2.2.2 HASIL UJI UNIT ROOT HARGA TINGKAT FIRST DIFFERENCE
Null Hypothesis: DLOGPRICE has a unit root Exogenous: Constant
Lag Length: 1 Automatic - based on SIC, maxlag=9 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-5.325167 0.0001
Test critical values: 1 level
-3.646342 5 level
-2.954021 10 level
-2.615817 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLOGPRICE,2
Method: Least Squares Date: 082916 Time: 10:27
Sample adjusted: 2013M04 2015M12 Included observations: 33 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. DLOGPRICE-1
-1.250789 0.234883
-5.325167 0.0000
DLOGPRICE-1,2 0.352264
0.174236 2.021767
0.0522 C
-0.014610 0.009033
-1.617348 0.1163
R-squared 0.523498 Mean dependent var
0.001827 Adjusted R-squared
0.491731 S.D. dependent var 0.068696
S.E. of regression 0.048976 Akaike info criterion
-3.108476 Sum squared resid
0.071959 Schwarz criterion -2.972430
Log likelihood 54.28985 Hannan-Quinn criter.
-3.062700 F-statistic
16.47938 Durbin-Watson stat 1.792791
ProbF-statistic 0.000015
2.2.3 HASIL UJI UNIT ROOT KURS TINGKAT FIRST DIFFERENCE
Null Hypothesis: DLOGEXRATE has a unit root Exogenous: Constant
Lag Length: 0 Automatic - based on SIC, maxlag=9 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-4.601005 0.0008
Test critical values: 1 level
-3.639407 5 level
-2.951125 10 level
-2.614300 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLOGEXRATE,2
Method: Least Squares Date: 082916 Time: 10:25
Sample adjusted: 2013M03 2015M12 Included observations: 34 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. DLOGEXRATE-1
-0.793428 0.172447
-4.601005 0.0001
C 0.008432
0.004280 1.969882
0.0576 R-squared
0.398148 Mean dependent var 0.000391
Adjusted R-squared 0.379340 S.D. dependent var
0.028921 S.E. of regression
0.022784 Akaike info criterion -4.668476
Sum squared resid 0.016612 Schwarz criterion
-4.578690 Log likelihood
81.36409 Hannan-Quinn criter. -4.637856
F-statistic 21.16925 Durbin-Watson stat
1.932478 ProbF-statistic
0.000063
2.2.4 HASIL UJI UNIT ROOT TOT TINGKAT FIRST DIFFERENCE
Null Hypothesis: DLOGTOT has a unit root Exogenous: Constant
Lag Length: 0 Automatic - based on SIC, maxlag=9 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-5.482342 0.0001
Test critical values: 1 level
-3.639407 5 level
-2.951125 10 level
-2.614300 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLOGTOT,2
Method: Least Squares Date: 082916 Time: 10:28
Sample adjusted: 2013M03 2015M12 Included observations: 34 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. DLOGTOT-1
-0.964878 0.175997
-5.482342 0.0000
C -0.002575
0.002353 -1.094129
0.2821 R-squared
0.484337 Mean dependent var -4.49E-05
Adjusted R-squared 0.468223 S.D. dependent var
0.018451 S.E. of regression
0.013455 Akaike info criterion -5.721934
Sum squared resid 0.005793 Schwarz criterion
-5.632148 Log likelihood
99.27288 Hannan-Quinn criter. -5.691315
F-statistic 30.05607 Durbin-Watson stat
1.982535 ProbF-statistic
0.000005
2.2.5 HASIL UJI UNIT ROOT PRODUKSI FIRST DIFFERENCE
Null Hypothesis: DLOGPROD has a unit root Exogenous: Constant
Lag Length: 0 Automatic - based on SIC, maxlag=9 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-3.445624 0.0161
Test critical values: 1 level
-3.639407 5 level
-2.951125 10 level
-2.614300 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLOGPROD,2
Method: Least Squares Date: 082916 Time: 10:28
Sample adjusted: 2013M03 2015M12 Included observations: 34 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. DLOGPROD-1
-0.473398 0.137391
-3.445624 0.0016
C 0.002138
0.000632 3.384161
0.0019 R-squared
0.270611 Mean dependent var -3.10E-05
Adjusted R-squared 0.247817 S.D. dependent var
0.000359 S.E. of regression
0.000312 Akaike info criterion -13.25218
Sum squared resid 3.11E-06 Schwarz criterion
-13.16240 Log likelihood
227.2871 Hannan-Quinn criter. -13.22156
F-statistic 11.87233 Durbin-Watson stat
2.429298 ProbF-statistic
0.001613
2.3 UJI KOINTEGRASI 2.3.1 HASIL REGRESI BERGANDA OLS
Dependent Variable: LOGEKS Method: Least Squares
Date: 082916 Time: 13:03 Sample: 2013M01 2015M12
Included observations: 36 Variable
Coefficient Std. Error
t-Statistic Prob.
C -10.77026
9.561610 -1.126407
0.2686 LOGEXRATE
-0.301822 0.194470
-1.552020 0.1308
LOGPRICE -0.461581
0.060939 -7.574466
0.0000 LOGPROD
1.915880 0.682972
2.805209 0.0086
LOGTOT 0.626850
0.278252 2.252810
0.0315 R-squared
0.933145 Mean dependent var 14.46567
Adjusted R-squared 0.924518 S.D. dependent var
0.108764 S.E. of regression
0.029882 Akaike info criterion -4.054889
Sum squared resid 0.027681 Schwarz criterion
-3.834956 Log likelihood
77.98801 Hannan-Quinn criter. -3.978127
F-statistic 108.1722 Durbin-Watson stat
0.774916 ProbF-statistic
0.000000
2.3.2 UJI ECT
Null Hypothesis: ECT has a unit root Exogenous: Constant
Lag Length: 0 Automatic - based on SIC, maxlag=9 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-2.730332 0.0791
Test critical values: 1 level
-3.632900 5 level
-2.948404 10 level
-2.612874 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DECT
Method: Least Squares Date: 082916 Time: 13:08
Sample adjusted: 2013M02 2015M12 Included observations: 35 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. ECT-1
-0.411261 0.150627
-2.730332 0.0101
C -0.000199
0.003901 -0.051085
0.9596 R-squared
0.184273 Mean dependent var 0.000562
Adjusted R-squared 0.159554 S.D. dependent var
0.025111 S.E. of regression
0.023021 Akaike info criterion -4.649404
Sum squared resid 0.017488 Schwarz criterion
-4.560526 Log likelihood
83.36456 Hannan-Quinn criter. -4.618723
F-statistic 7.454715 Durbin-Watson stat
1.706696 ProbF-statistic
0.010073
Kategori