159 umtuk Periodc Estimffi 1990M4 2003M6
-
Stuukrd Error
Rcpresmr
-
-
ccml
= I.Wo0 LY 0.009929 U6 0.12675 LE4 - 0.34449 LPI - 0.0039588 Trad;
=mZ
=
T-~tiolPmbl
-
1.Wo0 L16 - 18.1%3 LNX6-9.2052 LE4 -6.9260 LR3 +0.%732 U S 1.3052 LPI:
= 0.72503 LY + I.Wo0LNX6 +0.21243 LFA+0.18405 LR3 -0.0062131 Trmd;
= - 0.11518 LY + 1.WOO LC1 - 0.08971 1 U S - 0.44238 LPI 0.0039447 Trmd
ccd
-
ccm4
-
d W 2 ~Ry-i)-LR3i4')
U S 2 = US(-2)-US(4)
dLP12 = LPI(-2)-MI(-3)
R-Sqd
S.E. of IZepsAm
Mean of Depadmt Variable
Residual Sum ofe Info.Critsica
DW-statistic
M
.17079
.091000
-.0012680
1.1428
145.7571
1.9944
R-Bar-Squatrd
Fatat F(20.138)
S.D. ofDqwdmt Vmable
Eqwticm J-og-Wrdikd
Schwan B q & i Criterion
SrS(a0Log-Lilrdibood
.050619
1.4212[.122]
.093394
166.7571
113.5336
1384.1
ECM crmuk Variabel LY Diestimasi Oleb OLS M
s Koiotegrasi VAR(3)
dengan Depu~dcnVminlxl Dd&nsi&
LogRodulr Brut0 ( dLY )
J d a b Obsavasi 159 mtok Paiodc Estimasi 1990M4 - 22003M6
-
1.0000 LY 0.009929 L16 - 0.12675 LE4 -0.34449 LPI -0,0039588T w
1.0000 L16 18.1%3 LNX6 9.2052 LE4 6.9260 W + 0.96732 LIS 1.3052 LPI;
= 0.72503 LY + 1.0000 LNX6+0.21243 LE4 +O.I&PaSW -0.0062131 Trend;
= -0.l1518 LY + 1.0000 LC1 0.08971 I US 0.44238 LP1- 0.0039447 Trend
an1
eem2
=
=
cud
ecd
-
-
-
-
-
dLY = LY-LY(-I)
dLY I LY(-1)-LY(-2)
a 1 6 1 = L1q-1)-LIq-2)
dLNX61= LNX6(-I)-LNXq-2)
U L I = Kl(-l)-LC1(-2)
dLE41= LUy-1)-LE4(-2)
dLR3 I LRy-I)-L.R3(-2)
dUSl = US(-l)-Us(-2)
dLP11 = LPI(-I>LPI(-2)
dLY2 = LY(-2)-LY(-3)
d l 6 2 L16(-2M-3)
-
-
. .
.
,
R-Sqd
S.E. of R e p s i a n
Mean of Depeodcot Variable
Residual Sum *
f
o
Maike lnfo.Critcrim
DW-staimc
-36608
.016273
-0034621
.036544
419.4518
1.8199
R-&-Squared
F-W
~ ( 2 0138)
.
S.D. of Dqmdcnt V d I e
E q m h log-Widibocd
ScbaarzBapm Critaian
Sytcm Log-likclihmd
.27420
3.9846[.000]
.019101
440.4518
3872283
13841
Lampiran 27 Lanjutan
Persamaan Nomor 27.6.
ECM I&
Variabel LPl D i M O l d OLS
Kointcgrssi VAR(3)
dmgaa Depden Variabe.1 Defau~siasiLog IPI Non hCqgs ( dLP1)
J d a h Obsavasi 159 umtuk Paiode. Estimasi 1990M4 - 2003M6
-
-
-
-
= 1.0000 LY 0.009929 L16 -0.12675 LE4 0.34449 LPI 0.0039588 T
m l
am2
-
-
d;
-
1.0000 L16 - 18.1963 LNX6 92052 LFA 6.9260 LR3 +0.%732 US 1.3052 LPI;
= 0.72503 LY + 1.0000 LNX6 +0.21243 LFA +0.1&105 LR3 - 0.0062131T&
= 0.11518 LY + 1.0000 LC1 0.089711 U S 0.44238 LPI 0.0039447 Trcrd
ccm3
-
am4
-
-
.~,
dLR32 1~$-ikLR3(-3)
u s 2 = US(-2)-US(-3)
dLPl2 PI(-Z)-LPI(-3)
R-Squared
-
S.E.of&R
Mean ofDepmhl Vaiabk
Resi&al Sum d Stpzm
W e Info. Oitsim
DW-natistie
-
.31208
.082226
.OO15386
.93303
161.8777
1.9370
R-Bar-Squared
F-stat F( 20,138)
S.D. of Depadmt Vaiabk
E q d a l Log-likdibcul
ScbwarzBapiao Cri&
System L o g - W i
.21238
3.1302(.000]
.09265 1
182.8777
129.6542
1364.1
Lampiran 27 Lanjutan
Persamaan Nomor 27.7.
ECM d Variabcl LE4 Diestimi Oleh OLS Babasis Kointegmi VAR(3)
dengan Dcpcndcn Variabel Defaarsiasi Lag In& Nilm Tukar RplCRD ( dLEQ )
J d a h Obsavasi 159 umtuk P e r i d Estimssi 1990M4 - 2003M6
m l
am2
am)
am4
=
=
=
=
-
-
-
1.OWO LY 0.009929W6 - 0,12675 LE4 0.34449LPI 0.0039588 Tread;
1.0000 L16 18.1%3 LNX6 9.2052 LE4 6.9260 LR3 +0.%732 US 1.3052 LPI;
0.72503 LY + I MMOLNX6 +0.21243 LE4 +0.18405 LR3 -0.0062131 Trad
-0.II.518 LY + I M M O LC1 0.089711 US -0.44238 LPI 00039447 T r d
-
-
-
-
~ L P I=Z~pI(-j)-wi(-i)
R-Squared
S.E. of Rcgr*
Mean of Dependw Vriable
Residual Sum of Squms
Al;aile Info. C ~ i ~ u i a l
DW-natislic
.24448
,086826
-.0095209
1 .I403
153.2228
2.0290
R-Bar-Sqd
F-smt. F( 20.138)
S.D.of Dcpadcot Vmable
E q d c n Log-lilidihood
Schww Baycdm Crimmn
SySem L o g - l i k d ' i
,13498
2.2328[.~]
.a93355
174.2228
1209993
1384.1
Lampiran 27 Lanjutan
Persamaan Nomor 27.8.
ECM untuk Veriabel LR3 Dicstimasi Oleh OLS &rbssis Koint-
ccml
ecd
am3
am4
-
VAR(3)
= 1.0000 LY -0.009929 L16 0.12675 LE4 - 0.34449 LPI - 0.0039588 Trad;
= 1.0000 Ll6 18.1963 LNX6 9.2052 LM 6.9260 W + 0.96732 US I 3 5 2 LPI;
-
--
-
-
-
0.72M) LY + 1.WM) LNX6+021243 LE4 +0.18405 W -0.0062131 T&
= 0.11518 LY + 1.0000 LC1 0.08971 1 U S -0,44238LF'I - 0.0039447 Trmd
-
7
~~~~.
-,
dLNX62 &~6(-2>LNX6(-3)
dU312 = El(-ZbLCI(-3)
dLE42 = LE4(-2).LE4(-3)
dLR32 = W(-2)-w(-3)
U S 2 = US(-Z)-US(-3)
dLPl2 = LPI(-2)-LPI(-3)
R-Squad
S.E. of Rcgcsim
Mean of Dcpdent Variable
Residual Sum of squms
W e Info. Crituim
DW-natlsbc
.2213 1
.032400
-.0053815
,14487
309.9542
2.0652
R-Bar-Squared
F-stat. F( 20. 138)
S.D. of Depmdcnc V d l e
Equatica Log-likd:dihood
S c h w ~ 1 E q c s i ai1k a i m
Syslrm Log-lilrdibmd
.I0846
1.%10(.013]
-034315
330.9542
277.7307
1384.1
Lampiran 28. Model S k u k t d Kointegmi VECM Over Identifd Perekonomian
Agroindustri Indonesia dalam KeterLHitan Pasar Internasional %cam
Agregat
Persamaan Nomor 28.1.
ECM uneuk Variabcl LIF Diestimasi Oleh OLS Babasis Kointcgrasi VAR(3)
den- Dependen V
1
Defuamki Log Invcstasi Luar Negai ( dLIF )
-
Jumlah Obsavasi 159 umtuk Paiodt FAmssi 1990M4 2003M6
~LNTZ
ml(-1)
=d(-l)
d(-1)
ecml
eemZ
ean:
=
-.SSOI
.73386
.063861
,013288
.0075362
-.43820
-.0081669
-.024L 13
-
-
-1.1923i.23sj
-6.8618[.000]
-.61463[.540)
-3.19971.0021
LY +0.96491 LIF - 0.52818 LNXA-2.1214 LL 0.48336 LT 1.9697 LP2 +0.0064398 T
-
d,
= LIF + 1.6338LNXA + 15.4987 LC2 - 0.30902 US - 53.7334 LL 0.26182 LPZ + 3.9436 LNT;
= 23.0661 LY + LNXA - 45.5253 LC2 + 5.1702 U S + 7.2044 LT + 16.0933 LP2 + 7.0744 LNT +
0.054787 Trmd
S.E. bf~egssioo
t&an of DepQdem\'ri.bk
Rmdual Sumol+ms
A h k c Info. Critam
DU'5mtidk
.I5726
-.OM3410
3.3881
58.3543
1.9326
F a b t ~(21,137)
S.D. of Dspeda*VrLMc
EqudollL@khmd
SrbwnByaiac+aaaO
Sys(caLog-tilrdibmd
3.1092[.000]
,17794
80.3543
24.5964
2440.9
Lampiran 28 Lanjutan
Persamaan Nomor 28.2.
ECM untulr Variabcl LNXA Diestimasi Olcb OLS Berbasis Kointegrasi VAR(3)
Depaden Variaba Dcfacnsiasi Log Rasio Eksporhpa
( dLNXA )
Jumlah Obsavmi 159 umtuk Periodc Esb'masi 1990M4 - 2003M6
~~
dLLl
dLTl
,089924
.54546
,17614
1.3250
,19440
.34493
.92934
-.051065
.0068109
-.I5454
dLNXA2
dLC22
US2
dLL2
dLT2
-.31099
2075 1
.27249
-30746
,15152
-.025659
.OW5897
dLP22
dLNT2
am](-I)
&(-I)
ccm3(-1)
-
-
.OS08R
,016827
.OD95435
-
-.56786i.~71j
.012486[.990]
-.87736[.3821
-23470[.815]
1.0675[.288]
.78997[.4311
-.33084[.74lI
1,87361.063)
-1.5249[.130]
.48092[.631]
ccml LY +0.96491 LIF -0.52818 LNXA -2.1214 LL 0.48336 LT 1.9697 LP2 +O.M)64398 T 4
am2 = LIF + 1.6338 LNXA + 15.4987 U3L 0.30902 US 53.7334 LL 0.26182 LP2 + 3.9436 LNT:
eem3 = 23.0661 LY + LNXA - 45.5253 LC2 + 5.1702 U S + 7.2044 LT + 16.0933 LP2 + 7.0744 LNT +
0.054787 Tnod
dLC21 = Lc2(.ljLt52(-2)
u s 1 = US(-1)-US(-2)
dLL I = LU- I FLU-2)
dLTl = LT(-IkLT(-Z)
d ~ n= LT(-$LT~-~~
dLP22 = LP2(-2>LPZ(-3)
dLhT2 = LNT(-2)-LNT(-3)
RSguaaed
S.E.of Rcgressim
MeanofD€QmdauV.ri.Me
ResimulSumdSqurcs
Akaikc Info. Oitsiao
DWslatistic
-
.
-
-
.
,25325
.19915
-.0038880
5.4335
m.sos8
20292
K-Bar-Sqused
.I3879
F s u t F(21.137)
22125[.003]
SD. ofDcpmdm~V.nrMe
.21460
Equdm l ~ & M h d
42.11068
s c b ~ ~ n ~ a i . o ~ r i ~ s i o o -12.9511
SyamnhgSdihd
2440.9
ECM tmtuk Variebd LC2 Diestimasi Oleb OLS B e a k i s Koimegmi VAR(3)
dengan Depeodeo Variabcl Defacnsiasi Log Konsumsi RT dm Pancrintab ( dLC2 )
J d a b Observasi 159 umtnk Periodc Estimasi 1990M4 - 2003M6
WS2
dLL2
dLT2
dLP22
dLNT2
ml(-I)
,031651
-.I4285
-.058570
-.095417
-.11931
-.016341
-.011427
.0062173
mm3(- I)
-
-
.0295Pd
,22255
.032650
.057934
.I5609
.013583
,0028262
.W16029
1.0699i284
-.64191[.522]
-1.7939[.075)
-1.6470[. 1021
-.76435[.446]
-1.2031[.231]
4.0433[.MK)]
3.8787[.0001
a m 1 = LY + 0.%491 LIF 0.52818 LNXA 2.1214 LL -0.48336 LT - 1.%97 LF2
' +O.(W164398Tnad;
-
a m 2 = LIF + 1.6338 LNXA + 15.4987 LC2 0.30902 U S - 53.7334 LL 0.26182 LPZ + 3.9436 LNT,
ccm3 = 23.0661 LY + LNXA 45.5253 LC2 + 5.1702 U S + 7.2044 LT + 16.0933 LP2 + 7.0744 LNT
0.054787 T m d
dLC2
-
= LC2-LC2(-1)
dLYl = LY(-1)-LY(-2)
~ L K I =LIF(-I)-L~-~)
dLNXAl = LNW-1)-LNxA(-2)
dLC21 = K2(-1)-LCY-2)
dLIS 1 US(-I)-US(-2)
dLL 1 = LL(- I).LU-2)
&TI
= LT(-I)-LT(-2)
dLF2 l = LPX- L)-LPZ(-2)
CNTI = LNT(-l)-LNT(-2)
dLY2 = LY(-2)-LY(-3)
dLIF2 = LIF(-2)-LE(-3)
dLNXA2 = LNXA(-2)-LNXA(-3)
dLC22 = LCU-2)-LCU-3)
-
dLNT2 = L N T ( - ~ ~ & T ( - ~ )
R-Squared
S.E. of Rcgrcssiao
Mean of Depmdcnt VrLbk
ResidwIS~lmdSqura
Akaike Info.Oiraim
DW-sa&k
,37453
.033449
.OD49582
-15328
H14.4699
1.8011
R-Bar-S&
F-stat F(21.137)
S.D.of Depmda*Voi.Me
l&~hL&&dihd
SchsmByaimCrilcrm
SmLoglilrdiboal
,27865
3.9064[.OOO]
.039383
326.4699
270.7120
244Q.9
+
Lampiran 28 hjutm
Persamaan Nomor 28.4.
ECM mtuk Vriabel U S Diestimasi Oleb OLS Babasis Kointegrasi VAR(3)
dmDcpeadco Variabel Dtfcre~siaPiLog IHSG di BFJ ( U S )
Jumlah Observasi 159mtuk Paiodc Esbimasi 1990M4 2003M6
-
-
-
-
-
am1 = LY + 0.96491 UF 0.52818 LNXA 2.1214 LL 0.48336 LT 1.9697 LP2 + 0.W398 Trmd;
ccm2 = LIF + 1.6338 LNXA + 15.4987 LC2 0.30902 US 53.7334 LL 0.26182 LP2 + 3.9436 LNT;
eem3 = 23.0661 LY + LNXA - 45.5253 LC2 + 5.1702 US + 7.2044 LT + 16.0933 LP2 + 7.0744 LNT +
0.M4787 T d
-
-
dLJS = US-US(-I)
dLYl
dLtF1
= LY(-I)-LY(-2)
= LIF(-INIF(-2)
dLP22 = ~ P I ( - i b e - 3 )
dLNT2 = LNT(-2)-LNT(-3)
R-Squd
S.E. of Rcgrcsim
Mean of Dc(mdmVpLbl
RsihursamdSplrcp
Akaikeinfo.Crncrioa
DW-
,22925
.088053
-.0012680
1.0622
1505692
1.9568
R-%-&pad
F-s&t F(21.137)
S.D.ofDspmdmt VaidAc
Eqwlim-
SchwazBayuim~
S y s M l Log-likdhmd
.11111
1.9405[.013]
093394
1725692
116.8112
2440.9
Lampiran 28 Lanjutan
Persamaan Nomor 28.5.
ECM mluk Variabel LY Distimasi Oleb OLS Berbasis K o h t e p i VAR(3)
dcngen Dependen Variabcl Defawisiasi Log Roduk Dancstilt Ehuto ( dLY )
J d a h Obsavasi 159 umtuk Paiodt Estimasi 1990M4 M03M6
-
-
-
Stan&rd Error
-C
T-WlRobl
u s1
dLLl
-
-
-
-
-
m l = LY + 0.96491 LIF 0.52818 W X A 2.1214 U 0.48336 LT 1.9697LP2 0.0064398 Trend.
e e d = LIF + 1.6338 L W + 15.4987 LC2 0.30902 US 53 7334 LL 0 26182 LP2 + 3.9436 LhT.
eem3 = 23.0661 LY + LNXA - 45.5253 LC2 + 5.1702 US + 7.2044 LT + 16.0933 LP2 + 7.0744 LhT
0.054787 T d
-
-
..
dLC2l = Lc2(-liLC2(-2)
aus I = us(-ous(-r)
dLLl = LU-I)-LU-2)
&TI
= LT(-IbLT(-2)
dLP21 = LW-IkLPy-2)
dLNTl = LNT(-1)-LNT(-2)
dLY2 = LY(-2hLY(-3)
&IF2 = LIF(-2W(-3I
dLNXAz = mki(-ztiEjXA(-3)
dLC22 L C ~ - 2 ~ - 3 )
US2 = Ws(-2)US(-3)
LU-2m-3)
dLL2
LT(-2)-LT(-3)
dLT2
dLP22 = LP2(-2)-LP2(-3)
dLNT2 = LNT(-2)-LNT(-3)
P.-Squared
SE.of Rcgressim
ManofDepcndrmVrlihk
Rsrmul Sum dSqures
Akaike Info.Crhriao
DW-sIaiistic
-
--
,22799
.018024
.0034621
R-Bar-Squared
Faat. F( 21,137)
SD.-fo
VailMe
402.7844
1.93%
EquatmLog-w
SchwuzB.ysm~Oicrioa
SyrtrmLog-likdibd
.Wm
.I0965
1.9266[.014]
.019101
424-7844
369.0265
2440.9
+