3. Estimasi Persamaan VAR 1
3.1. Uji Lag Optimal
VAR Lag Order Selection Criteria Endogenous variables: DLR DLO DLIP RSR
Exogenous variables: C Date: 080312 Time: 14:31
Sample: 2000M01 2011M12 Included observations: 138
Lag LogL
LR FPE
AIC SC
HQ 732.3843
NA 3.06e-10
-10.55629 -10.47145 -10.52181 1
781.1710 94.03799
1.90e-10 -11.03146
-10.60722 -10.85906
2 796.0141
27.75015 1.94e-10
-11.01470 -10.25107 -10.70438 3
805.5259 17.23165
2.13e-10 -10.92067 -9.817642 -10.47242
4 820.9768
27.09494 2.15e-10
-10.91271 -9.470292 -10.32654 5
830.1013 15.47200
2.39e-10 -10.81306 -9.031255 -10.08898
3.2. Uji Stabilitas Persamaan VAR
Roots of Characteristic Polynomial Endogenous variables: DLR DLO DLIP RSR
Exogenous variables: C Lag specification: 1 1
Date: 080312 Time: 14:31
Root Modulus
0.433171 0.433171
-0.388276 0.388276
0.387107 0.387107
0.153325 0.153325
No root lies outside the unit circle. VAR satisfies the stability condition.
3.3. Output VAR
Vector Autoregression Estimates Date: 080312 Time: 14:32
Sample adjusted: 2000M03 2011M12 Included observations: 142 after adjustments
Standard errors in t-statistics in [ ] DLR
DLO DLIP
RSR DLR-1
0.399785 -0.040079
0.095819 0.159085
0.07834 0.10551
0.10080 0.12154
[ 5.10348]
[-0.37986] [ 0.95055]
[ 1.30889] DLO-1
0.004854 0.327663
0.149142 0.065622
0.05909 0.07959
0.07604 0.09169
[ 0.08214] [ 4.11672]
[ 1.96128] [ 0.71572]
DLIP-1 -0.051247 0.126122 -0.370471
0.034273 0.05782
0.07787 0.07440
0.08970 [-0.88637]
[ 1.61958]
[-4.97947] [ 0.38207]
RSR-1 0.031258
0.133870 0.003594
0.228350 0.05290
0.07125 0.06807
0.08207 [ 0.59093]
[ 1.87900] [ 0.05280]
[ 2.78237] C
-0.003276 0.001628
0.004245 0.005851
0.00405 0.00545
0.00521 0.00628
[-0.80951] [
0.29878] [ 0.81522]
[ 0.93190] R-squared
0.167823 0.146776
0.172492 0.068384
Adj. R-squared 0.143526
0.121864 0.148331
0.041184 Sum sq. resids
0.309167 0.560871
0.511954 0.744254
S.E. equation 0.047505
0.063984 0.061130
0.073706 F-statistic
6.907129 5.891847
7.139307 2.514079
Log likelihood 233.7196
191.4312 197.9104
171.3459 Akaike AIC
-3.221403 -2.625792
-2.717048 -2.342900
Schwarz SC -3.117324
-2.521714 -2.612970
-2.238822 Mean dependent
-0.005493 0.005003
0.002847 0.006859
S.D. dependent 0.051331
0.068279 0.066240
0.075272 Determinant resid covariance dof adj.
1.78E-10 Determinant resid covariance
1.55E-10 Log likelihood
797.9617 Akaike information criterion
-10.95721 Schwarz criterion
-10.54089
4.
Estimasi VAR 2 4.1. Uji Lag Optimal
VAR Lag Order Selection Criteria Endogenous variables: DLR VT DLIP RSR
Exogenous variables: C Date: 080312 Time: 14:34
Sample: 2000M01 2011M12 Included observations: 137
Lag LogL
LR FPE
AIC SC
HQ 360.9224
NA 6.41e-08
-5.210546 -5.125291 -5.175900
1 397.5080
70.50075 4.75e-08
-5.511066 -5.084791
-5.337838 2
406.8779 17.50871
5.24e-08 -5.414276 -4.646982 -5.102466
3 417.8010
19.77329 5.65e-08
-5.340161 -4.231847 -4.889769 4
428.1752 18.17363
6.15e-08 -5.258032 -3.808698 -4.669058
5 441.9614
23.34611 6.38e-08
-5.225714 -3.435361 -4.498158 indicates lag order selected by the criterion
LR: sequential modified LR test statistic each test at 5 level FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion
Uji Stabilitas VAR 2
Roots of Characteristic Polynomial Endogenous variables: DLR VT DLIP RSR
Exogenous variables: C Lag specification: 1 1
Date: 080312 Time: 14:35
Root Modulus
0.430468 0.430468
-0.333060 0.333060
0.099259 - 0.045836i 0.109331
0.099259 + 0.045836i 0.109331
No root lies outside the unit circle. VAR satisfies the stability condition.
4.3. Output VAR 2
Kategori