Lampiran 3 Kointegrasi
a. Hasil Uji Akar Unit terhadap Residual Persamaan Regresi
Null Hypothesis: U has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=8 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-5.200239 0.0000
Test critical values: 1 level
-2.647120 5
level -1.952910
10 level
-1.610011 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DU
Method: Least Squares Date: 041907 Time: 18:13
Sampleadjusted: 1976 2004 Included observations: 29 after adjusting endpoints
Variable Coefficient Std.
Error t-Statistic
Prob. U-1 -0.910560
0.175100 -5.200239
0.0000 R-squared
0.489217 Mean dependent var 0.124142
Adjusted R-squared 0.489217 S.D. dependent var
1.973356 S.E. of regression
1.410340 Akaike info criterion 3.559412
Sum squared resid 55.69363 Schwarz criterion
3.606561 Log likelihood
-50.61148 Durbin-Watson stat 1.973045
b. Model Jangka Panjang
Dependent Variable: Y Method: Least Squares
Date: 042207 Time: 18:26 Sample: 1975 2004
Included observations: 30
Variable Coefficient Std.
Error t-Statistic
Prob. C -22.11676
6.515853 -3.394300
0.0024 LN_RUTIN -2.046662
0.845356 -2.421064
0.0234 LN_PEMB 1.318086
1.092483 1.206505
0.2394 LN_INVEST 0.285652
0.405861 0.703816
0.4883 LN_LABOR 3.932046
0.839725 4.682538
0.0001 INF -0.233060
0.024255 -9.608633
0.0000 R-squared
0.861528 Mean dependent var 5.397000
Adjusted R-squared 0.832680 S.D. dependent var
4.030403 S.E. of regression
1.648628 Akaike info criterion 4.014620
Sum squared resid 65.23138 Schwarz criterion
4.294860 Log likelihood
-54.21930 F-statistic 29.86407
Durbin-Watson stat 1.678375 ProbF-statistic
0.000000
Lampiran 4 Uji Kebaikan Model ECM
a. Uji Autokorelasi
Breusch-Godfrey Serial Correlation LM Test: F-statistic
0.388709 Probability 0.685552
ObsR-squared 0.000000 Probability
1.000000
b. Uji Heteroskedastisitas
ARCH Test: F-statistic
1.103146 Probability 0.349493
ObsR-squared 2.278635 Probability
0.320037 White Heteroskedasticity Test:
F-statistic 3.778905 Probability
0.230298 ObsR-squared
26.41744 Probability 0.332330
c. Uji Normalitas