Lanjutan Lampiran 7
b. 3. Lag optimal
Lag Æ 2
Vector Autoregression Estimates Date: 032010 Time: 02:42
Sample adjusted: 1988Q4 2008Q4 Included observations: 81 after adjustments
Standard errors in t-statistics in [ ]
DEMPSHARE DPDBCAP DPDBCAP2 INV
TB
R-squared 0.831776
0.177789 0.176176
0.753709 0.680546
Adj. R-squared 0.807744
0.060331 0.058486
0.718525 0.634909
Sum sq. resids 0.809023
0.143085 109.0969
357.2658 372.7377
S.E. equation 0.107506
0.045211 1.248410
2.259158 2.307558
F-statistic 34.61110
1.513632 1.496956
21.42166 14.91236
Log likelihood 71.62424
141.7859 -126.9944 -175.0373 -176.7543 Akaike AIC
-1.496895 -3.229281
3.407269 4.593513
4.635908 Schwarz SC
-1.171723 -2.904109
3.732441 4.918685
4.961080 Mean dependent
0.046527 0.040577
1.127285 24.94346
3.762775 S.D. dependent
0.245183 0.046640
1.286601 4.258203
3.819023 Determinant resid covariance dof adj.
5.42E-06 Determinant resid covariance
2.61E-06 Log likelihood
-54.01983 Akaike information criterion
2.691848 Schwarz criterion
4.317708 Keterangan: sebagian baris sengaja tidak ditampilkan untuk efisiensi halaman
Lanjutan Lampiran 7 Lag Æ 4
Vector Autoregression Estimates Date: 032010 Time: 02:53
Sample adjusted: 1989Q2 2008Q4 Included observations: 79 after adjustments
Standard errors in t-statistics in [ ]
DEMPSHARE DPDBCAP
DPDBCAP2 INV TB
R-squared 0.871949
0.434182 0.431651
0.838087 0.742252
Adj. R-squared 0.827794
0.239072 0.235668
0.782255 0.653374
Sum sq. resids 0.571377
0.089618 69.88458
233.2377 298.7311
S.E. equation 0.099254
0.039308 1.097682
2.005328 2.269479
F-statistic 19.74724
2.225319 2.202496
15.01083 8.351311
Log likelihood 82.60543
155.7787 -107.2533 -154.8592 -164.6349 Akaike AIC
-1.559631 -3.412119
3.246920 4.452133
4.699619 Schwarz SC
-0.929778 -2.782266
3.876773 5.081986
5.329472 Mean dependent
0.036163 0.040671
1.132903 24.89767
3.809970 S.D. dependent
0.239179 0.045062
1.255555 4.297451
3.854744 Determinant resid covariance dof adj.
9.77E-07 Determinant resid covariance
2.08E-07 Log likelihood
47.19621 Akaike information criterion
1.463387 Schwarz criterion
4.612653 Keterangan: sebagian baris sengaja tidak ditampilkan untuk efisiensi halaman
Lag optimal adalah 4 berdasarkan hasil pembandingan Adj. R-squared.
Lanjutan Lampiran 7
c.
, ,
c. 1. Panjang lag maksimum