5.2 Variabel-variabel Fungsi Ekspor Kain dan Benang Indonesia ke Amerika Serikat.
a. Pada saat Level
• Volume Ekspor LnXt
Null Hypothesis: LNXT has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-2.782770 0.2078
Test critical values: 1 level
-4.073859 5
level -3.465548
10 level
-3.159372 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLNXT
Method: Least Squares Date: 041807 Time: 21:29
Sampleadjusted: 2000:03 2006:12 Included observations: 82 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. LNXT-1 -0.258492
0.092890 -2.782770
0.0068 DLNXT-1 -0.269580
0.109579 -2.460148
0.0161 C 4.318528
1.552963 2.780832
0.0068 TREND2000:01 -0.000220
0.000695 -0.316092 0.7528
R-squared 0.234718 Mean dependent var
0.002062 Adjusted R-squared
0.205284 S.D. dependent var 0.164732
S.E. of regression 0.146853 Akaike info criterion
-0.951217 Sum squared resid
1.682135 Schwarz criterion -0.833816
Log likelihood 42.99991 F-statistic
7.974390 Durbin-Watson stat
2.018297 ProbF-statistic 0.000105
• Produksi LnQt
Null Hypothesis: LNQT has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-1.297331 0.8817
Test critical values: 1 level
-4.073859 5
level -3.465548
10 level
-3.159372 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLNQT
Method: Least Squares Date: 041807 Time: 21:27
Sampleadjusted: 2000:03 2006:12
Included observations: 82 after adjusting endpoints Variable Coefficient
Std. Error
t-Statistic Prob.
LNQT-1 -0.091341 0.070407
-1.297331 0.1983
DLNQT-1 -0.302845 0.107374
-2.820464 0.0061
C 0.392500 0.318632
1.231829 0.2217
TREND2000:01 0.000540 0.000360
1.499673 0.1377 R-squared
0.170147 Mean dependent var 0.002322
Adjusted R-squared 0.138229 S.D. dependent var
0.082976 S.E. of regression
0.077028 Akaike info criterion -2.241740
Sum squared resid 0.462801 Schwarz criterion
-2.124339 Log likelihood
95.91136 F-statistic 5.330833
Durbin-Watson stat 1.971847 ProbF-statistic
0.002153
• Harga Ekspor LnHEt
Null Hypothesis: LNHET has a unit root Exogenous: Constant, Linear Trend
Lag Length: 3 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-1.354257 0.8667
Test critical values: 1 level
-4.076860 5
level -3.466966
10 level
-3.160198 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLNHET
Method: Least Squares Date: 041807 Time: 21:27
Sampleadjusted: 2000:05 2006:12 Included observations: 80 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. LNHET-1 -0.146468
0.108154 -1.354257
0.1798 DLNHET-1 -0.513149
0.137209 -3.739896
0.0004 DLNHET-2 -0.315945
0.132740 -2.380181
0.0199 DLNHET-3 -0.214404
0.108643 -1.973481
0.0522 C 0.155403
0.129321 1.201677
0.2333 TREND2000:01 0.000194
0.000451 0.430715
0.6679 R-squared
0.322587 Mean dependent var 0.000422
Adjusted R-squared 0.276816 S.D. dependent var
0.101228 S.E. of regression
0.086085 Akaike info criterion -1.994936
Sum squared resid 0.548380 Schwarz criterion
-1.816284 Log likelihood
85.79744 F-statistic 7.047815
Durbin-Watson stat 1.959059 ProbF-statistic
0.000020
• Harga Domestik LnHDt
Null Hypothesis: LNHDT has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-0.773509 0.9634
Test critical values: 1 level
-4.073859 5
level -3.465548
10 level
-3.159372 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLNHDT
Method: Least Squares Date: 041807 Time: 21:26
Sampleadjusted: 2000:03 2006:12 Included observations: 82 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. LNHDT-1 -0.027027
0.034941 -0.773509
0.4416 DLNHDT-1 0.129799
0.115748 1.121386
0.2656 C 0.123951
0.160344 0.773030
0.4418 TREND2000:01 0.000126
9.15E-05 1.375814
0.1728 R-squared
0.046313 Mean dependent var 0.003102
Adjusted R-squared 0.009633 S.D. dependent var
0.010609 S.E. of regression
0.010558 Akaike info criterion -6.216266
Sum squared resid 0.008695 Schwarz criterion
-6.098865 Log likelihood
258.8669 F-statistic 1.262614
Durbin-Watson stat 2.027932 ProbF-statistic
0.293062
• Nilai Tukar Rupiah LnERt
Null Hypothesis: LNERT has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-3.374929 0.0619
Test critical values: 1 level
-4.073859 5
level -3.465548
10 level
-3.159372 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLNERT
Method: Least Squares Date: 041807 Time: 21:12
Sampleadjusted: 2000:03 2006:12 Included observations: 82 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. LNERT-1 -0.181984
0.053922 -3.374929
0.0012 DLNERT-1 0.174690
0.106782 1.635957
0.1059
C 1.668764 0.491670
3.394071 0.0011
TREND2000:01 -0.000137 0.000180
-0.758691 0.4503
R-squared 0.150534 Mean dependent var
0.002242 Adjusted R-squared
0.117862 S.D. dependent var 0.040699
S.E. of regression 0.038225 Akaike info criterion
-3.643080 Sum squared resid
0.113972 Schwarz criterion -3.525679
Log likelihood 153.3663 F-statistic
4.607451 Durbin-Watson stat
2.003017 ProbF-statistic 0.005077
• Dummy Kebijakan Penghapusan Kuota Dt
Null Hypothesis: DT has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-1.928897 0.6305
Test critical values: 1 level
-4.072415 5
level -3.464865
10 level
-3.158974 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DDT
Method: Least Squares Date: 041907 Time: 21:19
Sampleadjusted: 2000:02 2006:12 Included observations: 83 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. DT-1 -0.081077
0.042033 -1.928897
0.0573 C -0.030671
0.027729 -1.106105
0.2720 TREND2000:01 0.001552
0.000785 1.976576
0.0515 R-squared
0.051019 Mean dependent var 0.012048
Adjusted R-squared 0.027294 S.D. dependent var
0.109764 S.E. of regression
0.108256 Akaike info criterion -1.573162
Sum squared resid 0.937548 Schwarz criterion
-1.485734 Log likelihood
68.28623 F-statistic 2.150472
Durbin-Watson stat 1.967223 ProbF-statistic
0.123112
b. Pada saat first Difference
• Volume Ekspor LnXt
Null Hypothesis: DLNXT has a unit root Exogenous: None
Lag Length: 2 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-7.841444 0.0000
Test critical values: 1 level
-2.594189 5 level
-1.944915 10 level
-1.614114
MacKinnon 1996 one-sided p-values. Augmented Dickey-Fuller Test Equation
Dependent Variable: DLNXT,2 Method: Least Squares
Date: 041807 Time: 21:29 Sampleadjusted: 2000:05 2006:12
Included observations: 80 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. DLNXT-1 -2.011774
0.256557 -7.841444
0.0000 DLNXT-1,2 0.508152
0.195238 2.602730
0.0111 DLNXT-2,2 0.236301
0.110668 2.135220
0.0359 R-squared
0.723797 Mean dependent var 0.001991
Adjusted R-squared 0.716623 S.D. dependent var
0.277174 S.E. of regression
0.147549 Akaike info criterion -0.952539
Sum squared resid 1.676335 Schwarz criterion
-0.863213 Log likelihood
41.10158 Durbin-Watson stat 2.008139
• Produksi
LnQt
Null Hypothesis: DLNQT has a unit root Exogenous: None
Lag Length: 0 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-13.31755 0.0000
Test critical values: 1 level
-2.593468 5
level -1.944811
10 level
-1.614175 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLNQT,2
Method: Least Squares Date: 041807 Time: 21:34
Sampleadjusted: 2000:03 2006:12 Included observations: 82 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. DLNQT-1 -1.344041
0.100923 -13.31755
0.0000 R-squared
0.686463 Mean dependent var -0.001039
Adjusted R-squared 0.686463 S.D. dependent var
0.138634 S.E. of regression
0.077627 Akaike info criterion -2.261680
Sum squared resid 0.488104 Schwarz criterion
-2.232329 Log likelihood
93.72886 Durbin-Watson stat 1.957240
• Harga
Ekspor LnHEt
Null Hypothesis: DLNHET has a unit root Exogenous: None
Lag Length: 2 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-8.728042 0.0000
Test critical values: 1 level
-2.594189 5
level -1.944915
10 level
-1.614114 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLNHET,2
Method: Least Squares Date: 041807 Time: 21:27
Sampleadjusted: 2000:05 2006:12 Included observations: 80 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. DLNHET-1 -2.254003
0.258248 -8.728042 0.0000
DLNHET-1,2 0.640442 0.189410
3.381252 0.0011 DLNHET-2,2 0.255635
0.103067 2.480284 0.0153
R-squared 0.756177 Mean dependent var
0.001807 Adjusted R-squared
0.749844 S.D. dependent var 0.171943
S.E. of regression 0.085999 Akaike info criterion
-2.032194 Sum squared resid
0.569473 Schwarz criterion -1.942868
Log likelihood 84.28776 Durbin-Watson stat
1.970945
• Harga Domestik LnHDt
Null Hypothesis: DLNHDT has a unit root Exogenous: None
Lag Length: 1 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-4.745946 0.0000
Test critical values: 1 level
-2.593824 5
level -1.944862
10 level
-1.614145 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLNHDT,2
Method: Least Squares Date: 041807 Time: 21:39
Sampleadjusted: 2000:04 2006:12 Included observations: 81 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. DLNHDT-1 -0.667117
0.140566 -4.745946
0.0000 DLNHDT-1,2 -0.163256
0.111116 -1.469237
0.1457 R-squared
0.414662 Mean dependent var 6.05E-05
Adjusted R-squared 0.407253 S.D. dependent var
0.014053
S.E. of regression 0.010819 Akaike info criterion
-6.190554 Sum squared resid
0.009248 Schwarz criterion -6.131432
Log likelihood 252.7175 Durbin-Watson stat
1.998142
• Nilai Tukar Rupiah LnERt
Null Hypothesis: DLNERT has a unit root Exogenous: None
Lag Length: 0 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-7.917067 0.0000
Test critical values: 1 level
-2.593468 5
level -1.944811
10 level
-1.614175 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DLNERT,2
Method: Least Squares Date: 041807 Time: 21:47
Sampleadjusted: 2000:03 2006:12 Included observations: 82 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. DLNERT-1 -0.873012
0.110270 -7.917067
0.0000 R-squared
0.436226 Mean dependent var -0.000325
Adjusted R-squared 0.436226 S.D. dependent var
0.053848 S.E. of regression
0.040432 Akaike info criterion -3.566276
Sum squared resid 0.132414 Schwarz criterion
-3.536926 Log likelihood
147.2173 Durbin-Watson stat 1.977903
• Dummy
Kebijakan Penghapusan Kuota Dt
Null Hypothesis: DDT has a unit root Exogenous: None
Lag Length: 0 Automatic based on AIC, MAXLAG=11 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-9.000000 0.0000
Test critical values: 1 level
-2.593468 5
level -1.944811
10 level
-1.614175 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DDT,2
Method: Least Squares Date: 041807 Time: 21:51
Sampleadjusted: 2000:03 2006:12 Included observations: 82 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. DDT-1 -1.000000
0.111111 -9.000000
0.0000
R-squared 0.500000 Mean dependent var
0.000000 Adjusted R-squared
0.500000 S.D. dependent var 0.157135
S.E. of regression 0.111111 Akaike info criterion
-1.544452 Sum squared resid
1.000000 Schwarz criterion -1.515102
Log likelihood 64.32253 Durbin-Watson stat
2.000000
Lampiran 6 Penetapan Lag Optimal
6.1 Variabel-Variabel Fungsi Ekspor Pakaian Jadi Indonesia ke Amerika Serikat
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