Output Analisis Restricted VAR

Lampiran 3: Output Analisis Restricted VAR

---------------------------------------------- EasyReg International [September 20, 2012] Session date: Wednesday January 29, 2014 Session time: 15:51:24 ----------------------------------------------

z(t,1) = PPOP z(t,2) = GDP z(t,3) = LN[EC] z(t,4) = LN[CO]

Dependent variables: Y(1) = PPOP Y(2) = GDP Y(3) = LN[EC] Y(4) = LN[CO]

Characteristics: PPOP

First observation = 1(=1971) Last observation = 41(=2011) Number of usable observations: 41 Minimum value: 1.2901294E+000 Maximum value: 2.5354793E+000 Sample mean: 1.8526096E+000

GDP First observation = 1(=1971) Last observation = 41(=2011) Number of usable observations: 41 Minimum value: -1.3130000E+001 Maximum value: 9.7800000E+000 Sample mean: 5.9975610E+000

LN[EC] First observation = 1(=1971) Last observation = 41(=2011) Number of usable observations: 41 Minimum value: 2.6713862E+000 Maximum value: 6.5216515E+000 Sample mean: 4.9086675E+000

LN[CO] First observation = 1(=1971) Last observation = 41(=2011) Number of usable observations: 41 Minimum value: -2.9957323E+000 Maximum value: -3.8566248E-001 Sample mean: -1.5752305E+000

VAR(p) model: z(t) = A(1)z(t-1) + ... +A(p)z(t-p) + B.d(t) + u(t),where d(t) is a vector of deterministic variables: d(t)= 1 t (1971=1)

Information criteria: p Akaike Hannan-Quinn Schwarz

1 -1.48252E+01 -1.44588E+01 -1.38118E+01 2 -1.78897E+01 -1.72776E+01 -1.61835E+01 3 -1.86554E+01 -1.77968E+01 -1.62421E+01 4 -1.93554E+01 -1.82502E+01 -1.62206E+01 5 -1.92509E+01 -1.78998E+01 -1.53800E+01 6 -2.19314E+01 -2.03360E+01 -1.73098E+01

p= 6 6 6

Chosen VAR(p) order: p = 6 Zeros in matrices A(1),..,A(6): (1 = nonzero) 10 1110 1110 1111

SUR estimation results for SUR iteration round 10

y(1) = PPOP Explanatory variables SUR estimate t-value

[p-value]

x(1,1) = LAG1[PPOP] 31.05260E-01 20.16

x(1,2) = LAG1[GDP] -10.08215E-05 -0.94

x(1,3) = LAG2[PPOP] -41.51793E-01 -8.47

x(1,4) = LAG2[GDP] 64.65342E-06 0.59

x(1,5) = LAG3[PPOP] 32.60157E-01 4.32

x(1,6) = LAG3[GDP] 33.00868E-06 0.31

x(1,7) = LAG4[PPOP] -19.58341E-01 -2.54

x(1,8) = LAG4[GDP] -93.81592E-06 -0.88

x(1,9) = LAG5[PPOP] 11.11541E-01 2.15

x(1,10) = LAG5[GDP] -25.76065E-05 -2.40

x(1,11) = LAG6[PPOP] -40.25435E-02 -2.43

x(1,12) = LAG6[GDP] 77.38115E-06 0.70

x(1,13) = 1 98.65241E-03 3.96

x(1,14) = t (1971=1) -13.02945E-04 -3.91

[The p-values are two-sided and based on the normal approximation] s.e.: 26.45904E-04 R-Square: 1.0000 n: 35

y(2) = GDP Explanatory variables SUR estimate t-value

[p-value]

x(2,1) = LAG1[PPOP] -38.73401E+01 -1.33

x(2,2) = LAG1[GDP] 12.37104E-02 0.73

x(2,3) = LAG1[LN[EC]] 95.87790E-02 0.10

x(2,4) = LAG2[PPOP] 18.22289E+02 2.18

x(2,5) = LAG2[GDP] -17.19822E-02 -1.06

x(2,6) = LAG2[LN[EC]] -15.87832E+00 -1.11

x(2,7) = LAG3[PPOP] -33.85629E+02 -2.82

x(2,8) = LAG3[GDP] 14.48528E-02 0.93

x(2,9) = LAG3[LN[EC]] 75.74272E-01 0.48

x(2,10) = LAG4[PPOP] 36.74448E+02 3.04

x(2,11) = LAG4[GDP] 73.02239E-03 0.46

x(2,12) = LAG4[LN[EC]] -13.85006E+00 -0.91

x(2,13) = LAG5[PPOP] -25.53771E+02 -3.10

x(2,14) = LAG5[GDP] 10.20605E-02 0.64

x(2,15) = LAG5[LN[EC]] 24.15076E-01 0.17

x(2,16) = LAG6[PPOP] 88.00922E+01 3.29

x(2,17) = LAG6[GDP] -57.63343E-04 -0.03

x(2,18) = LAG6[LN[EC]] 21.54224E+00 1.86

x(2,19) = 1 -13.19295E+01 -1.46

x(2,20) = t (1971=1) 13.35983E-01 2.46

[The p-values are two-sided and based on the normal approximation] s.e.: 40.55079E-01 R-Square: 0.5222 n: 35

y(3) = LN[EC] Explanatory variables SUR estimate t-value

[p-value]

x(3,1) = LAG1[PPOP] 23.00842E-01 0.83

x(3,2) = LAG1[GDP] 13.31313E-05 0.08

x(3,3) = LAG1[LN[EC]] 10.85520E-01 12.81

x(3,4) = LAG2[PPOP] -89.16463E-01 -1.10

x(3,5) = LAG2[GDP] 45.33453E-05 0.29

x(3,6) = LAG2[LN[EC]] -61.27886E-02 -4.64

x(3,7) = LAG3[PPOP] 10.80624E+00 0.93

x(3,8) = LAG3[GDP] -42.46335E-05 -0.28

x(3,9) = LAG3[LN[EC]] 39.97384E-02 2.73

x(3,10) = LAG4[PPOP] -42.29124E-01 -0.36

x(3,11) = LAG4[GDP] 10.01865E-04 0.64

x(3,12) = LAG4[LN[EC]] -21.69368E-02 -1.55

x(3,13) = LAG5[PPOP] -21.17698E-01 -0.26

x(3,14) = LAG5[GDP] 17.27009E-04 1.11

x(3,15) = LAG5[LN[EC]] -41.30845E-04 -0.03

x(3,16) = LAG6[PPOP] 19.50980E-01 0.75

x(3,17) = LAG6[GDP] -11.18955E-04 -0.68

x(3,18) = LAG6[LN[EC]] 89.31285E-03 0.83

x(3,19) = 1 13.95089E-01 1.65

x(3,20) = t (1971=1) 14.80448E-03 2.81

[The p-values are two-sided and based on the normal approximation] s.e.: 40.48486E-03 R-Square: 0.9992 n: 35

y(4) = LN[CO] Explanatory variables SUR estimate t-value

[p-value]

x(4,1) = LAG1[PPOP] -81.54078E-01 -1.60

x(4,3) = LAG1[LN[EC]] -43.24202E-02 -2.51

x(4,4) = LAG1[LN[CO]] -40.36657E-02 -3.05

x(4,5) = LAG2[PPOP] 13.22375E+00 0.89

x(4,6) = LAG2[GDP] 10.55619E-03 3.51

x(4,7) = LAG2[LN[EC]] 25.86000E-02 1.09

x(4,8) = LAG2[LN[CO]] -84.64145E-02 -6.30

x(4,9) = LAG3[PPOP] -19.42916E+00 -0.90

x(4,10) = LAG3[GDP] 11.49671E-03 3.64

x(4,11) = LAG3[LN[EC]] -20.64905E-02 -0.78

x(4,12) = LAG3[LN[CO]] -55.80306E-02 -4.21

x(4,13) = LAG4[PPOP] 21.41127E+00 0.99

x(4,14) = LAG4[GDP] 16.23401E-03 4.96

x(4,15) = LAG4[LN[EC]] 39.41048E-03 0.16

x(4,16) = LAG4[LN[CO]] -50.39444E-02 -3.85

x(4,17) = LAG5[PPOP] -21.07370E+00 -1.43

x(4,18) = LAG5[GDP] 80.86322E-04 2.38

x(4,19) = LAG5[LN[EC]] 10.66605E-02 0.44

x(4,20) = LAG5[LN[CO]] -30.38918E-02 -2.90

x(4,21) = LAG6[PPOP] 65.56500E-01 1.34

x(4,22) = LAG6[GDP] 96.95986E-04 2.88

x(4,23) = LAG6[LN[EC]] 15.92638E-02 0.78

x(4,24) = LAG6[LN[CO]] -33.51175E-02 -3.74

x(4,25) = 1 67.05072E-01 3.29

x(4,26) = t (1971=1) 46.53875E-03 4.40

[The p-values are two-sided and based on the normal approximation] s.e.: 10.03632E-02 R-Square: 0.9956 n: 35

Error variance matrix based on SUR residuals: 4.20049E-006 -1.76569E-003 -2.63894E-005 -7.71072E-005 -1.76569E-003 7.04729E+000 4.59582E-002 1.56817E-002 -2.63894E-005 4.59582E-002 7.02439E-004 3.46600E-004 -7.71072E-005 1.56817E-002 3.46600E-004 2.59014E-003

= LL', where L = 2.04951E-003 0 0 0 -8.61519E-001 2.51099E+000 0 0 -1.28759E-002 1.38851E-002 1.85433E-002 0 -3.76223E-002 -6.66298E-003 -2.44329E-003 3.35311E-002

Maximum absolute difference of the elements of the matrix L with the corresponding elements of the previous matrix L: 16.72434E-004

L= 2.04951E-003 0 0 0 (5.17) [0.00000] -8.61519E-001 2.51099E+000 0 0 (-1.29) (10.73) [0.19871] [0.00000]

-1.28759E-002 1.38851E-002 1.85433E-002 0 (-2.26) (2.26) (7.25) [0.02355] [0.02385] [0.00000] -3.76223E-002 -6.66298E-003 -2.44329E-003 3.35311E-002 (-3.40) (-0.48) (-0.22) (6.13) [0.00067] [0.63202] [0.82526] [0.00000] (t-values in parenthesis) [p-values in parenthesis (two-sided, based on the normal approximation)]

Log-likelihood: 24.418282E+001

Dependent Variables: y(1) = PPOP y(2) = GDP y(3) = LN[EC] y(4) = LN[CO]

x(4,1) = LAG1[PPOP] -81.54078E-01 -1.60 x(4,2) = LAG1[GDP] 63.30034E-04 1.98 x(4,3) = LAG1[LN[EC]] -43.24202E-02 -2.51(*) x(4,4) = LAG1[LN[CO]] -40.36657E-02 -3.05 x(4,5) = LAG2[PPOP] 13.22375E+00 0.89 x(4,6) = LAG2[GDP] 10.55619E-03 3.51 x(4,7) = LAG2[LN[EC]] 25.86000E-02 1.09(*) x(4,8) = LAG2[LN[CO]] -84.64145E-02 -6.30 x(4,9) = LAG3[PPOP] -19.42916E+00 -0.90 x(4,10) = LAG3[GDP] 11.49671E-03 3.64 x(4,11) = LAG3[LN[EC]] -20.64905E-02 -0.78(*) x(4,12) = LAG3[LN[CO]] -55.80306E-02 -4.21 x(4,13) = LAG4[PPOP] 21.41127E+00 0.99 x(4,14) = LAG4[GDP] 16.23401E-03 4.96 x(4,15) = LAG4[LN[EC]] 39.41048E-03 0.16(*) x(4,16) = LAG4[LN[CO]] -50.39444E-02 -3.85 x(4,17) = LAG5[PPOP] -21.07370E+00 -1.43 x(4,18) = LAG5[GDP] 80.86322E-04 2.38 x(4,19) = LAG5[LN[EC]] 10.66605E-02 0.44(*) x(4,20) = LAG5[LN[CO]] -30.38918E-02 -2.90 x(4,21) = LAG6[PPOP] 65.56500E-01 1.34 x(4,22) = LAG6[GDP] 96.95986E-04 2.88 x(4,23) = LAG6[LN[EC]] 15.92638E-02 0.78(*) x(4,24) = LAG6[LN[CO]] -33.51175E-02 -3.74 x(4,25) = 1 67.05072E-01 3.29 x(4,26) = t (1971=1) 46.53875E-03 4.40 L(1,1) 20.49509E-04 5.17 L(2,1) -86.15194E-02 -1.29 L(2,2) 25.10990E-01 10.73 L(3,1) -12.87595E-03 -2.26 L(3,2) 13.88508E-03 2.26 L(3,3) 18.54328E-03 7.25 L(4,1) -37.62229E-03 -3.40 L(4,2) -66.62977E-04 -0.48 L(4,3) -24.43293E-04 -0.22 L(4,4) 33.53115E-03 6.13

Test of the null hypothesis that the parameters indicated by (*) are jointly zero: Wald test: 26.82 Asymptotic null distribution: Chi-square(6)

p-value = 0.00016 Significance levels: 10% 5% Critical values: 10.64 12.59 Conclusions: reject reject

x(4,1) = LAG1[PPOP] -81.54078E-01 -1.60 x(4,2) = LAG1[GDP] 63.30034E-04 1.98(*) x(4,3) = LAG1[LN[EC]] -43.24202E-02 -2.51 x(4,4) = LAG1[LN[CO]] -40.36657E-02 -3.05 x(4,5) = LAG2[PPOP] 13.22375E+00 0.89 x(4,6) = LAG2[GDP] 10.55619E-03 3.51(*) x(4,7) = LAG2[LN[EC]] 25.86000E-02 1.09 x(4,8) = LAG2[LN[CO]] -84.64145E-02 -6.30 x(4,9) = LAG3[PPOP] -19.42916E+00 -0.90 x(4,10) = LAG3[GDP] 11.49671E-03 3.64(*) x(4,11) = LAG3[LN[EC]] -20.64905E-02 -0.78 x(4,12) = LAG3[LN[CO]] -55.80306E-02 -4.21 x(4,13) = LAG4[PPOP] 21.41127E+00 0.99 x(4,14) = LAG4[GDP] 16.23401E-03 4.96(*) x(4,1) = LAG1[PPOP] -81.54078E-01 -1.60 x(4,2) = LAG1[GDP] 63.30034E-04 1.98(*) x(4,3) = LAG1[LN[EC]] -43.24202E-02 -2.51 x(4,4) = LAG1[LN[CO]] -40.36657E-02 -3.05 x(4,5) = LAG2[PPOP] 13.22375E+00 0.89 x(4,6) = LAG2[GDP] 10.55619E-03 3.51(*) x(4,7) = LAG2[LN[EC]] 25.86000E-02 1.09 x(4,8) = LAG2[LN[CO]] -84.64145E-02 -6.30 x(4,9) = LAG3[PPOP] -19.42916E+00 -0.90 x(4,10) = LAG3[GDP] 11.49671E-03 3.64(*) x(4,11) = LAG3[LN[EC]] -20.64905E-02 -0.78 x(4,12) = LAG3[LN[CO]] -55.80306E-02 -4.21 x(4,13) = LAG4[PPOP] 21.41127E+00 0.99 x(4,14) = LAG4[GDP] 16.23401E-03 4.96(*)

Test of the null hypothesis that the parameters indicated by (*) are jointly zero: Wald test: 51.55 Asymptotic null distribution: Chi-square(6)

p-value = 0.00000 Significance levels: 10% 5% Critical values: 10.64 12.59 Conclusions: reject reject

x(4,1) = LAG1[PPOP] -81.54078E-01 -1.60(*) x(4,2) = LAG1[GDP] 63.30034E-04 1.98 x(4,3) = LAG1[LN[EC]] -43.24202E-02 -2.51 x(4,4) = LAG1[LN[CO]] -40.36657E-02 -3.05 x(4,5) = LAG2[PPOP] 13.22375E+00 0.89(*) x(4,6) = LAG2[GDP] 10.55619E-03 3.51 x(4,7) = LAG2[LN[EC]] 25.86000E-02 1.09 x(4,8) = LAG2[LN[CO]] -84.64145E-02 -6.30 x(4,9) = LAG3[PPOP] -19.42916E+00 -0.90(*) x(4,10) = LAG3[GDP] 11.49671E-03 3.64 x(4,11) = LAG3[LN[EC]] -20.64905E-02 -0.78 x(4,12) = LAG3[LN[CO]] -55.80306E-02 -4.21 x(4,13) = LAG4[PPOP] 21.41127E+00 0.99(*) x(4,14) = LAG4[GDP] 16.23401E-03 4.96 x(4,15) = LAG4[LN[EC]] 39.41048E-03 0.16 x(4,16) = LAG4[LN[CO]] -50.39444E-02 -3.85 x(4,17) = LAG5[PPOP] -21.07370E+00 -1.43(*) x(4,18) = LAG5[GDP] 80.86322E-04 2.38 x(4,19) = LAG5[LN[EC]] 10.66605E-02 0.44 x(4,20) = LAG5[LN[CO]] -30.38918E-02 -2.90 x(4,21) = LAG6[PPOP] 65.56500E-01 1.34(*) x(4,22) = LAG6[GDP] 96.95986E-04 2.88 x(4,23) = LAG6[LN[EC]] 15.92638E-02 0.78 x(4,24) = LAG6[LN[CO]] -33.51175E-02 -3.74 x(4,25) = 1 67.05072E-01 3.29 x(4,26) = t (1971=1) 46.53875E-03 4.40 L(1,1) 20.49509E-04 5.17 L(2,1) -86.15194E-02 -1.29 L(2,2) 25.10990E-01 10.73 L(3,1) -12.87595E-03 -2.26 L(3,2) 13.88508E-03 2.26 L(3,3) 18.54328E-03 7.25 L(4,1) -37.62229E-03 -3.40 L(4,2) -66.62977E-04 -0.48 L(4,3) -24.43293E-04 -0.22 L(4,4) 33.53115E-03 6.13

Test of the null hypothesis that the parameters indicated by (*) are jointly zero: Wald test: 105.94 Asymptotic null distribution: Chi-square(6)

p-value = 0.00000 Significance levels: 10% 5% Critical values: 10.64 12.59 Conclusions: reject reject

x(2,1) = LAG1[PPOP] -38.73401E+01 -1.33

x(2,2) = LAG1[GDP] 12.37104E-02 0.73 x(2,3) = LAG1[LN[EC]] 95.87790E-02 0.10(*) x(2,4) = LAG2[PPOP] 18.22289E+02 2.18 x(2,5) = LAG2[GDP] -17.19822E-02 -1.06 x(2,6) = LAG2[LN[EC]] -15.87832E+00 -1.11(*) x(2,7) = LAG3[PPOP] -33.85629E+02 -2.82 x(2,8) = LAG3[GDP] 14.48528E-02 0.93 x(2,9) = LAG3[LN[EC]] 75.74272E-01 0.48(*) x(2,10) = LAG4[PPOP] 36.74448E+02 3.04 x(2,11) = LAG4[GDP] 73.02239E-03 0.46 x(2,12) = LAG4[LN[EC]] -13.85006E+00 -0.91(*) x(2,13) = LAG5[PPOP] -25.53771E+02 -3.10 x(2,14) = LAG5[GDP] 10.20605E-02 0.64 x(2,15) = LAG5[LN[EC]] 24.15076E-01 0.17(*) x(2,16) = LAG6[PPOP] 88.00922E+01 3.29 x(2,17) = LAG6[GDP] -57.63343E-04 -0.03 x(2,18) = LAG6[LN[EC]] 21.54224E+00 1.86(*) x(2,19) = 1 -13.19295E+01 -1.46 x(2,20) = t (1971=1) 13.35983E-01 2.46 x(3,1) = LAG1[PPOP] 23.00842E-01 0.83 x(3,2) = LAG1[GDP] 13.31313E-05 0.08(*) x(3,3) = LAG1[LN[EC]] 10.85520E-01 12.81 x(3,4) = LAG2[PPOP] -89.16463E-01 -1.10 x(3,5) = LAG2[GDP] 45.33453E-05 0.29(*) x(3,6) = LAG2[LN[EC]] -61.27886E-02 -4.64 x(3,7) = LAG3[PPOP] 10.80624E+00 0.93 x(3,8) = LAG3[GDP] -42.46335E-05 -0.28(*) x(3,9) = LAG3[LN[EC]] 39.97384E-02 2.73 x(3,10) = LAG4[PPOP] -42.29124E-01 -0.36 x(3,11) = LAG4[GDP] 10.01865E-04 0.64(*) x(3,12) = LAG4[LN[EC]] -21.69368E-02 -1.55 x(3,13) = LAG5[PPOP] -21.17698E-01 -0.26 x(3,14) = LAG5[GDP] 17.27009E-04 1.11(*) x(3,15) = LAG5[LN[EC]] -41.30845E-04 -0.03 x(3,16) = LAG6[PPOP] 19.50980E-01 0.75 x(3,17) = LAG6[GDP] -11.18955E-04 -0.68(*) x(3,18) = LAG6[LN[EC]] 89.31285E-03 0.83 L(1,1) 20.49509E-04 5.17 L(2,1) -86.15194E-02 -1.29 L(2,2) 25.10990E-01 10.73 L(3,1) -12.87595E-03 -2.26 L(3,2) 13.88508E-03 2.26 L(3,3) 18.54328E-03 7.25 L(4,1) -37.62229E-03 -3.40 L(4,2) -66.62977E-04 -0.48 L(4,3) -24.43293E-04 -0.22 L(4,4) 33.53115E-03 6.13

Test of the null hypothesis that the parameters indicated by (*) are jointly zero: Wald test: 24.33 Asymptotic null distribution: Chi-square(12)

p-value = 0.01834 Significance levels: 10% 5% Critical values: 18.55 21.03 Conclusions: reject reject

x(3,1) = LAG1[PPOP] 23.00842E-01 0.83(*) x(3,2) = LAG1[GDP] 13.31313E-05 0.08 x(3,3) = LAG1[LN[EC]] 10.85520E-01 12.81 x(3,4) = LAG2[PPOP] -89.16463E-01 -1.10(*) x(3,5) = LAG2[GDP] 45.33453E-05 0.29 x(3,6) = LAG2[LN[EC]] -61.27886E-02 -4.64 x(3,7) = LAG3[PPOP] 10.80624E+00 0.93(*) x(3,8) = LAG3[GDP] -42.46335E-05 -0.28 x(3,9) = LAG3[LN[EC]] 39.97384E-02 2.73 x(3,10) = LAG4[PPOP] -42.29124E-01 -0.36(*) x(3,11) = LAG4[GDP] 10.01865E-04 0.64 x(3,12) = LAG4[LN[EC]] -21.69368E-02 -1.55 x(3,13) = LAG5[PPOP] -21.17698E-01 -0.26(*) x(3,14) = LAG5[GDP] 17.27009E-04 1.11 x(3,15) = LAG5[LN[EC]] -41.30845E-04 -0.03 x(3,16) = LAG6[PPOP] 19.50980E-01 0.75(*) x(3,17) = LAG6[GDP] -11.18955E-04 -0.68 x(3,18) = LAG6[LN[EC]] 89.31285E-03 0.83 x(3,19) = 1 13.95089E-01 1.65 x(3,20) = t (1971=1) 14.80448E-03 2.81 L(1,1) 20.49509E-04 5.17

L(2,1) -86.15194E-02 -1.29 L(2,2) 25.10990E-01 10.73 L(3,1) -12.87595E-03 -2.26 L(3,2) 13.88508E-03 2.26 L(3,3) 18.54328E-03 7.25 L(4,1) -37.62229E-03 -3.40 L(4,2) -66.62977E-04 -0.48 L(4,3) -24.43293E-04 -0.22 L(4,4) 33.53115E-03 6.13

Test of the null hypothesis that the parameters indicated by (*) are jointly zero: Wald test: 19.32 Asymptotic null distribution: Chi-square(6)

p-value = 0.00366 Significance levels: 10% 5% Critical values: 10.64 12.59 Conclusions: reject reject