Analisis Interdependensi Instrumen Kebijakan Moneter Dan Pengaruhnya Terhadap Indikator Ekonomi Makro Indonesia
LAMPIRAN 1
DATA PENELITIAN
Tahun
Q
OPT
1
2000
2001
2002
2003
2004
2005
GWM
RSBI
rDOM
EXC
EXP
IMP
52.345,04
11,03
11,35
7.506,67
10.852,19
5.168,90
2 1.024.725,50 53.318,48
11,43
10,43
8.433,33
12.072,20
6.349,78
3
957.600,80
54.058,08
13,57
11,10
8.691,00
13.371,36
7.840,35
4
852.551,00
55.988,80
14,14
11,79
9.506,67
12.187,59
6.671,34
1 1.022.552,00 56.205,36
15,04
13,48
9.895,00
11.193,31
5.936,07
2
911.424,00
60.382,00
16,36
13,87
11.391,00
11.182,69
5.929,23
3
942.884,00
62.480,24
17,47
14,85
9.355,00
10.960,14
5.061,81
4
848.788,00
63.788,96
17,60
15,89
10.421,67
9.900,66
5.886,66
1 1.156.279,00 64.462,08
16,85
15,83
10.054,67
9.715,61
4.743,93
2 1.086.899,00 65.365,28
15,74
15,09
8.943,67
11.637,87
5.786,24
3 1.105.995,00 65.672,16
14,17
13,84
8.996,67
12.548,39
6.638,45
4
66.862,24
13,03
12,91
9.049,67
11.019,32
5.914,78
1 1.192.264,00 66.672,88
12,11
12,30
8.896,33
11.666,29
7.221,59
2 1.270.077,00 134.791,12
10,34
10,92
8.413,00
11.772,79
6.177,53
3 1.469.497,00 137.275,52
8,89
8,26
8.476,33
11.941,34
5.603,10
4 1.353.149,00 141.435,68
8,43
7,02
8.499,00
11.178,05
6.061,38
1
412.751,00
140.927,28
7,59
6,04
8.491,67
11.048,75
7.956,05
2
355.997,00
214.464,80
7,33
6,08
9.095,33
13.528,19
8.484,42
3
288.908,00
175.347,92
7,37
6,28
9.222,00
14.819,05
8.955,60
4
312.166,00
225.889,76
7,42
6,37
9.132,67
14.907,61
9.440,79
1
299.939,00
228.651,84
7,43
6,47
9.301,67
15.425,86
14.423,96
2
315.501,00
238.108,88
7,97
6,77
9.592,67
16.775,43
14.964,34
968.521,35
952.810,00
2006
2007
2008
2009
2010
2011
3
221.438,00
82.594,08
9,33
7,98
10.123,00
16.359,71
14.508,78
4
167.999,00
212.641,12
12,00
11,29
9.985,00
17.449,43
13.707,44
1
371.719,00
269.099,76
12,75
11,82
9.233,33
17.661,13
14.692,27
2
484.120,00
196.428,24
12,58
11,43
9.098,33
19.386,52
14.884,49
3
535.250,00
198.023,04
11,75
10,79
9.135,00
21.525,64
15.567,37
4
583.728,00
301.736,80
10,25
9,49
9.098,33
21.518,47
17.332,67
1
722.537,00
308.400,00
9,25
8,40
9.122,67
21.552,83
16.380,33
2
764.357,00
316.871,44
8,75
7,66
8.988,33
23.326,92
17.850,50
3
814.467,00
221.750,32
8,25
7,18
9.244,33
23.382,19
18.801,98
4
765.758,00
349.493,36
8,17
7,18
9.299,33
24.336,15
18.566,52
1
780.799,19
376.784,56
7,96
6,97
9.186,33
26.197,98
23.189,84
2
642.857,10
363.348,64
8,34
7,01
9.259,00
27.691,07
25.786,89
3
524.819,10
373.156,64
9,41
8,27
9.216,33
28.609,98
27.175,08
4
676.960,89
398.766,40
11,02
10,43
11.365,33
24.344,13
24.600,59
1
775.620,40
423.061,04
8,82
9,94
11.636,67
20.386,13
16.349,55
2
782.826,40
431.069,84
7,26
8,78
10.426,00
23.605,64
18.515,62
3
736.663,50
440.872,80
6,59
7,89
9.887,00
25.463,72
20.155,22
4
862.406,01
365.818,96
6,47
7,14
9.475,00
28.985,62
22.019,00
1 1.011.272,91 469.016,00
6,38
6,93
9.271,67
28.363,80
23.665,00
2 1.020.359,20 407.176,16
6,25
6,81
9.091,67
30.113,64
25.664,90
3 1.004.902,20 505.555,04
6,43
6,75
8.972,33
32.579,63
27.447,85
4 1.095.433,10 361.016,64
6,71
6,81
8.977,33
37.634,93
29.993,79
1 1.311.970,06 386.825,44
6,21
6,76
8.863,00
36.873,34
30.005,09
2 1.309.529,16 574.032,33
6,15
6,82
8.569,33
42.058,66
33.684,58
3 1.120.804,40 597.347,44
6,14
6,83
8.771,26
42.182,35
35.218,78
4
6,15
6,54
8.890,11
45.436,21
37.442,87
689.660,00
206.982,56
LAMPIRAN 2
Hasil Pengujian Akar Unit pada Level
1. Operasi Pasar Terbuka
Null Hypothesis: OPT has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-1.712077
-3.577723
-2.925169
-2.600658
0.4188
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(OPT)
Method: Least Squares
Date: 01/20/14 Time: 14:44
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
OPT(-1)
C
-0.118464
0.691059
0.069193
0.405786
-1.712077
1.703013
0.0938
0.0955
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.061154
0.040291
0.104080
0.487469
40.67380
2.931207
0.093767
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.003191
0.106242
-1.645694
-1.566964
-1.616067
1.426361
LAMPIRAN 3
2.Giro Wajib Minimum
Null Hypothesis: GWM has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
t-Statistic
Prob.*
-1.885709
-3.577723
-2.925169
-2.600658
0.3360
Dependent Variable: D(GWM)
Method: Least Squares
Date: 01/20/14 Time: 15:02
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
GWM(-1)
C
-0.110875
0.596535
0.058798
0.310240
-1.885709
1.922818
0.0658
0.0608
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.073233
0.052638
0.139147
0.871291
27.02617
3.555898
0.065799
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.012766
0.142961
-1.064943
-0.986214
-1.035317
2.273862
LAMPIRAN 4
3.Tingkat Suku Bunga Fasilitas Diskonto (rDiskonto)
Null Hypothesis: RDISKONTO has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-0.599742
-3.577723
-2.925169
-2.600658
0.8608
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RDISKONTO)
Method: Least Squares
Date: 01/20/14 Time: 15:07
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
RDISKONTO(-1)
C
-0.024523
0.143815
0.040890
0.434009
-0.599742
0.331365
0.5517
0.7419
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.007930
-0.014116
0.931121
39.01441
-62.31402
0.359691
0.551686
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.103404
0.924618
2.736767
2.815497
2.766393
0.581174
LAMPIRAN 5
4. Tingkat bunga domestik (rDOM)
Null Hypothesis: RDOM has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-0.497233
-3.577723
-2.925169
-2.600658
0.8825
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RDOM)
Method: Least Squares
Date: 01/20/14 Time: 15:11
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
RDOM(-1)
C
-0.017969
0.162371
0.036138
0.544847
-0.497233
0.298012
0.6214
0.7671
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.005464
-0.016637
0.470934
9.980052
-30.27547
0.247241
0.621446
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.106383
0.467065
1.373424
1.452154
1.403051
0.827521
LAMPIRAN 6
5. Nilai Tukar (Exchange Rate/EXC)
Null Hypothesis: EXC has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXC)
t-Statistic
Prob.*
-3.731251
-3.577723
-2.925169
-2.600658
0.0066
Method: Least Squares
Date: 01/20/14 Time: 15:12
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
EXC(-1)
C
-0.398937
1.584591
0.106918
0.424299
-3.731251
3.734608
0.0005
0.0005
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.236282
0.219310
0.026377
0.031309
105.1887
13.92224
0.000532
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.001489
0.029853
-4.391007
-4.312278
-4.361381
1.920976
LAMPIRAN 7
6. Ekspor
Null Hypothesis: EXPOR has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
0.476388
-3.577723
-2.925169
-2.600658
0.9841
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXPOR)
Method: Least Squares
Date: 01/20/14 Time: 15:14
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
EXPOR(-1)
C
0.013909
-0.046021
0.029198
0.124413
0.476388
-0.369908
0.6361
0.7132
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.005018
-0.017093
0.037091
0.061909
89.16745
0.226946
0.636103
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.013191
0.036778
-3.709253
-3.630523
-3.679626
1.852659
LAMPIRAN 8
7. Impor
Null Hypothesis: IMP has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-0.501096
-3.577723
-2.925169
-2.600658
0.8817
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IMP)
Method: Least Squares
Date: 01/20/14 Time: 15:15
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
IMP(-1)
C
-0.016657
0.086552
0.033241
0.136505
-0.501096
0.634059
0.6187
0.5293
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.005549
-0.016550
0.061484
0.170115
65.41351
0.251097
0.618746
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.018298
0.060982
-2.698447
-2.619717
-2.668821
2.052197
LAMPIRAN 9
8. Investasi (INV)
Null Hypothesis: INV has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-0.915957
-3.577723
-2.925169
-2.600658
0.7745
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INV)
Method: Least Squares
Date: 01/20/14 Time: 15:16
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
INV(-1)
C
-0.049631
0.205863
0.054184
0.223100
-0.915957
0.922738
0.3646
0.3611
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.018303
-0.003513
0.065800
0.194831
62.22544
0.838977
0.364572
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.001702
0.065684
-2.562785
-2.484055
-2.533158
1.014381
LAMPIRAN 10
9. Pengangguran (UNEMP)
Null Hypothesis: UNEMP has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-4.801618
-3.577723
-2.925169
-2.600658
0.0003
*MacKinnon (1996) one-sided p-values.
Augmented DickeyFuller Test Equation
Dependent Variable: D(UNEMP)
Method: Least Squares
Date: 01/20/14 Time: 15:18
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
V i bl
UNEMP(
C 1)
R
Adjusted dR-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
C
ffi i
t
0
146217
0.934256
0
338775
0.324081
0.017297
0.013464
125.0207
23.05553
0.000018
Std E
0
030452
0.193657
t-Statistic
Prob.
-4.801618
4.824283
0.0000
0.0000
M
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.004468
0.021039
-5.234925
-5.156196
-5.205299
0.775644
LAMPIRAN 11
10. Neraca Pembayaran (Balance of Payment/ BOP)
Null Hypothesis: BOP has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-3.758513
-3.577723
-2.925169
-2.600658
0.0061
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(BOP)
Method: Least Squares
Date: 01/20/14 Time: 15:20
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
BOP(-1)
C
-0.513782
1.298722
0.136698
0.406861
-3.758513
3.192050
0.0005
0.0026
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.238919
0.222006
1.231328
68.22762
-75.44860
14.12642
0.000490
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.073404
1.396001
3.295685
3.374415
3.325312
1.649711
LAMPIRAN 12
11. Inflasi (INF)
Null Hypothesis: INF has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-2.474209
-3.577723
-2.925169
-2.600658
0.1281
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INF)
Method: Least Squares
Date: 01/20/14 Time: 15:21
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
INF(-1)
C
-0.206890
1.741156
0.083619
0.742321
-2.474209
2.345557
0.0172
0.0235
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.119748
0.100187
2.147047
207.4414
-101.5806
6.121712
0.017190
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.075957
2.263421
4.407685
4.486414
4.437311
1.119250
LAMPIRAN 13
12. Pertumbuhan (GROW)
Null Hypothesis: GROW has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-2.264591
-3.577723
-2.925169
-2.600658
0.1874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(GROW)
Method: Least Squares
Date: 01/20/14 Time: 15:24
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
GROW(-1)
C
-0.210613
1.131792
0.093003
0.484157
-2.264591
2.337657
0.0284
0.0239
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.102305
0.082356
0.799532
28.76632
-55.15297
5.128372
0.028403
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.067660
0.834639
2.432041
2.510771
2.461668
1.970714
LAMPIRAN 14
HASIL PENGUJIAN AKAR UNIT PADA FIRST DIFFERENCE
1. Operasi Pasar Terbuka (OPT)
Null Hypothesis: D(OPT) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
t-Statistic
Prob.*
-5.006221
-3.581152
-2.926622
-2.601424
0.0002
Dependent Variable: D(OPT,2)
Method: Least Squares
Date: 01/20/14 Time: 15:26
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(OPT(-1))
C
-0.768629
-0.003997
0.153535
0.015612
-5.006221
-0.256055
0.0000
0.7991
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.362894
0.348414
0.105875
0.493216
39.04417
25.06224
0.000009
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.005000
0.131161
-1.610616
-1.531110
-1.580833
1.887374
LAMPIRAN 15
2. Giro Wajib Minimum
Null Hypothesis: D(GWM) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-8.402730
-3.581152
-2.926622
-2.601424
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(GWM,2)
Method: Least Squares
Date: 01/20/14 Time: 15:29
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(GWM(-1))
C
-1.375815
0.021486
0.163734
0.020714
-8.402730
1.037291
0.0000
0.3053
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
LAMPIRAN 16
0.616076
0.607350
0.138137
0.839604
26.80856
70.60587
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.010217
0.220449
-1.078633
-0.999127
-1.048850
1.991989
3. Tingkat Suku Bunga Diskonto (rDiskonto)
Null Hypothesis: D(RDISKONTO) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-2.771953
-3.581152
-2.926622
-2.601424
0.0702
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RDISKONTO,2)
Method: Least Squares
Date: 01/20/14 Time: 15:33
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(RDISKONTO(-1))
C
-0.296993
-0.048938
0.107142
0.099274
-2.771953
-0.492952
0.0081
0.6245
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.148668
0.129320
0.669909
19.74623
-45.82056
7.683726
0.008137
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.021304
0.717937
2.079155
2.158661
2.108938
1.598621
LAMPIRAN 17
4. Tingkat Suku Bunga Domestik (rDOM)
Null Hypothesis: D(RDOM) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RDOM,2)
Method: Least Squares
Date: 01/20/14 Time: 15:35
t-Statistic
Prob.*
-3.577325
-3.581152
-2.926622
-2.601424
0.0101
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(RDOM(-1))
C
-0.434482
-0.033862
0.121454
0.058193
-3.577325
-0.581886
0.0009
0.5636
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.225315
0.207708
0.384728
6.512692
-20.30874
12.79725
0.000859
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.012609
0.432226
0.969945
1.049451
0.999729
1.684806
LAMPIRAN 18
5. Ekspor (Ekspor)
Null Hypothesis: D(EXPOR) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-6.123948
-3.581152
-2.926622
-2.601424
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXPOR,2)
Method: Least Squares
Date: 01/20/14 Time: 15:37
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(EXPOR(-1))
C
-0.916670
0.011540
0.149686
0.005818
-6.123948
1.983385
0.0000
0.0536
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.460141
0.447871
0.037251
0.061057
87.09441
37.50274
0.000000
LAMPIRAN 19
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.000217
0.050133
-3.699757
-3.620251
-3.669973
1.963180
6. Impor (Impor)
Null Hypothesis: D(IMP) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-7.104607
-3.581152
-2.926622
-2.601424
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IMP,2)
Method: Least Squares
Date: 01/20/14 Time: 15:39
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(IMP(-1))
C
-1.052969
0.017706
0.148209
0.009435
-7.104607
1.876768
0.0000
0.0672
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.534271
0.523686
0.061299
0.165331
64.18312
50.47545
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.001522
0.088819
-2.703614
-2.624108
-2.673831
2.040425
LAMPIRAN 20
7. Investasi (INV)
Null Hypothesis: D(INV) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INV,2)
Method: Least Squares
Date: 01/20/14 Time: 15:40
Sample (adjusted): 2000Q3 2011Q4
t-Statistic
Prob.*
-3.937790
-3.581152
-2.926622
-2.601424
0.0038
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(INV(-1))
C
-0.522873
0.001438
0.132783
0.008705
-3.937790
0.165182
0.0003
0.8696
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.260581
0.243776
0.059032
0.153330
65.91636
15.50619
0.000290
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.000870
0.067883
-2.778972
-2.699466
-2.749189
2.017149
LAMPIRAN 21
8. Inflasi (INF)
Null Hypothesis: D(INF) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-4.333778
-3.581152
-2.926622
-2.601424
0.0012
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INF,2)
Method: Least Squares
Date: 01/20/14 Time: 15:42
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(INF(-1))
C
-0.596460
0.025078
0.137630
0.311692
-4.333778
0.080457
0.0001
0.9362
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.299158
0.283230
2.112801
196.4128
-98.65744
18.78163
0.000084
LAMPIRAN 22
9. Pertumbuhan (GROW)
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.020435
2.495563
4.376411
4.455917
4.406194
1.790767
Null Hypothesis: D(GROW) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-7.727681
-3.581152
-2.926622
-2.601424
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(GROW,2)
Method: Least Squares
Date: 01/20/14 Time: 15:43
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(GROW(-1))
C
-1.126134
0.047842
0.145727
0.121843
-7.727681
0.392653
0.0000
0.6965
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.575769
0.566127
0.824095
29.88181
-55.34917
59.71705
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.022174
1.251111
2.493442
2.572948
2.523226
1.885461
LAMPIRAN 23
Pengujian Lag Optimal
VAR Lag Order Selection Criteria
Endogenous variables: OPT GWM RDISKONTO RDOM EXC EXPOR IMP INV UNEMP
BOP INF GROW
Exogenous variables: C
Date: 01/20/14 Time: 15:56
Sample: 2000Q1 2011Q4
Included observations: 46
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
43.56159
549.0601
777.1239
NA
725.2804
208.2322*
4.12e-16
7.43e-23
7.67e-24*
-1.372243
-17.08957
-20.74452*
-0.895206
-10.88809*
-8.818594
-1.193542
-14.76646
-16.27699*
* 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
LAMPIRAN 24
Hasil Pengujian Stabilitas VAR
Roots of Characteristic Polynomial
Endogenous variables: OPT GWM RDISKONTO RDOM
EXC EXPOR IMP INV UNEMP BOP INF GROW
Exogenous variables: C
Lag specification: 1 2
Date: 01/20/14 Time: 22:08
Root
1.006784
0.205849 - 0.934313i
0.205849 + 0.934313i
0.874894 - 0.228079i
0.874894 + 0.228079i
0.807251 - 0.381880i
0.807251 + 0.381880i
0.683955 + 0.561162i
0.683955 - 0.561162i
0.815038
0.658071 - 0.473379i
0.658071 + 0.473379i
-0.380770 - 0.681551i
-0.380770 + 0.681551i
-0.136140 - 0.745514i
-0.136140 + 0.745514i
-0.649719 + 0.298677i
-0.649719 - 0.298677i
0.174053 + 0.657347i
0.174053 - 0.657347i
-0.524088
-0.389528
0.348314
-0.203032
Modulus
1.006784
0.956721
0.956721
0.904135
0.904135
0.893021
0.893021
0.884701
0.884701
0.815038
0.810645
0.810645
0.780703
0.780703
0.757842
0.757842
0.715082
0.715082
0.680000
0.680000
0.524088
0.389528
0.348314
0.203032
Warning: At least one root outside the unit circle.
VAR does not satisfy the stability condition.
LAMPIRAN 25
Secara Grafik
Inverse Roots of AR Characteristic Polynomial
1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
LAMPIRAN 26
Structural VAR Estimates
Structural VAR Estimates
Date: 01/05/14 Time: 19:15
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Estimation method: method of scoring (analytic derivatives)
Maximum iterations reached at 500 iterations
Structural VAR is over-identified (40 degrees of freedom)
Model: Ae = Bu where E[uu']=I
Restriction Type: short-run text form
@e1 = @u1
@e2 = @u2
@e3 = @u3
@e4 = @u4
@e5 = @u5
@e6 = @u6
@e7 = @u7
@e8 = @u8
@e9 = C(1)*@e1 + C(2)*@e2 + C(3)*@e3 + C(4)*@e4 + C(5)*@e5 + C(6)*@e6 +
C(7)*@e7 + C(8)*@e8 + @u9
@e10 = C(9)*@e1 + C(10)*@e2 + C(11)*@e3 + C(12)*@e4 + C(13)*@e5 + C(14)*@e6 + C(15)*@e7 +
C(16)*@e8 + C(17)*@e9 + @u10
@e11 = C(18)*@e1 + C(19)*@e2 + C(20)*@e3 + C(21)*@e4 + C(22)*@e5 + C(23)*@e6 + C(24)*@e7 + C(25)*@e8
+ C(26)*@e9 + C(27)*@e10 + @u11
@e12 = C(28)*@e1 + C(29)*@e2 + C(30)*@e3 + C(31)*@e4 + C(32)*@e5 + C(33)*@e6 + C(34)*@e7 + C(35)*@e8 +
C(36)*@e9 + C(37)*@e10 + C(38)*@e11 + @u12
Where
@e1 represents OPT residuals
@e2 represents GWM residuals
@e3 represents RDISKONTO residuals
@e4 represents RDOM residuals
@e5 represents EXC residuals
@e6 represents EXPOR residuals
@e7 represents IMP residuals
@e8 represents INV residuals
@e9 represents UNEMP residuals
@e10 represents BOP residuals
@e11 represents INF residuals
@e12 represents GROW residuals
WARNING: B matrix is fixed (structural innovation variances not estimated)!!!
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
C(8)
C(9)
C(10)
C(11)
C(12)
C(13)
C(14)
C(15)
C(16)
C(17)
C(18)
C(19)
C(20)
C(21)
C(22)
C(23)
Coefficient
Std. Error
z-Statistic
Prob.
-0.057995
0.013816
-0.001160
-0.011007
0.108715
0.079221
-0.062665
-0.209790
2.045633
-0.454719
-1.102335
0.078387
-1.444291
-0.641494
4.849115
2.329909
-3.304541
-2.287384
-0.135935
1.229894
2.442088
-12.77391
6.158902
0.147442
0.147442
0.147442
0.147442
0.147442
0.147442
0.147442
0.147442
0.147690
0.147456
0.147442
0.147451
0.148311
0.147904
0.147731
0.150652
0.147442
0.335830
0.161982
0.219443
0.147903
0.259506
0.175561
-0.393343
0.093704
-0.007867
-0.074650
0.737341
0.537305
-0.425017
-1.422863
13.85088
-3.083763
-7.476393
0.531611
-9.738278
-4.337233
32.82391
15.46555
-22.41249
-6.811128
-0.839198
5.604614
16.51140
-49.22394
35.08134
0.6941
0.9253
0.9937
0.9405
0.4609
0.5911
0.6708
0.1548
0.0000
0.0020
0.0000
0.5950
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.4014
0.0000
0.0000
0.0000
0.0000
C(24)
C(25)
C(26)
C(27)
C(28)
C(29)
C(30)
C(31)
C(32)
C(33)
C(34)
C(35)
C(36)
C(37)
C(38)
-3.915003
-2.482068
2.273196
0.309491
-1.367774
-1.698417
-0.845875
1.636008
-5.090151
5.636611
-7.356434
-0.063818
2.091569
0.126896
-0.148985
0.730066
0.375108
0.509048
0.147442
0.475945
0.163218
0.284673
0.389260
1.901204
0.924896
0.930697
0.524055
0.609480
0.154342
0.147442
Log likelihood
-550.9409
LR test for over-identification:
Chi-square(40) 2223.296
Estimated A matrix:
1.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.057995
-0.013816
-2.045633
0.454719
2.287384
0.135935
1.367774
1.698417
Estimated B matrix:
1.000000
0.000000
-5.362531
-6.616935
4.465580
2.099067
-2.873804
-10.40585
-2.971392
4.202872
-2.677330
6.094322
-7.904217
-0.121778
3.431728
0.822175
-1.010468
Probability
0.0000
0.0000
0.0000
0.0358
0.0041
0.0000
0.0030
0.0000
0.0074
0.0000
0.0000
0.9031
0.0006
0.4110
0.3123
0.0000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.001160
1.102335
-1.229894
0.845875
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.011007
-0.078387
-2.442088
-1.636008
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
-0.108715
1.444291
12.77391
5.090151
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
-0.079221
0.641494
-6.158902
-5.636611
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.062665
-4.849115
3.915003
7.356434
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.209790
-2.329909
2.482068
0.063818
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
3.304541
-2.273196
-2.091569
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
-0.309491
-0.126896
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.148985
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
LAMPIRAN 27
Response of Unemp to Cholesky
Period
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
1
2
3
4
5
6
7
8
9
10
11
12
13
-0.002711
-0.003372
-0.003100
-0.006423
-0.005879
-0.004663
-0.003824
-0.001954
-0.000122
0.000633
3.36E-07
-0.000988
-0.001345
-0.000895
-0.000713
0.004936
0.003883
0.002553
0.000808
-0.000556
-0.000752
-0.000205
-0.000302
-0.001384
-0.002090
-0.002832
-0.000460
-0.002799
0.000181
0.000772
0.000829
0.000607
-0.000429
-0.000724
-0.000216
0.000405
0.001153
0.003080
0.004727
0.000825
0.003084
0.006243
0.003643
0.000468
-0.003362
-0.005054
-0.005251
-0.004182
-0.001759
0.000679
0.003052
0.004334
0.003050
0.001683
0.002158
-0.000237
-0.001665
-0.004637
-0.005704
-0.004799
-0.003247
-0.002088
-0.001382
-0.000662
3.09E-05
0.000154
1.57E-06
-0.000978
-0.001131
-0.002764
-0.002848
-0.003188
-0.002411
-0.002594
-0.001782
-0.001203
-0.001195
-0.001573
-0.001157
-0.002229
-0.003920
-0.003365
-0.005348
-0.008172
-0.009065
-0.007112
-0.005444
-0.003564
-0.001823
-0.000347
0.001178
-0.009309
-0.007430
-0.007206
-0.004483
-0.001869
0.000595
0.001892
0.002515
0.001716
0.000710
8.61E-05
-0.001085
-0.002411
0.004035
0.003123
0.004076
0.004572
0.003222
0.003161
0.003190
0.002733
0.002137
0.001849
0.001648
0.001207
0.000629
0.000000
-0.004605
-0.008343
-0.007589
-0.006416
-0.004337
-0.002237
-0.001100
-0.000975
-0.000626
-0.000731
-0.001823
-0.002461
0.000000
0.000180
-0.000585
0.000554
0.001890
0.003311
0.003038
0.001729
0.000779
0.000602
0.001155
0.001656
0.002242
0.000000
0.002951
0.004370
0.004361
0.004667
0.003661
0.002896
0.002012
0.001031
0.000318
-0.000444
-0.000821
-0.001003
14
15
16
17
18
19
20
-0.000586
0.000736
0.001871
0.002809
0.003636
0.004029
0.003504
-0.003771
-0.004649
-0.004952
-0.004145
-0.002494
-0.000786
0.000500
0.004925
0.004296
0.003515
0.002697
0.001732
0.000818
0.000388
0.004754
0.004432
0.003671
0.002954
0.002489
0.002288
0.002254
0.000535
0.000618
0.000825
0.001621
0.002655
0.003273
0.003288
-0.002304
-0.003022
-0.003746
-0.004400
-0.005009
-0.005320
-0.005281
0.001819
0.000883
-0.000808
-0.002043
-0.002889
-0.003871
-0.004911
-0.003190
-0.003453
-0.003520
-0.003364
-0.002893
-0.002068
-0.001090
-0.000172
-0.000734
-0.000954
-0.001114
-0.001297
-0.001351
-0.001180
-0.002333
-0.001998
-0.001892
-0.001865
-0.001568
-0.001054
-0.000762
0.002801
0.002809
0.001857
3.82E-05
-0.002015
-0.003645
-0.004639
-0.000680
5.25E-05
0.000899
0.001674
0.002373
0.002984
0.003326
LAMPIRAN 28
Response of Bop to Cholesky (df adjusted) One S.D Innovations
Period
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
1
2
3
4
5
6
7
8
9
10
11
0.155789
0.048704
-0.320101
-0.302758
0.081130
0.188689
-0.189350
-0.245655
0.095733
0.339239
0.135005
-0.065472
-0.516542
0.075882
0.120805
0.044618
-0.105742
-0.253008
-0.030295
0.208851
0.129189
-0.068131
-0.412753
-0.328944
0.494278
0.295121
-0.152420
-0.123646
0.048386
0.144658
0.023067
-0.235581
-0.282899
-0.030372
-0.150898
-0.005263
0.070853
0.123506
0.117062
-0.014338
0.008936
-0.033782
-0.081242
-0.133465
-0.128079
-0.308804
-0.055510
0.255855
0.278600
-0.107393
-0.245166
0.050353
0.228118
0.063735
-0.183377
0.068337
0.311405
0.020619
0.178783
-0.061978
0.040910
0.058311
0.014703
-0.123680
-0.084894
0.048394
0.203812
-0.179822
-0.102904
0.654960
0.586677
-0.145882
-0.371611
0.057019
0.264838
-0.033256
-0.395179
0.145565
0.316041
-0.204572
-0.284982
-0.086022
0.006926
-0.029857
-0.093386
-0.119036
0.012417
0.179126
-0.189196
0.084884
0.005764
0.025194
-0.199646
-0.057503
0.126447
0.049544
-0.084482
-0.074935
0.061807
0.804433
0.285489
-0.402111
-0.104466
0.194152
0.109359
-0.105124
-0.235020
-0.068644
0.175885
0.141530
0.000000
0.093754
-0.096013
-0.143065
0.065759
0.231922
0.182507
-0.070897
-0.159461
-0.028772
0.054738
0.000000
-0.014554
-0.129174
-0.192589
-0.067603
0.067992
0.021383
0.002468
0.032280
0.113859
0.096043
12
13
14
15
16
17
18
19
20
-0.204336
-0.210789
0.033302
0.096979
-0.113875
-0.241114
-0.069238
0.163781
0.142660
-0.005543
0.206245
0.236731
0.023472
-0.168330
-0.109687
0.032738
0.003278
-0.140696
-0.020378
0.143088
-0.001099
-0.137833
-0.029573
0.160201
0.143045
-0.050292
-0.132243
-0.093092
-0.037510
-0.009580
-0.010450
-0.026088
-0.005654
0.021776
0.014250
-0.017007
-0.136502
0.094878
0.133311
-0.088985
-0.232629
-0.095670
0.092773
0.063834
-0.099444
0.066069
0.013666
-0.022747
0.044898
0.115800
0.088881
0.010559
-0.007012
0.043881
-0.320989
0.112340
0.267191
-0.005485
-0.194678
0.021727
0.306943
0.231222
-0.079839
0.124508
-0.000804
0.015999
0.108523
0.099204
-0.029619
-0.118818
-0.067682
0.022761
0.127897
0.046820
-0.053908
-0.019635
0.078902
0.072357
-0.025652
-0.069484
-0.001773
-0.103076
-0.134108
0.067274
0.172800
0.030095
-0.139562
-0.082842
0.089964
0.102695
-0.082931
-0.193516
-0.068623
0.135235
0.179204
0.063168
-0.000194
0.081767
0.155995
0.020484
-0.044068
-0.037310
-0.002126
-0.026340
-0.080866
-0.084561
-0.028795
0.007706
LAMPIRAN 29
Response of Inflation to Cholesky (df adjusted) One S.D Innovations
Period
1
2
3
4
5
6
7
8
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
-0.289185
-0.730803
-0.389852
0.516081
0.933872
0.584326
-0.140491
-0.538776
-0.050716
-0.668468
-0.609965
-0.144634
0.200340
0.342990
0.561296
0.874339
0.618557
0.179618
0.479541
-0.044704
-0.954034
-0.830449
-0.121304
0.240840
0.283236
-0.379911
-0.759954
-0.735715
-0.376588
-0.137424
-0.108667
0.122820
-0.509890
-0.706870
-0.120269
0.298576
0.305646
0.114296
0.160572
0.366958
-0.086766
0.174500
-0.390091
-0.438117
-0.448354
-0.191567
-0.147156
-0.168941
-0.008953
-0.118904
-0.444174
-0.208055
-0.469909
-0.988783
-0.961772
-0.254383
-0.160323
0.250277
-0.418010
-0.481179
-0.014956
0.256238
0.177469
0.071858
0.054849
0.049760
-0.119473
-0.233692
-0.167077
0.073844
0.230031
0.139939
0.249294
-0.075915
-0.462079
-0.004879
0.490915
0.257348
-0.310835
-0.395363
0.887557
0.752435
0.052422
-0.304385
-0.492683
-0.725829
-0.825301
-0.754708
0.000000
0.107203
0.213616
0.231686
0.412896
0.558970
0.354506
0.153280
9
10
11
12
13
14
15
16
17
18
19
20
-0.432680
-0.285340
-0.455628
-0.541455
-0.139458
0.343172
0.351031
0.014490
-0.121582
0.081694
0.246840
0.117073
0.747589
0.235121
-0.228615
-0.342612
-0.225280
-0.224636
-0.367875
-0.344082
-0.065539
0.129230
0.020816
-0.174456
0.088790
0.010337
0.234788
0.427472
0.315062
0.010607
-0.126046
0.052842
0.273669
0.219165
0.020806
0.016657
0.238615
0.172562
0.041992
0.009922
0.042857
0.060480
0.078932
0.131609
0.212204
0.246122
0.208539
0.146195
0.268507
-0.174898
-0.505024
-0.335886
0.019193
0.072427
-0.100814
-0.089849
0.163489
0.300830
0.131930
-0.083053
-0.166357
-0.094417
0.016623
-0.000786
-0.112548
-0.169745
-0.100992
-0.071973
-0.170947
-0.273818
-0.267131
-0.200379
0.183672
-0.122688
-0.401499
-0.038597
0.443530
0.319211
-0.167097
-0.322440
-0.036784
0.156706
-0.087766
-0.419717
0.165294
0.265777
0.153720
-0.120999
-0.307466
-0.282947
-0.154473
-0.118491
-0.187852
-0.175102
-0.035746
0.047414
-0.003210
-0.013669
0.110102
0.108204
-0.054893
-0.126704
-0.008819
0.107283
0.058872
-0.061485
-0.081490
0.001730
0.006833
0.156654
-0.082724
-0.290361
-0.193314
0.030326
0.047483
-0.177419
-0.312821
-0.153250
0.048425
0.004890
-0.381213
0.128222
0.381197
0.270426
0.122717
0.165681
0.219187
0.078213
-0.130260
-0.143020
0.013166
0.070026
0.107397
0.133051
0.050255
-0.059231
-0.067828
0.011201
0.065943
0.036753
0.001704
0.036559
0.113172
0.142292
LAMPIRAN 30
Response of Grow to Cholesky (df adjusted) One S.D Innovations
Period
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
1
2
3
4
5
-0.085983
-0.012841
-0.178600
-0.265863
-0.208985
-0.234694
-0.058139
0.060360
0.169872
0.037125
-0.255708
-0.026794
-0.079235
0.011423
-0.085779
0.151493
-0.314126
-0.412368
-0.309570
-0.282505
-0.114832
-0.227317
-0.145038
-0.073998
-0.051077
-0.054465
0.197824
0.039868
0.153662
0.088866
-0.285395
-0.032649
-0.066381
0.080863
0.082047
-0.048689
0.109396
0.176372
0.145589
0.157562
-0.021603
0.003526
0.030786
0.009048
0.024791
0.079341
0.203092
0.051081
0.092824
0.167643
-0.171645
-0.140860
-0.057399
-0.078183
0.042675
0.284038
0.051733
-0.066534
-0.089619
-0.140998
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
-0.116975
-0.131852
-0.095377
0.004082
0.043066
0.029208
-0.010598
-0.015514
0.015711
0.030243
-0.001586
-0.031534
-0.017839
0.007398
-0.000734
LAMPIRAN 31
0.074845
0.006579
-0.037698
-0.046421
-0.086001
-0.113843
-0.071451
0.007927
0.040006
0.036198
0.021083
0.024556
0.038212
0.023439
-0.011839
-0.036691
0.013164
0.048646
0.045328
-0.020727
-0.062043
-0.037922
-0.013561
-0.052062
-0.078298
-0.053772
-0.019567
-0.011565
-0.028659
-0.035917
-0.052148
0.026505
0.074328
0.054010
0.018522
-0.022889
-0.065772
-0.077387
-0.087707
-0.079787
-0.071017
-0.056283
-0.039024
-0.032167
-0.033237
-0.071419
-0.106393
-0.036861
-0.010022
-0.036748
-0.064488
-0.055194
-0.017850
-0.006044
-0.032787
-0.057459
-0.038735
-0.009532
-0.013417
-0.039039
0.087270
0.126742
0.100386
0.090966
0.065948
0.085143
0.058171
0.037805
0.030537
0.035595
0.054302
0.061166
0.059974
0.062494
0.074251
0.026280
0.065270
0.169154
0.199816
0.120708
0.044524
-0.007573
0.005118
0.015723
-0.032564
-0.059345
-0.008305
0.061402
0.073456
0.043432
0.108187
0.025943
-0.066764
-0.111204
-0.104762
-0.042252
-0.004656
0.007000
0.044414
0.077278
0.076095
0.050785
0.026790
0.019292
0.022429
0.005056
0.069030
0.035212
0.006839
0.011152
0.028544
0.037831
0.031073
0.019085
0.018293
0.033533
0.031897
0.012922
0.002522
0.009110
0.081135
0.019718
-0.058296
-0.074695
-0.027640
-0.001256
-0.029431
-0.023749
0.031886
0.056366
0.038714
0.014074
0.016858
0.038236
0.039630
0.115466
0.138278
0.122291
0.125967
0.136385
0.120444
0.075568
0.027426
0.022369
0.034334
0.031677
0.014690
0.008942
0.029139
0.052728
-0.092325
-0.088035
-0.056860
-0.048589
-0.030206
-0.018454
-0.027629
-0.029568
-0.028520
-0.018270
-0.020921
-0.032870
-0.039025
-0.036654
-0.035444
Response to Cholesky One S.D. Innovations
Response of UNEMP to GWM
Response of UNEMP to OPT
Response of UNEMP to RDOM
Response of UNEMP to RDISKONTO
.008
.008
.008
.008
.004
.004
.004
.004
.000
.000
.000
.000
-.004
-.004
-.004
-.004
-.008
-.008
-.008
-.008
-.012
-.012
2
4
6
8
10
12
14
16
18
20
-.012
2
Response of UNEMP to EXC
4
6
8
10
12
14
16
18
20
-.012
2
Response of UNEMP to EXPOR
4
6
8
10
12
14
16
18
20
2
Response of UNEMP to IMP
.008
.008
.008
.004
.004
.004
.004
.000
.000
.000
.000
-.004
-.004
-.004
-.004
-.008
-.008
-.008
-.008
-.012
2
4
6
8
10
12
14
16
18
20
-.012
2
Response of UNEMP to UNEMP
4
6
8
10
12
14
16
18
20
Response of UNEMP to BOP
4
6
8
10
12
14
16
18
20
2
Response of UNEMP to INF
.008
.008
.004
.004
.004
.004
.000
.000
.000
.000
-.004
-.004
-.004
-.004
-.008
-.008
-.008
-.008
-.012
4
6
8
10
12
14
16
18
20
-.012
2
4
6
8
10
12
14
16
18
20
10
12
14
16
18
20
4
6
8
10
12
14
16
18
20
Response of UNEMP to GROW
.008
2
8
-.012
2
.008
-.012
6
Response of UNEMP to INV
.008
-.012
4
-.012
2
4
6
8
10
12
14
16
18
20
2
4
6
8
10
12
14
16
18
20
LAMPIRAN 32
Response to Cholesky One S.D. Innovations
Response of BOP to OPT
Response of BOP to GWM
Response of BOP to RDISKONTO
Response of BOP to RDOM
1.0
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
2
4
6
8
10
12
14
16
18
2
20
Response of BOP to EXC
4
6
8
10
12
14
16
18
2
20
4
Response of BOP to EXPOR
6
8
10
12
14
16
18
2
20
Response of BOP to IMP
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
4
6
8
10
12
14
16
18
2
20
4
Response of BOP to UNEMP
6
8
10
12
14
16
18
2
20
4
Response of BOP to BOP
6
8
10
12
14
16
18
2
20
Response of BOP to INF
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
4
6
8
10
LAMPIRAN 33
12
14
16
18
20
2
4
6
8
10
12
14
16
18
20
2
4
6
8
10
12
14
16
8
10
12
14
16
18
20
4
6
8
10
12
14
16
18
20
18
20
Response of BOP to GROW
1.0
2
6
Response of BOP to INV
1.0
2
4
18
20
2
4
6
8
10
12
14
16
Response to Cholesky One S.D. Innovations
Response of INF to OPT
Response of INF to GWM
Response of INF to RDISKONTO
Response of INF to RDOM
1.0
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
-1.0
-1.0
-1.0
-1.0
-1.5
-1.5
2
4
6
8
10
12
14
16
18
-1.5
2
20
Response of INF to EXC
4
6
8
10
12
14
16
18
-1.5
2
20
4
Response of INF to EXPOR
6
8
10
12
14
16
18
2
20
Response of INF to IMP
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
-1.0
-1.0
-1.0
-1.0
-1.5
2
4
6
8
10
12
14
16
18
-1.5
2
20
4
Response of INF to UNEMP
6
8
10
12
14
16
18
4
Response of INF to BOP
6
8
10
12
14
16
18
2
20
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
-1.0
-1.0
-1.0
-1.0
-1.5
4
6
8
10
12
14
16
18
20
-1.5
2
4
6
8
10
12
14
16
18
20
10
12
14
16
18
20
6
8
10
12
14
16
18
20
18
20
Response of INF to GROW
1.0
2
4
Response of INF to INF
1.0
-1.5
8
-1.5
2
20
6
Response of INF to INV
1.0
-1.5
4
-1.5
2
4
6
8
10
12
14
16
18
20
2
4
6
8
10
12
14
16
LAMPIRAN 34
Response to Cholesky One S.D. Innovations
Response of GROW to OPT
Response of GROW to GWM
Response of GROW to RDISKONTO
Response of GROW to RDOM
.4
.4
.4
.4
.2
.2
.2
.2
.0
.0
.0
.0
-.2
-.2
-.2
-.2
-.4
-.4
-.4
-.4
-.6
-.6
2
4
6
8
10
12
14
16
18
-.6
2
20
Response of GROW to EXC
4
6
8
10
12
14
16
18
-.6
2
20
Response of GROW to EXPOR
4
6
8
10
12
14
16
18
2
20
Response of GROW to IMP
.4
.4
.4
.2
.2
.2
.2
.0
.0
.0
.0
-.2
-.2
-.2
-.2
-.4
-.4
-.4
-.4
-.6
2
4
6
8
10
12
14
16
18
-.6
2
20
Response of GROW to UNEMP
4
6
8
10
12
14
16
18
4
Response of GROW to BOP
6
8
10
12
14
16
18
2
20
Response of GROW to INF
.4
.4
.4
.2
.2
.2
.2
.0
.0
.0
.0
-.2
-.2
-.2
-.2
-.4
-.4
-.4
-.4
-.6
2
4
6
8
10
12
14
16
18
20
-.6
2
4
6
8
10
12
14
16
18
20
10
12
14
16
18
20
4
6
8
10
12
14
16
18
20
Response of GROW to GROW
.4
-.6
8
-.6
2
20
6
Response of GROW to INV
.4
-.6
4
-.6
2
4
6
8
10
12
14
16
18
20
2
4
6
8
10
12
14
16
18
20
LAMPIRAN 35
Variance Decompositionof Unemp - SVAR
Period
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
S.E.
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
0.087203
0.114192
0.134324
0.148634
0.164269
0.175056
0.179925
0.181576
0.186316
0.196933
0.206666
0.213756
0.219827
0.225477
0.229150
0.232871
0.237397
0.241123
0.244631
0.247842
5.991870
7.353724
5.597790
9.843131
11.99366
11.96290
11.20286
10.39682
9.867329
9.703907
9.606173
9.448317
9.132676
8.649132
8.224335
8.016905
8.067021
8.349414
8.687766
8.782428
0.652614
0.514033
5.072742
5.764746
5.443780
4.554082
3.845479
3.515137
3.338650
3.280371
3.374456
3.579959
3.914314
4.530380
5.489702
6.522250
7.106256
7.093258
6.775958
6.443345
0.172452
3.161573
1.596669
1.227585
1.078500
0.924906
0.790695
0.752188
0.716998
0.714149
0.795182
1.392167
2.712375
3.981525
4.794785
5.218262
5.358623
5.267269
5.041293
4.792295
0.555173
4.003072
9.715250
8.833711
7.216996
7.029265
7.934097
9.154656
9.883286
9.900074
9.830993
10.20864
10.90962
11.62982
12.10685
12.24078
12.14939
11.91299
11.57269
11.20735
7.585483
4.766714
3.317733
2.383346
2.259819
3.908114
5.873402
6.966080
7.331477
7.482438
7.533799
7.388748
7.054356
6.682063
6.351846
6.084854
5.953060
6.030897
6.228753
6.384102
0.019422
0.009358
0.193742
0.319705
1.140383
1.711649
2.246309
2.448227
2.783461
2.942658
3.009024
3.032373
3.048240
3.190649
3.528818
4.100997
4.900105
5.894874
6.906789
7.772031
1.092258
2.477341
4.281809
4.667915
7.094135
12.19999
16.78855
18.81223
19.87835
20.34648
20.36209
19.90110
19.08625
18.22730
17.31209
16.52101
16.01382
15.71080
15.63307
15.89178
70.65633
55.72207
38.28564
30.25437
25.03312
20.69008
17.64435
16.39734
15.76188
15.49173
15.33620
15.05945
14.73766
14.52009
14.41740
14.38372
14.33001
14.10250
13.61160
12.97339
13.27440
10.22620
8.426370
8.990566
8.515134
7.976092
7.503424
7.317626
7.256545
7.345878
7.452182
7.375028
7.065693
6.677758
6.356513
6.101449
5.899017
5.720235
5.525266
5.305808
0.000000
8.332162
17.94425
20.99477
21.83392
19.80410
17.01459
15.45990
14.73599
14.47810
14.36777
14.25239
13.98210
13.52946
13.03920
12.60634
12.23410
11.81354
11.28882
10.74184
0.000000
0.012715
0.074065
0.096512
0.489812
1.445735
1.949106
1.976508
1.917187
1.904531
1.973937
2.106310
2.322052
2.652886
2.950626
2.991828
2.861906
2.9
DATA PENELITIAN
Tahun
Q
OPT
1
2000
2001
2002
2003
2004
2005
GWM
RSBI
rDOM
EXC
EXP
IMP
52.345,04
11,03
11,35
7.506,67
10.852,19
5.168,90
2 1.024.725,50 53.318,48
11,43
10,43
8.433,33
12.072,20
6.349,78
3
957.600,80
54.058,08
13,57
11,10
8.691,00
13.371,36
7.840,35
4
852.551,00
55.988,80
14,14
11,79
9.506,67
12.187,59
6.671,34
1 1.022.552,00 56.205,36
15,04
13,48
9.895,00
11.193,31
5.936,07
2
911.424,00
60.382,00
16,36
13,87
11.391,00
11.182,69
5.929,23
3
942.884,00
62.480,24
17,47
14,85
9.355,00
10.960,14
5.061,81
4
848.788,00
63.788,96
17,60
15,89
10.421,67
9.900,66
5.886,66
1 1.156.279,00 64.462,08
16,85
15,83
10.054,67
9.715,61
4.743,93
2 1.086.899,00 65.365,28
15,74
15,09
8.943,67
11.637,87
5.786,24
3 1.105.995,00 65.672,16
14,17
13,84
8.996,67
12.548,39
6.638,45
4
66.862,24
13,03
12,91
9.049,67
11.019,32
5.914,78
1 1.192.264,00 66.672,88
12,11
12,30
8.896,33
11.666,29
7.221,59
2 1.270.077,00 134.791,12
10,34
10,92
8.413,00
11.772,79
6.177,53
3 1.469.497,00 137.275,52
8,89
8,26
8.476,33
11.941,34
5.603,10
4 1.353.149,00 141.435,68
8,43
7,02
8.499,00
11.178,05
6.061,38
1
412.751,00
140.927,28
7,59
6,04
8.491,67
11.048,75
7.956,05
2
355.997,00
214.464,80
7,33
6,08
9.095,33
13.528,19
8.484,42
3
288.908,00
175.347,92
7,37
6,28
9.222,00
14.819,05
8.955,60
4
312.166,00
225.889,76
7,42
6,37
9.132,67
14.907,61
9.440,79
1
299.939,00
228.651,84
7,43
6,47
9.301,67
15.425,86
14.423,96
2
315.501,00
238.108,88
7,97
6,77
9.592,67
16.775,43
14.964,34
968.521,35
952.810,00
2006
2007
2008
2009
2010
2011
3
221.438,00
82.594,08
9,33
7,98
10.123,00
16.359,71
14.508,78
4
167.999,00
212.641,12
12,00
11,29
9.985,00
17.449,43
13.707,44
1
371.719,00
269.099,76
12,75
11,82
9.233,33
17.661,13
14.692,27
2
484.120,00
196.428,24
12,58
11,43
9.098,33
19.386,52
14.884,49
3
535.250,00
198.023,04
11,75
10,79
9.135,00
21.525,64
15.567,37
4
583.728,00
301.736,80
10,25
9,49
9.098,33
21.518,47
17.332,67
1
722.537,00
308.400,00
9,25
8,40
9.122,67
21.552,83
16.380,33
2
764.357,00
316.871,44
8,75
7,66
8.988,33
23.326,92
17.850,50
3
814.467,00
221.750,32
8,25
7,18
9.244,33
23.382,19
18.801,98
4
765.758,00
349.493,36
8,17
7,18
9.299,33
24.336,15
18.566,52
1
780.799,19
376.784,56
7,96
6,97
9.186,33
26.197,98
23.189,84
2
642.857,10
363.348,64
8,34
7,01
9.259,00
27.691,07
25.786,89
3
524.819,10
373.156,64
9,41
8,27
9.216,33
28.609,98
27.175,08
4
676.960,89
398.766,40
11,02
10,43
11.365,33
24.344,13
24.600,59
1
775.620,40
423.061,04
8,82
9,94
11.636,67
20.386,13
16.349,55
2
782.826,40
431.069,84
7,26
8,78
10.426,00
23.605,64
18.515,62
3
736.663,50
440.872,80
6,59
7,89
9.887,00
25.463,72
20.155,22
4
862.406,01
365.818,96
6,47
7,14
9.475,00
28.985,62
22.019,00
1 1.011.272,91 469.016,00
6,38
6,93
9.271,67
28.363,80
23.665,00
2 1.020.359,20 407.176,16
6,25
6,81
9.091,67
30.113,64
25.664,90
3 1.004.902,20 505.555,04
6,43
6,75
8.972,33
32.579,63
27.447,85
4 1.095.433,10 361.016,64
6,71
6,81
8.977,33
37.634,93
29.993,79
1 1.311.970,06 386.825,44
6,21
6,76
8.863,00
36.873,34
30.005,09
2 1.309.529,16 574.032,33
6,15
6,82
8.569,33
42.058,66
33.684,58
3 1.120.804,40 597.347,44
6,14
6,83
8.771,26
42.182,35
35.218,78
4
6,15
6,54
8.890,11
45.436,21
37.442,87
689.660,00
206.982,56
LAMPIRAN 2
Hasil Pengujian Akar Unit pada Level
1. Operasi Pasar Terbuka
Null Hypothesis: OPT has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-1.712077
-3.577723
-2.925169
-2.600658
0.4188
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(OPT)
Method: Least Squares
Date: 01/20/14 Time: 14:44
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
OPT(-1)
C
-0.118464
0.691059
0.069193
0.405786
-1.712077
1.703013
0.0938
0.0955
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.061154
0.040291
0.104080
0.487469
40.67380
2.931207
0.093767
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.003191
0.106242
-1.645694
-1.566964
-1.616067
1.426361
LAMPIRAN 3
2.Giro Wajib Minimum
Null Hypothesis: GWM has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
t-Statistic
Prob.*
-1.885709
-3.577723
-2.925169
-2.600658
0.3360
Dependent Variable: D(GWM)
Method: Least Squares
Date: 01/20/14 Time: 15:02
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
GWM(-1)
C
-0.110875
0.596535
0.058798
0.310240
-1.885709
1.922818
0.0658
0.0608
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.073233
0.052638
0.139147
0.871291
27.02617
3.555898
0.065799
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.012766
0.142961
-1.064943
-0.986214
-1.035317
2.273862
LAMPIRAN 4
3.Tingkat Suku Bunga Fasilitas Diskonto (rDiskonto)
Null Hypothesis: RDISKONTO has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-0.599742
-3.577723
-2.925169
-2.600658
0.8608
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RDISKONTO)
Method: Least Squares
Date: 01/20/14 Time: 15:07
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
RDISKONTO(-1)
C
-0.024523
0.143815
0.040890
0.434009
-0.599742
0.331365
0.5517
0.7419
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.007930
-0.014116
0.931121
39.01441
-62.31402
0.359691
0.551686
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.103404
0.924618
2.736767
2.815497
2.766393
0.581174
LAMPIRAN 5
4. Tingkat bunga domestik (rDOM)
Null Hypothesis: RDOM has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-0.497233
-3.577723
-2.925169
-2.600658
0.8825
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RDOM)
Method: Least Squares
Date: 01/20/14 Time: 15:11
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
RDOM(-1)
C
-0.017969
0.162371
0.036138
0.544847
-0.497233
0.298012
0.6214
0.7671
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.005464
-0.016637
0.470934
9.980052
-30.27547
0.247241
0.621446
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.106383
0.467065
1.373424
1.452154
1.403051
0.827521
LAMPIRAN 6
5. Nilai Tukar (Exchange Rate/EXC)
Null Hypothesis: EXC has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXC)
t-Statistic
Prob.*
-3.731251
-3.577723
-2.925169
-2.600658
0.0066
Method: Least Squares
Date: 01/20/14 Time: 15:12
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
EXC(-1)
C
-0.398937
1.584591
0.106918
0.424299
-3.731251
3.734608
0.0005
0.0005
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.236282
0.219310
0.026377
0.031309
105.1887
13.92224
0.000532
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.001489
0.029853
-4.391007
-4.312278
-4.361381
1.920976
LAMPIRAN 7
6. Ekspor
Null Hypothesis: EXPOR has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
0.476388
-3.577723
-2.925169
-2.600658
0.9841
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXPOR)
Method: Least Squares
Date: 01/20/14 Time: 15:14
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
EXPOR(-1)
C
0.013909
-0.046021
0.029198
0.124413
0.476388
-0.369908
0.6361
0.7132
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.005018
-0.017093
0.037091
0.061909
89.16745
0.226946
0.636103
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.013191
0.036778
-3.709253
-3.630523
-3.679626
1.852659
LAMPIRAN 8
7. Impor
Null Hypothesis: IMP has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-0.501096
-3.577723
-2.925169
-2.600658
0.8817
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IMP)
Method: Least Squares
Date: 01/20/14 Time: 15:15
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
IMP(-1)
C
-0.016657
0.086552
0.033241
0.136505
-0.501096
0.634059
0.6187
0.5293
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.005549
-0.016550
0.061484
0.170115
65.41351
0.251097
0.618746
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.018298
0.060982
-2.698447
-2.619717
-2.668821
2.052197
LAMPIRAN 9
8. Investasi (INV)
Null Hypothesis: INV has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-0.915957
-3.577723
-2.925169
-2.600658
0.7745
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INV)
Method: Least Squares
Date: 01/20/14 Time: 15:16
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
INV(-1)
C
-0.049631
0.205863
0.054184
0.223100
-0.915957
0.922738
0.3646
0.3611
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.018303
-0.003513
0.065800
0.194831
62.22544
0.838977
0.364572
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.001702
0.065684
-2.562785
-2.484055
-2.533158
1.014381
LAMPIRAN 10
9. Pengangguran (UNEMP)
Null Hypothesis: UNEMP has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-4.801618
-3.577723
-2.925169
-2.600658
0.0003
*MacKinnon (1996) one-sided p-values.
Augmented DickeyFuller Test Equation
Dependent Variable: D(UNEMP)
Method: Least Squares
Date: 01/20/14 Time: 15:18
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
V i bl
UNEMP(
C 1)
R
Adjusted dR-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
C
ffi i
t
0
146217
0.934256
0
338775
0.324081
0.017297
0.013464
125.0207
23.05553
0.000018
Std E
0
030452
0.193657
t-Statistic
Prob.
-4.801618
4.824283
0.0000
0.0000
M
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.004468
0.021039
-5.234925
-5.156196
-5.205299
0.775644
LAMPIRAN 11
10. Neraca Pembayaran (Balance of Payment/ BOP)
Null Hypothesis: BOP has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-3.758513
-3.577723
-2.925169
-2.600658
0.0061
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(BOP)
Method: Least Squares
Date: 01/20/14 Time: 15:20
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
BOP(-1)
C
-0.513782
1.298722
0.136698
0.406861
-3.758513
3.192050
0.0005
0.0026
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.238919
0.222006
1.231328
68.22762
-75.44860
14.12642
0.000490
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.073404
1.396001
3.295685
3.374415
3.325312
1.649711
LAMPIRAN 12
11. Inflasi (INF)
Null Hypothesis: INF has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-2.474209
-3.577723
-2.925169
-2.600658
0.1281
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INF)
Method: Least Squares
Date: 01/20/14 Time: 15:21
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
INF(-1)
C
-0.206890
1.741156
0.083619
0.742321
-2.474209
2.345557
0.0172
0.0235
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.119748
0.100187
2.147047
207.4414
-101.5806
6.121712
0.017190
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.075957
2.263421
4.407685
4.486414
4.437311
1.119250
LAMPIRAN 13
12. Pertumbuhan (GROW)
Null Hypothesis: GROW has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-2.264591
-3.577723
-2.925169
-2.600658
0.1874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(GROW)
Method: Least Squares
Date: 01/20/14 Time: 15:24
Sample (adjusted): 2000Q2 2011Q4
Included observations: 47 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
GROW(-1)
C
-0.210613
1.131792
0.093003
0.484157
-2.264591
2.337657
0.0284
0.0239
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.102305
0.082356
0.799532
28.76632
-55.15297
5.128372
0.028403
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.067660
0.834639
2.432041
2.510771
2.461668
1.970714
LAMPIRAN 14
HASIL PENGUJIAN AKAR UNIT PADA FIRST DIFFERENCE
1. Operasi Pasar Terbuka (OPT)
Null Hypothesis: D(OPT) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
t-Statistic
Prob.*
-5.006221
-3.581152
-2.926622
-2.601424
0.0002
Dependent Variable: D(OPT,2)
Method: Least Squares
Date: 01/20/14 Time: 15:26
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(OPT(-1))
C
-0.768629
-0.003997
0.153535
0.015612
-5.006221
-0.256055
0.0000
0.7991
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.362894
0.348414
0.105875
0.493216
39.04417
25.06224
0.000009
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.005000
0.131161
-1.610616
-1.531110
-1.580833
1.887374
LAMPIRAN 15
2. Giro Wajib Minimum
Null Hypothesis: D(GWM) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-8.402730
-3.581152
-2.926622
-2.601424
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(GWM,2)
Method: Least Squares
Date: 01/20/14 Time: 15:29
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(GWM(-1))
C
-1.375815
0.021486
0.163734
0.020714
-8.402730
1.037291
0.0000
0.3053
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
LAMPIRAN 16
0.616076
0.607350
0.138137
0.839604
26.80856
70.60587
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.010217
0.220449
-1.078633
-0.999127
-1.048850
1.991989
3. Tingkat Suku Bunga Diskonto (rDiskonto)
Null Hypothesis: D(RDISKONTO) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-2.771953
-3.581152
-2.926622
-2.601424
0.0702
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RDISKONTO,2)
Method: Least Squares
Date: 01/20/14 Time: 15:33
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(RDISKONTO(-1))
C
-0.296993
-0.048938
0.107142
0.099274
-2.771953
-0.492952
0.0081
0.6245
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.148668
0.129320
0.669909
19.74623
-45.82056
7.683726
0.008137
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.021304
0.717937
2.079155
2.158661
2.108938
1.598621
LAMPIRAN 17
4. Tingkat Suku Bunga Domestik (rDOM)
Null Hypothesis: D(RDOM) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RDOM,2)
Method: Least Squares
Date: 01/20/14 Time: 15:35
t-Statistic
Prob.*
-3.577325
-3.581152
-2.926622
-2.601424
0.0101
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(RDOM(-1))
C
-0.434482
-0.033862
0.121454
0.058193
-3.577325
-0.581886
0.0009
0.5636
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.225315
0.207708
0.384728
6.512692
-20.30874
12.79725
0.000859
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.012609
0.432226
0.969945
1.049451
0.999729
1.684806
LAMPIRAN 18
5. Ekspor (Ekspor)
Null Hypothesis: D(EXPOR) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-6.123948
-3.581152
-2.926622
-2.601424
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXPOR,2)
Method: Least Squares
Date: 01/20/14 Time: 15:37
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(EXPOR(-1))
C
-0.916670
0.011540
0.149686
0.005818
-6.123948
1.983385
0.0000
0.0536
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.460141
0.447871
0.037251
0.061057
87.09441
37.50274
0.000000
LAMPIRAN 19
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.000217
0.050133
-3.699757
-3.620251
-3.669973
1.963180
6. Impor (Impor)
Null Hypothesis: D(IMP) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-7.104607
-3.581152
-2.926622
-2.601424
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IMP,2)
Method: Least Squares
Date: 01/20/14 Time: 15:39
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(IMP(-1))
C
-1.052969
0.017706
0.148209
0.009435
-7.104607
1.876768
0.0000
0.0672
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.534271
0.523686
0.061299
0.165331
64.18312
50.47545
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.001522
0.088819
-2.703614
-2.624108
-2.673831
2.040425
LAMPIRAN 20
7. Investasi (INV)
Null Hypothesis: D(INV) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INV,2)
Method: Least Squares
Date: 01/20/14 Time: 15:40
Sample (adjusted): 2000Q3 2011Q4
t-Statistic
Prob.*
-3.937790
-3.581152
-2.926622
-2.601424
0.0038
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(INV(-1))
C
-0.522873
0.001438
0.132783
0.008705
-3.937790
0.165182
0.0003
0.8696
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.260581
0.243776
0.059032
0.153330
65.91636
15.50619
0.000290
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.000870
0.067883
-2.778972
-2.699466
-2.749189
2.017149
LAMPIRAN 21
8. Inflasi (INF)
Null Hypothesis: D(INF) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-4.333778
-3.581152
-2.926622
-2.601424
0.0012
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INF,2)
Method: Least Squares
Date: 01/20/14 Time: 15:42
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(INF(-1))
C
-0.596460
0.025078
0.137630
0.311692
-4.333778
0.080457
0.0001
0.9362
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.299158
0.283230
2.112801
196.4128
-98.65744
18.78163
0.000084
LAMPIRAN 22
9. Pertumbuhan (GROW)
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.020435
2.495563
4.376411
4.455917
4.406194
1.790767
Null Hypothesis: D(GROW) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-7.727681
-3.581152
-2.926622
-2.601424
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(GROW,2)
Method: Least Squares
Date: 01/20/14 Time: 15:43
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(GROW(-1))
C
-1.126134
0.047842
0.145727
0.121843
-7.727681
0.392653
0.0000
0.6965
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.575769
0.566127
0.824095
29.88181
-55.34917
59.71705
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.022174
1.251111
2.493442
2.572948
2.523226
1.885461
LAMPIRAN 23
Pengujian Lag Optimal
VAR Lag Order Selection Criteria
Endogenous variables: OPT GWM RDISKONTO RDOM EXC EXPOR IMP INV UNEMP
BOP INF GROW
Exogenous variables: C
Date: 01/20/14 Time: 15:56
Sample: 2000Q1 2011Q4
Included observations: 46
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
43.56159
549.0601
777.1239
NA
725.2804
208.2322*
4.12e-16
7.43e-23
7.67e-24*
-1.372243
-17.08957
-20.74452*
-0.895206
-10.88809*
-8.818594
-1.193542
-14.76646
-16.27699*
* 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
LAMPIRAN 24
Hasil Pengujian Stabilitas VAR
Roots of Characteristic Polynomial
Endogenous variables: OPT GWM RDISKONTO RDOM
EXC EXPOR IMP INV UNEMP BOP INF GROW
Exogenous variables: C
Lag specification: 1 2
Date: 01/20/14 Time: 22:08
Root
1.006784
0.205849 - 0.934313i
0.205849 + 0.934313i
0.874894 - 0.228079i
0.874894 + 0.228079i
0.807251 - 0.381880i
0.807251 + 0.381880i
0.683955 + 0.561162i
0.683955 - 0.561162i
0.815038
0.658071 - 0.473379i
0.658071 + 0.473379i
-0.380770 - 0.681551i
-0.380770 + 0.681551i
-0.136140 - 0.745514i
-0.136140 + 0.745514i
-0.649719 + 0.298677i
-0.649719 - 0.298677i
0.174053 + 0.657347i
0.174053 - 0.657347i
-0.524088
-0.389528
0.348314
-0.203032
Modulus
1.006784
0.956721
0.956721
0.904135
0.904135
0.893021
0.893021
0.884701
0.884701
0.815038
0.810645
0.810645
0.780703
0.780703
0.757842
0.757842
0.715082
0.715082
0.680000
0.680000
0.524088
0.389528
0.348314
0.203032
Warning: At least one root outside the unit circle.
VAR does not satisfy the stability condition.
LAMPIRAN 25
Secara Grafik
Inverse Roots of AR Characteristic Polynomial
1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
LAMPIRAN 26
Structural VAR Estimates
Structural VAR Estimates
Date: 01/05/14 Time: 19:15
Sample (adjusted): 2000Q3 2011Q4
Included observations: 46 after adjustments
Estimation method: method of scoring (analytic derivatives)
Maximum iterations reached at 500 iterations
Structural VAR is over-identified (40 degrees of freedom)
Model: Ae = Bu where E[uu']=I
Restriction Type: short-run text form
@e1 = @u1
@e2 = @u2
@e3 = @u3
@e4 = @u4
@e5 = @u5
@e6 = @u6
@e7 = @u7
@e8 = @u8
@e9 = C(1)*@e1 + C(2)*@e2 + C(3)*@e3 + C(4)*@e4 + C(5)*@e5 + C(6)*@e6 +
C(7)*@e7 + C(8)*@e8 + @u9
@e10 = C(9)*@e1 + C(10)*@e2 + C(11)*@e3 + C(12)*@e4 + C(13)*@e5 + C(14)*@e6 + C(15)*@e7 +
C(16)*@e8 + C(17)*@e9 + @u10
@e11 = C(18)*@e1 + C(19)*@e2 + C(20)*@e3 + C(21)*@e4 + C(22)*@e5 + C(23)*@e6 + C(24)*@e7 + C(25)*@e8
+ C(26)*@e9 + C(27)*@e10 + @u11
@e12 = C(28)*@e1 + C(29)*@e2 + C(30)*@e3 + C(31)*@e4 + C(32)*@e5 + C(33)*@e6 + C(34)*@e7 + C(35)*@e8 +
C(36)*@e9 + C(37)*@e10 + C(38)*@e11 + @u12
Where
@e1 represents OPT residuals
@e2 represents GWM residuals
@e3 represents RDISKONTO residuals
@e4 represents RDOM residuals
@e5 represents EXC residuals
@e6 represents EXPOR residuals
@e7 represents IMP residuals
@e8 represents INV residuals
@e9 represents UNEMP residuals
@e10 represents BOP residuals
@e11 represents INF residuals
@e12 represents GROW residuals
WARNING: B matrix is fixed (structural innovation variances not estimated)!!!
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
C(8)
C(9)
C(10)
C(11)
C(12)
C(13)
C(14)
C(15)
C(16)
C(17)
C(18)
C(19)
C(20)
C(21)
C(22)
C(23)
Coefficient
Std. Error
z-Statistic
Prob.
-0.057995
0.013816
-0.001160
-0.011007
0.108715
0.079221
-0.062665
-0.209790
2.045633
-0.454719
-1.102335
0.078387
-1.444291
-0.641494
4.849115
2.329909
-3.304541
-2.287384
-0.135935
1.229894
2.442088
-12.77391
6.158902
0.147442
0.147442
0.147442
0.147442
0.147442
0.147442
0.147442
0.147442
0.147690
0.147456
0.147442
0.147451
0.148311
0.147904
0.147731
0.150652
0.147442
0.335830
0.161982
0.219443
0.147903
0.259506
0.175561
-0.393343
0.093704
-0.007867
-0.074650
0.737341
0.537305
-0.425017
-1.422863
13.85088
-3.083763
-7.476393
0.531611
-9.738278
-4.337233
32.82391
15.46555
-22.41249
-6.811128
-0.839198
5.604614
16.51140
-49.22394
35.08134
0.6941
0.9253
0.9937
0.9405
0.4609
0.5911
0.6708
0.1548
0.0000
0.0020
0.0000
0.5950
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.4014
0.0000
0.0000
0.0000
0.0000
C(24)
C(25)
C(26)
C(27)
C(28)
C(29)
C(30)
C(31)
C(32)
C(33)
C(34)
C(35)
C(36)
C(37)
C(38)
-3.915003
-2.482068
2.273196
0.309491
-1.367774
-1.698417
-0.845875
1.636008
-5.090151
5.636611
-7.356434
-0.063818
2.091569
0.126896
-0.148985
0.730066
0.375108
0.509048
0.147442
0.475945
0.163218
0.284673
0.389260
1.901204
0.924896
0.930697
0.524055
0.609480
0.154342
0.147442
Log likelihood
-550.9409
LR test for over-identification:
Chi-square(40) 2223.296
Estimated A matrix:
1.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.057995
-0.013816
-2.045633
0.454719
2.287384
0.135935
1.367774
1.698417
Estimated B matrix:
1.000000
0.000000
-5.362531
-6.616935
4.465580
2.099067
-2.873804
-10.40585
-2.971392
4.202872
-2.677330
6.094322
-7.904217
-0.121778
3.431728
0.822175
-1.010468
Probability
0.0000
0.0000
0.0000
0.0358
0.0041
0.0000
0.0030
0.0000
0.0074
0.0000
0.0000
0.9031
0.0006
0.4110
0.3123
0.0000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.001160
1.102335
-1.229894
0.845875
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.011007
-0.078387
-2.442088
-1.636008
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
-0.108715
1.444291
12.77391
5.090151
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
-0.079221
0.641494
-6.158902
-5.636611
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.062665
-4.849115
3.915003
7.356434
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.209790
-2.329909
2.482068
0.063818
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
3.304541
-2.273196
-2.091569
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
-0.309491
-0.126896
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.148985
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
LAMPIRAN 27
Response of Unemp to Cholesky
Period
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
1
2
3
4
5
6
7
8
9
10
11
12
13
-0.002711
-0.003372
-0.003100
-0.006423
-0.005879
-0.004663
-0.003824
-0.001954
-0.000122
0.000633
3.36E-07
-0.000988
-0.001345
-0.000895
-0.000713
0.004936
0.003883
0.002553
0.000808
-0.000556
-0.000752
-0.000205
-0.000302
-0.001384
-0.002090
-0.002832
-0.000460
-0.002799
0.000181
0.000772
0.000829
0.000607
-0.000429
-0.000724
-0.000216
0.000405
0.001153
0.003080
0.004727
0.000825
0.003084
0.006243
0.003643
0.000468
-0.003362
-0.005054
-0.005251
-0.004182
-0.001759
0.000679
0.003052
0.004334
0.003050
0.001683
0.002158
-0.000237
-0.001665
-0.004637
-0.005704
-0.004799
-0.003247
-0.002088
-0.001382
-0.000662
3.09E-05
0.000154
1.57E-06
-0.000978
-0.001131
-0.002764
-0.002848
-0.003188
-0.002411
-0.002594
-0.001782
-0.001203
-0.001195
-0.001573
-0.001157
-0.002229
-0.003920
-0.003365
-0.005348
-0.008172
-0.009065
-0.007112
-0.005444
-0.003564
-0.001823
-0.000347
0.001178
-0.009309
-0.007430
-0.007206
-0.004483
-0.001869
0.000595
0.001892
0.002515
0.001716
0.000710
8.61E-05
-0.001085
-0.002411
0.004035
0.003123
0.004076
0.004572
0.003222
0.003161
0.003190
0.002733
0.002137
0.001849
0.001648
0.001207
0.000629
0.000000
-0.004605
-0.008343
-0.007589
-0.006416
-0.004337
-0.002237
-0.001100
-0.000975
-0.000626
-0.000731
-0.001823
-0.002461
0.000000
0.000180
-0.000585
0.000554
0.001890
0.003311
0.003038
0.001729
0.000779
0.000602
0.001155
0.001656
0.002242
0.000000
0.002951
0.004370
0.004361
0.004667
0.003661
0.002896
0.002012
0.001031
0.000318
-0.000444
-0.000821
-0.001003
14
15
16
17
18
19
20
-0.000586
0.000736
0.001871
0.002809
0.003636
0.004029
0.003504
-0.003771
-0.004649
-0.004952
-0.004145
-0.002494
-0.000786
0.000500
0.004925
0.004296
0.003515
0.002697
0.001732
0.000818
0.000388
0.004754
0.004432
0.003671
0.002954
0.002489
0.002288
0.002254
0.000535
0.000618
0.000825
0.001621
0.002655
0.003273
0.003288
-0.002304
-0.003022
-0.003746
-0.004400
-0.005009
-0.005320
-0.005281
0.001819
0.000883
-0.000808
-0.002043
-0.002889
-0.003871
-0.004911
-0.003190
-0.003453
-0.003520
-0.003364
-0.002893
-0.002068
-0.001090
-0.000172
-0.000734
-0.000954
-0.001114
-0.001297
-0.001351
-0.001180
-0.002333
-0.001998
-0.001892
-0.001865
-0.001568
-0.001054
-0.000762
0.002801
0.002809
0.001857
3.82E-05
-0.002015
-0.003645
-0.004639
-0.000680
5.25E-05
0.000899
0.001674
0.002373
0.002984
0.003326
LAMPIRAN 28
Response of Bop to Cholesky (df adjusted) One S.D Innovations
Period
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
1
2
3
4
5
6
7
8
9
10
11
0.155789
0.048704
-0.320101
-0.302758
0.081130
0.188689
-0.189350
-0.245655
0.095733
0.339239
0.135005
-0.065472
-0.516542
0.075882
0.120805
0.044618
-0.105742
-0.253008
-0.030295
0.208851
0.129189
-0.068131
-0.412753
-0.328944
0.494278
0.295121
-0.152420
-0.123646
0.048386
0.144658
0.023067
-0.235581
-0.282899
-0.030372
-0.150898
-0.005263
0.070853
0.123506
0.117062
-0.014338
0.008936
-0.033782
-0.081242
-0.133465
-0.128079
-0.308804
-0.055510
0.255855
0.278600
-0.107393
-0.245166
0.050353
0.228118
0.063735
-0.183377
0.068337
0.311405
0.020619
0.178783
-0.061978
0.040910
0.058311
0.014703
-0.123680
-0.084894
0.048394
0.203812
-0.179822
-0.102904
0.654960
0.586677
-0.145882
-0.371611
0.057019
0.264838
-0.033256
-0.395179
0.145565
0.316041
-0.204572
-0.284982
-0.086022
0.006926
-0.029857
-0.093386
-0.119036
0.012417
0.179126
-0.189196
0.084884
0.005764
0.025194
-0.199646
-0.057503
0.126447
0.049544
-0.084482
-0.074935
0.061807
0.804433
0.285489
-0.402111
-0.104466
0.194152
0.109359
-0.105124
-0.235020
-0.068644
0.175885
0.141530
0.000000
0.093754
-0.096013
-0.143065
0.065759
0.231922
0.182507
-0.070897
-0.159461
-0.028772
0.054738
0.000000
-0.014554
-0.129174
-0.192589
-0.067603
0.067992
0.021383
0.002468
0.032280
0.113859
0.096043
12
13
14
15
16
17
18
19
20
-0.204336
-0.210789
0.033302
0.096979
-0.113875
-0.241114
-0.069238
0.163781
0.142660
-0.005543
0.206245
0.236731
0.023472
-0.168330
-0.109687
0.032738
0.003278
-0.140696
-0.020378
0.143088
-0.001099
-0.137833
-0.029573
0.160201
0.143045
-0.050292
-0.132243
-0.093092
-0.037510
-0.009580
-0.010450
-0.026088
-0.005654
0.021776
0.014250
-0.017007
-0.136502
0.094878
0.133311
-0.088985
-0.232629
-0.095670
0.092773
0.063834
-0.099444
0.066069
0.013666
-0.022747
0.044898
0.115800
0.088881
0.010559
-0.007012
0.043881
-0.320989
0.112340
0.267191
-0.005485
-0.194678
0.021727
0.306943
0.231222
-0.079839
0.124508
-0.000804
0.015999
0.108523
0.099204
-0.029619
-0.118818
-0.067682
0.022761
0.127897
0.046820
-0.053908
-0.019635
0.078902
0.072357
-0.025652
-0.069484
-0.001773
-0.103076
-0.134108
0.067274
0.172800
0.030095
-0.139562
-0.082842
0.089964
0.102695
-0.082931
-0.193516
-0.068623
0.135235
0.179204
0.063168
-0.000194
0.081767
0.155995
0.020484
-0.044068
-0.037310
-0.002126
-0.026340
-0.080866
-0.084561
-0.028795
0.007706
LAMPIRAN 29
Response of Inflation to Cholesky (df adjusted) One S.D Innovations
Period
1
2
3
4
5
6
7
8
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
-0.289185
-0.730803
-0.389852
0.516081
0.933872
0.584326
-0.140491
-0.538776
-0.050716
-0.668468
-0.609965
-0.144634
0.200340
0.342990
0.561296
0.874339
0.618557
0.179618
0.479541
-0.044704
-0.954034
-0.830449
-0.121304
0.240840
0.283236
-0.379911
-0.759954
-0.735715
-0.376588
-0.137424
-0.108667
0.122820
-0.509890
-0.706870
-0.120269
0.298576
0.305646
0.114296
0.160572
0.366958
-0.086766
0.174500
-0.390091
-0.438117
-0.448354
-0.191567
-0.147156
-0.168941
-0.008953
-0.118904
-0.444174
-0.208055
-0.469909
-0.988783
-0.961772
-0.254383
-0.160323
0.250277
-0.418010
-0.481179
-0.014956
0.256238
0.177469
0.071858
0.054849
0.049760
-0.119473
-0.233692
-0.167077
0.073844
0.230031
0.139939
0.249294
-0.075915
-0.462079
-0.004879
0.490915
0.257348
-0.310835
-0.395363
0.887557
0.752435
0.052422
-0.304385
-0.492683
-0.725829
-0.825301
-0.754708
0.000000
0.107203
0.213616
0.231686
0.412896
0.558970
0.354506
0.153280
9
10
11
12
13
14
15
16
17
18
19
20
-0.432680
-0.285340
-0.455628
-0.541455
-0.139458
0.343172
0.351031
0.014490
-0.121582
0.081694
0.246840
0.117073
0.747589
0.235121
-0.228615
-0.342612
-0.225280
-0.224636
-0.367875
-0.344082
-0.065539
0.129230
0.020816
-0.174456
0.088790
0.010337
0.234788
0.427472
0.315062
0.010607
-0.126046
0.052842
0.273669
0.219165
0.020806
0.016657
0.238615
0.172562
0.041992
0.009922
0.042857
0.060480
0.078932
0.131609
0.212204
0.246122
0.208539
0.146195
0.268507
-0.174898
-0.505024
-0.335886
0.019193
0.072427
-0.100814
-0.089849
0.163489
0.300830
0.131930
-0.083053
-0.166357
-0.094417
0.016623
-0.000786
-0.112548
-0.169745
-0.100992
-0.071973
-0.170947
-0.273818
-0.267131
-0.200379
0.183672
-0.122688
-0.401499
-0.038597
0.443530
0.319211
-0.167097
-0.322440
-0.036784
0.156706
-0.087766
-0.419717
0.165294
0.265777
0.153720
-0.120999
-0.307466
-0.282947
-0.154473
-0.118491
-0.187852
-0.175102
-0.035746
0.047414
-0.003210
-0.013669
0.110102
0.108204
-0.054893
-0.126704
-0.008819
0.107283
0.058872
-0.061485
-0.081490
0.001730
0.006833
0.156654
-0.082724
-0.290361
-0.193314
0.030326
0.047483
-0.177419
-0.312821
-0.153250
0.048425
0.004890
-0.381213
0.128222
0.381197
0.270426
0.122717
0.165681
0.219187
0.078213
-0.130260
-0.143020
0.013166
0.070026
0.107397
0.133051
0.050255
-0.059231
-0.067828
0.011201
0.065943
0.036753
0.001704
0.036559
0.113172
0.142292
LAMPIRAN 30
Response of Grow to Cholesky (df adjusted) One S.D Innovations
Period
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
1
2
3
4
5
-0.085983
-0.012841
-0.178600
-0.265863
-0.208985
-0.234694
-0.058139
0.060360
0.169872
0.037125
-0.255708
-0.026794
-0.079235
0.011423
-0.085779
0.151493
-0.314126
-0.412368
-0.309570
-0.282505
-0.114832
-0.227317
-0.145038
-0.073998
-0.051077
-0.054465
0.197824
0.039868
0.153662
0.088866
-0.285395
-0.032649
-0.066381
0.080863
0.082047
-0.048689
0.109396
0.176372
0.145589
0.157562
-0.021603
0.003526
0.030786
0.009048
0.024791
0.079341
0.203092
0.051081
0.092824
0.167643
-0.171645
-0.140860
-0.057399
-0.078183
0.042675
0.284038
0.051733
-0.066534
-0.089619
-0.140998
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
-0.116975
-0.131852
-0.095377
0.004082
0.043066
0.029208
-0.010598
-0.015514
0.015711
0.030243
-0.001586
-0.031534
-0.017839
0.007398
-0.000734
LAMPIRAN 31
0.074845
0.006579
-0.037698
-0.046421
-0.086001
-0.113843
-0.071451
0.007927
0.040006
0.036198
0.021083
0.024556
0.038212
0.023439
-0.011839
-0.036691
0.013164
0.048646
0.045328
-0.020727
-0.062043
-0.037922
-0.013561
-0.052062
-0.078298
-0.053772
-0.019567
-0.011565
-0.028659
-0.035917
-0.052148
0.026505
0.074328
0.054010
0.018522
-0.022889
-0.065772
-0.077387
-0.087707
-0.079787
-0.071017
-0.056283
-0.039024
-0.032167
-0.033237
-0.071419
-0.106393
-0.036861
-0.010022
-0.036748
-0.064488
-0.055194
-0.017850
-0.006044
-0.032787
-0.057459
-0.038735
-0.009532
-0.013417
-0.039039
0.087270
0.126742
0.100386
0.090966
0.065948
0.085143
0.058171
0.037805
0.030537
0.035595
0.054302
0.061166
0.059974
0.062494
0.074251
0.026280
0.065270
0.169154
0.199816
0.120708
0.044524
-0.007573
0.005118
0.015723
-0.032564
-0.059345
-0.008305
0.061402
0.073456
0.043432
0.108187
0.025943
-0.066764
-0.111204
-0.104762
-0.042252
-0.004656
0.007000
0.044414
0.077278
0.076095
0.050785
0.026790
0.019292
0.022429
0.005056
0.069030
0.035212
0.006839
0.011152
0.028544
0.037831
0.031073
0.019085
0.018293
0.033533
0.031897
0.012922
0.002522
0.009110
0.081135
0.019718
-0.058296
-0.074695
-0.027640
-0.001256
-0.029431
-0.023749
0.031886
0.056366
0.038714
0.014074
0.016858
0.038236
0.039630
0.115466
0.138278
0.122291
0.125967
0.136385
0.120444
0.075568
0.027426
0.022369
0.034334
0.031677
0.014690
0.008942
0.029139
0.052728
-0.092325
-0.088035
-0.056860
-0.048589
-0.030206
-0.018454
-0.027629
-0.029568
-0.028520
-0.018270
-0.020921
-0.032870
-0.039025
-0.036654
-0.035444
Response to Cholesky One S.D. Innovations
Response of UNEMP to GWM
Response of UNEMP to OPT
Response of UNEMP to RDOM
Response of UNEMP to RDISKONTO
.008
.008
.008
.008
.004
.004
.004
.004
.000
.000
.000
.000
-.004
-.004
-.004
-.004
-.008
-.008
-.008
-.008
-.012
-.012
2
4
6
8
10
12
14
16
18
20
-.012
2
Response of UNEMP to EXC
4
6
8
10
12
14
16
18
20
-.012
2
Response of UNEMP to EXPOR
4
6
8
10
12
14
16
18
20
2
Response of UNEMP to IMP
.008
.008
.008
.004
.004
.004
.004
.000
.000
.000
.000
-.004
-.004
-.004
-.004
-.008
-.008
-.008
-.008
-.012
2
4
6
8
10
12
14
16
18
20
-.012
2
Response of UNEMP to UNEMP
4
6
8
10
12
14
16
18
20
Response of UNEMP to BOP
4
6
8
10
12
14
16
18
20
2
Response of UNEMP to INF
.008
.008
.004
.004
.004
.004
.000
.000
.000
.000
-.004
-.004
-.004
-.004
-.008
-.008
-.008
-.008
-.012
4
6
8
10
12
14
16
18
20
-.012
2
4
6
8
10
12
14
16
18
20
10
12
14
16
18
20
4
6
8
10
12
14
16
18
20
Response of UNEMP to GROW
.008
2
8
-.012
2
.008
-.012
6
Response of UNEMP to INV
.008
-.012
4
-.012
2
4
6
8
10
12
14
16
18
20
2
4
6
8
10
12
14
16
18
20
LAMPIRAN 32
Response to Cholesky One S.D. Innovations
Response of BOP to OPT
Response of BOP to GWM
Response of BOP to RDISKONTO
Response of BOP to RDOM
1.0
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
2
4
6
8
10
12
14
16
18
2
20
Response of BOP to EXC
4
6
8
10
12
14
16
18
2
20
4
Response of BOP to EXPOR
6
8
10
12
14
16
18
2
20
Response of BOP to IMP
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
4
6
8
10
12
14
16
18
2
20
4
Response of BOP to UNEMP
6
8
10
12
14
16
18
2
20
4
Response of BOP to BOP
6
8
10
12
14
16
18
2
20
Response of BOP to INF
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
4
6
8
10
LAMPIRAN 33
12
14
16
18
20
2
4
6
8
10
12
14
16
18
20
2
4
6
8
10
12
14
16
8
10
12
14
16
18
20
4
6
8
10
12
14
16
18
20
18
20
Response of BOP to GROW
1.0
2
6
Response of BOP to INV
1.0
2
4
18
20
2
4
6
8
10
12
14
16
Response to Cholesky One S.D. Innovations
Response of INF to OPT
Response of INF to GWM
Response of INF to RDISKONTO
Response of INF to RDOM
1.0
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
-1.0
-1.0
-1.0
-1.0
-1.5
-1.5
2
4
6
8
10
12
14
16
18
-1.5
2
20
Response of INF to EXC
4
6
8
10
12
14
16
18
-1.5
2
20
4
Response of INF to EXPOR
6
8
10
12
14
16
18
2
20
Response of INF to IMP
1.0
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
-1.0
-1.0
-1.0
-1.0
-1.5
2
4
6
8
10
12
14
16
18
-1.5
2
20
4
Response of INF to UNEMP
6
8
10
12
14
16
18
4
Response of INF to BOP
6
8
10
12
14
16
18
2
20
1.0
1.0
0.5
0.5
0.5
0.5
0.0
0.0
0.0
0.0
-0.5
-0.5
-0.5
-0.5
-1.0
-1.0
-1.0
-1.0
-1.5
4
6
8
10
12
14
16
18
20
-1.5
2
4
6
8
10
12
14
16
18
20
10
12
14
16
18
20
6
8
10
12
14
16
18
20
18
20
Response of INF to GROW
1.0
2
4
Response of INF to INF
1.0
-1.5
8
-1.5
2
20
6
Response of INF to INV
1.0
-1.5
4
-1.5
2
4
6
8
10
12
14
16
18
20
2
4
6
8
10
12
14
16
LAMPIRAN 34
Response to Cholesky One S.D. Innovations
Response of GROW to OPT
Response of GROW to GWM
Response of GROW to RDISKONTO
Response of GROW to RDOM
.4
.4
.4
.4
.2
.2
.2
.2
.0
.0
.0
.0
-.2
-.2
-.2
-.2
-.4
-.4
-.4
-.4
-.6
-.6
2
4
6
8
10
12
14
16
18
-.6
2
20
Response of GROW to EXC
4
6
8
10
12
14
16
18
-.6
2
20
Response of GROW to EXPOR
4
6
8
10
12
14
16
18
2
20
Response of GROW to IMP
.4
.4
.4
.2
.2
.2
.2
.0
.0
.0
.0
-.2
-.2
-.2
-.2
-.4
-.4
-.4
-.4
-.6
2
4
6
8
10
12
14
16
18
-.6
2
20
Response of GROW to UNEMP
4
6
8
10
12
14
16
18
4
Response of GROW to BOP
6
8
10
12
14
16
18
2
20
Response of GROW to INF
.4
.4
.4
.2
.2
.2
.2
.0
.0
.0
.0
-.2
-.2
-.2
-.2
-.4
-.4
-.4
-.4
-.6
2
4
6
8
10
12
14
16
18
20
-.6
2
4
6
8
10
12
14
16
18
20
10
12
14
16
18
20
4
6
8
10
12
14
16
18
20
Response of GROW to GROW
.4
-.6
8
-.6
2
20
6
Response of GROW to INV
.4
-.6
4
-.6
2
4
6
8
10
12
14
16
18
20
2
4
6
8
10
12
14
16
18
20
LAMPIRAN 35
Variance Decompositionof Unemp - SVAR
Period
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
S.E.
OPT
GWM
RDISKONTO
RDOM
EXC
EXPOR
IMP
INV
UNEMP
BOP
INF
GROW
0.087203
0.114192
0.134324
0.148634
0.164269
0.175056
0.179925
0.181576
0.186316
0.196933
0.206666
0.213756
0.219827
0.225477
0.229150
0.232871
0.237397
0.241123
0.244631
0.247842
5.991870
7.353724
5.597790
9.843131
11.99366
11.96290
11.20286
10.39682
9.867329
9.703907
9.606173
9.448317
9.132676
8.649132
8.224335
8.016905
8.067021
8.349414
8.687766
8.782428
0.652614
0.514033
5.072742
5.764746
5.443780
4.554082
3.845479
3.515137
3.338650
3.280371
3.374456
3.579959
3.914314
4.530380
5.489702
6.522250
7.106256
7.093258
6.775958
6.443345
0.172452
3.161573
1.596669
1.227585
1.078500
0.924906
0.790695
0.752188
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