Lampiran 7
Hasil Pengujian Lag Optimal
a. ,
a. 1. Panjang lag maksimum
Roots of Characteristic Polynomial Endogenous variables: DEMPSHARE DPDBCAP DPDBCAP2 INV
Exogenous variables: C Lag specification: 1 6
Date: 022210 Time: 10:11 Root
Modulus 0.990607
0.990607 0.038351 + 0.960952i
0.961717 0.038351 - 0.960952i
0.961717 -0.944887
0.944887 0.899390 - 0.118149i
0.907117 0.899390 + 0.118149i
0.907117 -0.881912
0.881912 -0.000841 - 0.858841i
0.858842 -0.000841 + 0.858841i
0.858842 0.341498 - 0.751713i
0.825647 0.341498 + 0.751713i
0.825647 0.694910 + 0.407300i
0.805477 0.694910 - 0.407300i
0.805477 0.596038 + 0.490977i
0.772217 0.596038 - 0.490977i
0.772217 -0.230887 - 0.674989i
0.713385 -0.230887 + 0.674989i
0.713385 -0.352707 - 0.601279i
0.697093 -0.352707 + 0.601279i
0.697093 -0.681343
0.681343 -0.500928 - 0.315123i
0.591803 -0.500928 + 0.315123i
0.591803 0.135670 - 0.368348i
0.392539 0.135670 + 0.368348i
0.392539 No root lies outside the unit circle.
VAR satisfies the stability condition.
Panjang lag maksimum yang memenuhi kondisi kestabilan VAR adalah 6.
Lanjutan Lampiran 7
a. 2. Lag length criteria
VAR Lag Order Selection Criteria Endogenous variables: DEMPSHARE DPDBCAP DPDBCAP2 INV
Exogenous variables: C Date: 022210 Time: 10:12
Sample: 1988Q1 2008Q4 Included observations: 77
Lag LogL
LR FPE
AIC SC
HQ -20.16884
NA 2.20e-05
0.627762 0.749518
0.676463 1
48.66668 128.7314
5.59e-06 -0.744589 -0.135808 -0.501082
2 90.71490
74.26699 2.85e-06
-1.421166 -0.325361 -0.982854 3
113.9515 38.62705
2.38e-06 -1.609130 -0.026300 -0.976012
4 175.5498
95.99736 7.41e-07 -2.793501
-0.723647 -1.965578
5 180.8553
7.717028 1.00e-06
-2.515721 0.041158 -1.492992
6 191.6022
14.51539 1.20e-06
-2.379279 0.664625 -1.161744
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
a. 3. Lag optimal
Lag optimal adalah 4 dan tidak perlu dilakukan pembandingan Adj. R-
squared karena dari kelima kriteria tersebut menyarankan lag 4.
Lanjutan Lampiran 7
b.
, ,
b. 1. Panjang lag maksimum
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