Hasil uji kointegrasi
Lampiran 6. Hasil uji kointegrasi
Sample (adjusted): 1991Q3 2009Q3 Included observations: 73 after adjustments Trend assumption: Linear deterministic trend Series: LNPDB LNIHK3 LNGOV LNM2 SBI LNKURS Lags interval (in first differences): 1 to 5
Unrestricted Cointegration Rank Test (Trace) Hypothesized
Trace
No. of CE(s) Eigenvalue
Statistic
Critical Value
At most 1 * 0.498700
At most 2 * 0.405438
At most 3 * 0.227581
At most 4 0.174068
At most 5 0.008928
Trace test indicates 4 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized
Max-Eigen
No. of CE(s) Eigenvalue
Statistic
Critical Value
At most 1 * 0.498700
At most 2 * 0.405438
At most 3 0.227581
At most 4 0.174068
At most 5 0.008928
Max-eigenvalue test indicates 3 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): LNPDB
LNKURS -39.94024
Unrestricted Adjustment Coefficients (alpha): D(LNPDB)
0.002726 -0.001153 D(LNIHK3)
0.002032 -0.000909 D(LNGOV)
0.007761 -0.000683 D(LNM2)
-0.000739 -0.001204 D(SBI)
0.315825 -0.025804 D(LNKURS)
1 Cointegrating Equation(s):
Log likelihood
Normalized cointegrating coefficients (standard error in parentheses) LNPDB
(0.07193) Adjustment coefficients (standard error in parentheses)
D(LNPDB) -0.076251 (0.11789) D(LNIHK3)
D(LNGOV) 1.152433 (0.28727)
D(LNM2) -0.308326 (0.12403) D(SBI)
D(LNKURS) -1.532619 (0.47556)
2 Cointegrating Equation(s):
Log likelihood
Normalized cointegrating coefficients (standard error in parentheses) LNPDB
LNKURS 1.000000
LNIHK3
LNGOV
LNM2
SBI
(0.04777) Adjustment coefficients (standard error in parentheses)
D(LNPDB) -0.314584
D(LNIHK3) 0.097389
D(LNGOV) 1.227582
D(LNM2) -0.130021
D(SBI) 14.74822
D(LNKURS) -0.720736
3 Cointegrating Equation(s):
Log likelihood
Normalized cointegrating coefficients (standard error in parentheses) LNPDB
(6.15990) Adjustment coefficients (standard error in parentheses)
D(LNPDB) -0.511242
D(LNIHK3) -0.062281
D(LNGOV) 2.008203
D(LNM2) 0.188582
D(SBI) 18.82651
D(LNKURS) 0.125486
4 Cointegrating Equation(s):
Log likelihood
Normalized cointegrating coefficients (standard error in parentheses) LNPDB
(0.06210) Adjustment coefficients (standard error in parentheses)
D(LNPDB) -0.509504
D(LNIHK3) -0.063330
D(LNGOV) 1.989282
D(LNM2) 0.190932
D(SBI) 20.41253
D(LNKURS) 0.138514
5 Cointegrating Equation(s):
Log likelihood
Normalized cointegrating coefficients (standard error in parentheses) LNPDB
Adjustment coefficients (standard error in parentheses) D(LNPDB)
(0.00201) D(LNIHK3)
(0.00143) D(LNGOV)
(0.00494) D(LNM2)
(0.00214) D(SBI)
(0.21344) D(LNKURS)
Sample (adjusted): 1991Q3 2009Q3 Included observations: 73 after adjustments Trend assumption: Linear deterministic trend Series: LNIHK3 LNPDB LNGOV LNM2 SBI LNKURS Lags interval (in first differences): 1 to 5
Unrestricted Cointegration Rank Test (Trace) Hypothesized
Trace
No. of CE(s) Eigenvalue
Statistic
Critical Value
At most 1 * 0.498700
At most 2 * 0.405438
At most 3 * 0.227581
At most 4 0.174068
At most 5 0.008928
Trace test indicates 4 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized
Max-Eigen
No. of CE(s) Eigenvalue
Statistic
Critical Value
At most 1 * 0.498700
At most 2 * 0.405438
At most 3 0.227581
At most 4 0.174068
At most 5 0.008928
Max-eigenvalue test indicates 3 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): LNIHK3
LNKURS -10.16073
Unrestricted Adjustment Coefficients (alpha): D(LNIHK3)
-0.002032 -0.000909 D(LNPDB)
-0.002726 -0.001153 D(LNGOV)
-0.007761 -0.000683 D(LNM2)
0.000739 -0.001204 D(SBI)
-0.315825 -0.025804 D(LNKURS)
Log likelihood
Equation(s): Normalized cointegrating coefficients (standard error in parentheses)
LNKURS 1.000000
LNIHK3 LNPDB
(0.19600) Adjustment coefficients (standard error in parentheses)
D(LNIHK3) 0.003551 (0.02020)
D(LNPDB) -0.019398 (0.02999) D(LNGOV)
D(LNM2) -0.078438 (0.03155) D(SBI)
D(LNKURS) -0.389896 (0.12098)
2 Cointegrating Equation(s):
Log likelihood
Normalized cointegrating coefficients (standard error in parentheses) LNIHK3
(0.04311) Adjustment coefficients (standard error in parentheses)
D(LNIHK3) -0.132779
D(LNPDB) 0.370053
D(LNGOV) 0.170378
D(LNM2) -0.369799
D(SBI) -15.56620
D(LNKURS) -1.716560
3 Cointegrating Equation(s):
Log likelihood
Normalized cointegrating coefficients (standard error in parentheses) LNIHK3
(6.15990) Adjustment coefficients (standard error in parentheses)
D(LNIHK3) -0.297649
D(LNPDB) 0.166991
D(LNGOV) 0.976420
D(LNM2) -0.040820
D(SBI) -11.35509
D(LNKURS) -0.842781
4 Cointegrating Equation(s):
Log likelihood
Normalized cointegrating coefficients (standard error in parentheses) LNIHK3
(0.06210) Adjustment coefficients (standard error in parentheses)
D(LNIHK3) -0.294881
D(LNPDB) 0.162403
D(LNGOV) 1.026355
D(LNM2) -0.047022
D(SBI) -15.54081
D(LNKURS) -0.877163
5 Cointegrating Equation(s):
Log likelihood
Normalized cointegrating coefficients (standard error in parentheses) LNIHK3
Adjustment coefficients (standard error in parentheses)
D(LNIHK3) -0.316270
(0.00143) D(LNPDB)
(0.00201) D(LNGOV)
(0.00494) D(LNM2)
(0.00214) D(SBI)
(0.21344) D(LNKURS) -1.091847