Unit Root Test Level

3 M2 Broad Money

Null Hypothesis: M2 has a unit root Exogenous: Constant Lag Length: 2 Automatic - based on SIC, maxlag=7 t-Statistic Prob. Augmented Dickey-Fuller test statistic 1.858965 0.9998 Test critical values: 1 level -3.502238 5 level -2.892879 10 level -2.583553 MacKinnon 1996 one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: DM2 Method: Least Squares Date: 112416 Time: 02:57 Sample adjusted: 2008M04 2015M12 Included observations: 93 after adjustments Variable Coefficient Std. Error t-Statistic Prob. M2-1 0.008875 0.004774 1.858965 0.0663 DM2-1 -0.345857 0.102709 -3.367350 0.0011 DM2-2 -0.284471 0.102790 -2.767494 0.0069 C 25357.13 14261.87 1.777967 0.0788 R-squared 0.153976 Mean dependent var 31827.40 Adjusted R-squared 0.125459 S.D. dependent var 41873.14 S.E. of regression 39158.46 Akaike info criterion 24.03068 Sum squared resid 1.36E+11 Schwarz criterion 24.13961 Log likelihood -1113.427 Hannan-Quinn criter. 24.07466 F-statistic 5.399340 Durbin-Watson stat 1.980400 ProbF-statistic 0.001848

b. Unit Root Test First Difference

1 Inflasi Null Hypothesis: DINFLASI has a unit root Exogenous: Constant Lag Length: 0 Automatic - based on SIC, maxlag=7 t-Statistic Prob. Augmented Dickey-Fuller test statistic -5.912176 0.0000 Test critical values: 1 level -3.501445 5 level -2.892536 10 level -2.583371 MacKinnon 1996 one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: DINFLASI,2 Method: Least Squares Date: 112416 Time: 02:54 Sample adjusted: 2008M03 2015M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob. DINFLASI-1 -0.570830 0.096552 -5.912176 0.0000 C -0.031808 0.073250 -0.434240 0.6651 R-squared 0.275327 Mean dependent var -0.016809 Adjusted R-squared 0.267450 S.D. dependent var 0.829261 S.E. of regression 0.709757 Akaike info criterion 2.173259 Sum squared resid 46.34547 Schwarz criterion 2.227372 Log likelihood -100.1432 Hannan-Quinn criter. 2.195117 F-statistic 34.95383 Durbin-Watson stat 1.907119 ProbF-statistic 0.000000 2 BI Rate Null Hypothesis: DBIRATE has a unit root Exogenous: Constant Lag Length: 0 Automatic - based on SIC, maxlag=7 t-Statistic Prob. Augmented Dickey-Fuller test statistic -3.995595 0.0022 Test critical values: 1 level -3.501445 5 level -2.892536 10 level -2.583371 MacKinnon 1996 one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: DBIRATE,2 Method: Least Squares Date: 112416 Time: 02:55 Sample adjusted: 2008M03 2015M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob. DBIRATE-1 -0.295741 0.074017 -3.995595 0.0001 C -0.001573 0.012660 -0.124257 0.9014 R-squared 0.147870 Mean dependent var 0.000000 Adjusted R-squared 0.138608 S.D. dependent var 0.132186 S.E. of regression 0.122683 Akaike info criterion -1.337373 Sum squared resid 1.384711 Schwarz criterion -1.283261 Log likelihood 64.85654 Hannan-Quinn criter. -1.315516 F-statistic 15.96478 Durbin-Watson stat 1.946303 ProbF-statistic 0.000130 3 Kurs Tengah Null Hypothesis: DKURS has a unit root Exogenous: Constant Lag Length: 0 Automatic - based on SIC, maxlag=7 t-Statistic Prob. Augmented Dickey-Fuller test statistic -9.060444 0.0000 Test critical values: 1 level -3.501445 5 level -2.892536 10 level -2.583371 MacKinnon 1996 one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: DKURS,2 Method: Least Squares Date: 112416 Time: 02:56 Sample adjusted: 2008M03 2015M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob. DKURS-1 -0.940145 0.103764 -9.060444 0.0000 C 47.57146 38.56785 1.233449 0.2206 R-squared 0.471543 Mean dependent var 2.074468 Adjusted R-squared 0.465799 S.D. dependent var 507.2525 S.E. of regression 370.7462 Akaike info criterion 14.68996 Sum squared resid 12645654 Schwarz criterion 14.74407 Log likelihood -688.4281 Hannan-Quinn criter. 14.71182 F-statistic 82.09164 Durbin-Watson stat 1.970626 ProbF-statistic 0.000000 4 M2 Broad Money Null Hypothesis: DM2 has a unit root Exogenous: Constant Lag Length: 1 Automatic - based on SIC, maxlag=7 t-Statistic Prob. Augmented Dickey-Fuller test statistic -9.687666 0.0000 Test critical values: 1 level -3.502238 5 level -2.892879 10 level -2.583553 MacKinnon 1996 one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: DM2,2 Method: Least Squares Date: 112416 Time: 02:57 Sample adjusted: 2008M04 2015M12 Included observations: 93 after adjustments Variable Coefficient Std. Error t-Statistic Prob. DM2-1 -1.562402 0.161277 -9.687666 0.0000 DM2-1,2 0.249928 0.102467 2.439113 0.0167 C 49094.31 6438.460 7.625164 0.0000 R-squared 0.646177 Mean dependent var 1115.204 Adjusted R-squared 0.638315 S.D. dependent var 65994.21 S.E. of regression 39689.11 Akaike info criterion 24.04727 Sum squared resid 1.42E+11 Schwarz criterion 24.12896 Log likelihood -1115.198 Hannan-Quinn criter. 24.08025 F-statistic 82.18233 Durbin-Watson stat 1.958256 ProbF-statistic 0.000000