108 Adjustment coefficients standard error in parentheses
DBD -0.006068
0.01142 DCA
0.005301 0.00286
DER 0.031100
0.01585 2 Cointegrating Equations:
Log likelihood 345.5814
Normalized cointegrating coefficients standard error in parentheses BD
CA ER
C 1.000000
0.000000 -3.720765
23.87481 0.89662
5.41508 0.000000
1.000000 -1.578602
9.773804 0.74239
4.48362 Adjustment coefficients standard error in parentheses
DBD -0.003542
0.010638 0.01223
0.01655 DCA
0.003111 -0.009230
0.00297 0.00402
DER 0.043391
0.037823 0.01648
0.02229
j. Vietnam
Date: 062111 Time: 17:56 Sample adjusted: 1992Q2 2010Q4
Included observations: 75 after adjustments Trend assumption: Linear deterministic trend restricted
Series: BD_Y CA_Y ER_Y Lags interval in first differences: 1 to 4
Unrestricted Cointegration Rank Test Trace Hypothesized
Trace 0.05
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.384780 59.66868
42.91525 0.0005
At most 1 0.175101
23.23547 25.87211
0.1028 At most 2
0.110693 8.798430
12.51798 0.1931
Trace test indicates 1 cointegrating eqns at the 0.05 level denotes rejection of the hypothesis at the 0.05 level
MacKinnon-Haug-Michelis 1999 p-values
Unrestricted Cointegration Rank Test Maximum Eigenvalue Hypothesized
Max-Eigen 0.05
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.384780 36.43321
25.82321 0.0014
At most 1 0.175101
14.43704 19.38704
0.2261 At most 2
0.110693 8.798430
12.51798 0.1931
Max-eigenvalue test indicates 1 cointegrating eqns at the 0.05 level denotes rejection of the hypothesis at the 0.05 level
MacKinnon-Haug-Michelis 1999 p-values
Unrestricted Cointegrating Coefficients normalized by bS11b=I: BD_Y
CA_Y ER_Y
TREND91Q2 48.85175
-6.575041 132.1544
0.279840 5.515720
-12.70311 319.1892
0.135078 -9.815309
-6.626784 -343.6370
-0.230522
109 Unrestricted Adjustment Coefficients alpha:
DBD_Y -0.001747
-0.000396 0.000483
DCA_Y 0.000683
0.001591 0.000554
DER_Y 4.96E-05
-4.40E-05 4.50E-05
1 Cointegrating Equations: Log likelihood
1183.358 Normalized cointegrating coefficients standard error in parentheses
BD_Y CA_Y
ER_Y TREND91Q2
1.000000 -0.134592
2.705213 0.005728
0.05106 1.49931
0.00075 Adjustment coefficients standard error in parentheses
DBD_Y -0.085363
0.01757 DCA_Y
0.033373 0.02652
DER_Y 0.002421
0.00114 2 Cointegrating Equations:
Log likelihood 1190.576
Normalized cointegrating coefficients standard error in parentheses BD_Y
CA_Y ER_Y
TREND91Q2 1.000000
0.000000 -0.718653
0.004564 2.04541
0.00106 0.000000
1.000000 -25.43890
-0.008652 10.1155
0.00524 Adjustment coefficients standard error in parentheses
DBD_Y -0.087549
0.016525 0.01750
0.00509 DCA_Y
0.042150 -0.024705
0.02474 0.00720
DER_Y 0.002179
0.000233 0.00111
0.00032
LAMPIRAN 5. HASIL SIMULASI FEVD a. Brunei Darussalam
Variance Decomposition of BD_Y: Period
S.E. BD_Y
CA_Y ER_Y
1 0.13422
100 2
0.14325 91.7496
7.04725 1.20311 3
0.16091 77.251
21.79 0.95897 4
0.18451 60.7417
38.4775 0.78077
5 0.21123
47.7586 51.4247
0.81673 6
0.23848 38.5709
60.4836 0.94551
7 0.26484
32.1692 66.7374
1.09347 8
0.28984 27.6217
71.1503 1.22806
9 0.31336
24.288 74.3712
1.34086 10
0.33549 21.7664
76.8005 1.43307
11 0.35638
19.8034 78.6885
1.50808 12
0.37617 18.2366
80.194 1.56948
110 13
0.395 16.959
81.4208 1.62026 14
0.41299 15.8981
82.4392 1.66275 15
0.43023 15.0035
83.2978 1.69874 16
0.44682 14.2391
84.0314 1.72956 17
0.46281 13.5784
84.6654 1.75623 18
0.47826 13.0017
85.2188 1.77952 19
0.49323 12.494
85.706 1.80004 20
0.50777 12.0436
86.1382 1.81824 21
0.52189 11.6412
86.5243 1.8345
22 0.53565
11.2797 86.8712 1.84911
23 0.54906
10.953 87.1847 1.86232
24 0.56215
10.6565 87.4692
1.8743 25
0.57494 10.386
87.7288 1.88524 26
0.58745 10.1383
87.9665 1.89525 27
0.59971 9.91066
88.1849 1.90445 28
0.61171 9.70072
88.3864 1.91293 29
0.62349 9.50648
88.5727 1.92079 30
0.63505 9.32626
88.7457 1.92807 31
0.6464 9.15859
88.9066 1.93485 Variance Decomposition of CA_Y:
Period S.E.
BD_Y CA_Y
ER_Y 1
0.12326 80.7765
19.2235 2
0.15801 55.0629
44.8683 0.06887 3
0.20268 40.8919
58.3014 0.80672 4
0.2456 31.815
66.8447 1.34036
5 0.28636
26.4628 71.7231
1.81415 6
0.32419 23.0447
74.7926 2.1627
7 0.35917
20.7436 76.832
2.42446 8
0.39159 19.1186
78.2599 2.62156
9 0.42179
17.9202 79.3073
2.77254 10
0.45011 17.0055
80.104 2.89051
11 0.47682
16.2866 80.729
2.98448 12
0.50214 15.7076
81.2317 3.06075
13 0.52625
15.2317 81.6446
3.12371 14
0.54932 14.8338
81.9897 3.17647
15 0.57146
14.4964 82.2824
3.22128 16
0.59277 14.2065
82.5337 3.25979
17 0.61335
13.9549 82.7519
3.29324 18
0.63325 13.7344
82.9431 3.32256
19 0.65255
13.5396 83.112
3.34846 20
0.6713 13.3662
83.2623 3.3715
21 0.68954
13.211 83.3969
3.39215 22
0.7073 13.0711
83.5181 3.41074
23 0.72463
12.9445 83.6279
3.42758 24
0.74156 12.8293
83.7278 3.4429
25 0.75811
12.7241 83.819
3.4569 26
0.7743 12.6275
83.9027 3.46973
27 0.79016
12.5387 83.9798
3.48155 28
0.80571 12.4566
84.051 3.49246
29 0.82097
12.3806 84.1169
3.50257
111 30
0.83594 12.3099
84.1781 3.51196 31
0.85066 12.2442
84.2351 3.52071 Variance Decomposition of ER_Y:
Period S.E.
BD_Y CA_Y
ER_Y 1
0.01933 49.449
3.74898 46.8021 2
0.03162 63.6304
4.63648 31.7332 3
0.04019 65.0964
7.45777 27.4458 4
0.04819 65.8551
10.1594 23.9855 5
0.05514 65.8122
12.5467 21.6411 6
0.06146 65.579
14.4931 19.9279 7
0.06724 65.2999
16.0458 18.6543 8
0.07259 65.0369
17.2778 17.6853 9
0.07758 64.8088
18.26 16.9312 10
0.08228 64.6162
19.0517 16.3322 11
0.08672 64.4549
19.698 15.8472 12
0.09095 64.3195
20.2328 15.4477 13
0.095 64.2051
20.6814 15.1135 14
0.09887 64.1075
21.0622 14.8302 15
0.1026 64.0236
21.3893 14.5871 16
0.1062 63.9506
21.6731 14.3763 17
0.10969 63.8867
21.9215 14.1918 18
0.11306 63.8303
22.1407 14.029
19 0.11634
63.7801 22.3357 13.8842
20 0.11953
63.7352 22.5101 13.7547
21 0.12263
63.6948 22.6671
13.6381 22
0.12566 63.6583
22.8091 13.5327
23 0.12861
63.625 22.9382
13.4368 24
0.1315 63.5947
23.0561 13.3492
25 0.13433
63.5668 23.1642
13.269 26
0.1371 63.5412
23.2637 13.1951
27 0.13982
63.5176 23.3554
13.127 28
0.14248 63.4957
23.4404 13.0638
29 0.14509
63.4754 23.5194
13.0052 30
0.14766 63.4565
23.5928 12.9507
31 0.15019
63.4389 23.6614
12.8997 Cholesky Ordering: BD_Y CA_Y ER_Y
b. Singapura Variance Decomposition of DBD_Y:
Period S.E.
DBD_Y DCA_Y
DER_Y 1
0.041025 100
2 0.046719
83.64668 9.250317
7.102998 3
0.047935 79.94481
13.07948 6.975709
4 0.048255
78.90687 14.20934
6.883784 5
0.048324 78.71721
14.36558 6.917214
6 0.048334
78.70502 14.37693
6.918046 7
0.048336 78.70418
14.37598 6.919837
8 0.048336
78.70401 14.37617
6.919822
112 9
0.048336 78.70377
14.37643 6.919806
10 0.048336
78.70369 14.37651
6.919801 11
0.048336 78.70367
14.37653 6.919801
12 0.048336
78.70367 14.37653
6.919801 13
0.048336 78.70367
14.37653 6.919802
14 0.048336
78.70367 14.37653
6.919802 15
0.048336 78.70367
14.37653 6.919802
16 0.048336
78.70367 14.37653
6.919802 17
0.048336 78.70367
14.37653 6.919802
18 0.048336
78.70367 14.37653
6.919802 19
0.048336 78.70367
14.37653 6.919802
20 0.048336
78.70367 14.37653
6.919802 21
0.048336 78.70367
14.37653 6.919802
22 0.048336
78.70367 14.37653
6.919802 23
0.048336 78.70367
14.37653 6.919802
24 0.048336
78.70367 14.37653
6.919802 25
0.048336 78.70367
14.37653 6.919802
26 0.048336
78.70367 14.37653
6.919802 27
0.048336 78.70367
14.37653 6.919802
28 0.048336
78.70367 14.37653
6.919802 29
0.048336 78.70367
14.37653 6.919802
30 0.048336
78.70367 14.37653
6.919802 31
0.048336 78.70367
14.37653 6.919802
Variance Decomposition of DCA_Y: Period
S.E. DBD_Y
DCA_Y DER_Y
1 0.041756
13.53526 86.46474
2 0.045675
15.75958 78.53909
5.701334 3
0.046115 17.07432
77.21508 5.710601
4 0.04621
17.22723 76.96226
5.810513 5
0.046231 17.2348
76.96006 5.805138
6 0.046238
17.2301 76.96635
5.803541 7
0.046239 17.22931
76.9669 5.803783
8 0.04624
17.22947 76.96671
5.803824 9
0.04624 17.22955
76.96659 5.803862
10 0.04624
17.22956 76.96657
5.803864 11
0.04624 17.22957
76.96657 5.803864
12 0.04624
17.22957 76.96657
5.803864 13
0.04624 17.22957
76.96657 5.803864
14 0.04624
17.22957 76.96657
5.803864 15
0.04624 17.22957
76.96657 5.803864
16 0.04624
17.22957 76.96657
5.803864 17
0.04624 17.22957
76.96657 5.803864
18 0.04624
17.22957 76.96657
5.803864 19
0.04624 17.22957
76.96657 5.803864
20 0.04624
17.22957 76.96657
5.803864 21
0.04624 17.22957
76.96657 5.803864
22 0.04624
17.22957 76.96657
5.803864 23
0.04624 17.22957
76.96657 5.803864
24 0.04624
17.22957 76.96657
5.803864 25
0.04624 17.22957
76.96657 5.803864
113 26
0.04624 17.22957
76.96657 5.803864
27 0.04624
17.22957 76.96657
5.803864 28
0.04624 17.22957
76.96657 5.803864
29 0.04624
17.22957 76.96657
5.803864 30
0.04624 17.22957
76.96657 5.803864
31 0.04624
17.22957 76.96657
5.803864 Variance Decomposition of DER_Y:
Period S.E.
DBD_Y DCA_Y
DER_Y 1
0.001634 2.767765
0.479722 96.75251
2 0.001737
3.32164 1.584551
95.09381 3
0.001753 3.262205
1.559323 95.17847
4 0.001754
3.292467 1.560867
95.14667 5
0.001755 3.291408
1.562593 95.146
6 0.001755
3.291762 1.562895
95.14534 7
0.001755 3.291755
1.56319 95.14505
8 0.001755
3.291751 1.563219
95.14503 9
0.001755 3.291756
1.563225 95.14502
10 0.001755
3.291756 1.563225
95.14502 11
0.001755 3.291757
1.563225 95.14502
12 0.001755
3.291757 1.563225
95.14502 13
0.001755 3.291757
1.563225 95.14502
14 0.001755
3.291757 1.563225
95.14502 15
0.001755 3.291757
1.563225 95.14502
16 0.001755
3.291757 1.563225
95.14502 17
0.001755 3.291757
1.563225 95.14502
18 0.001755
3.291757 1.563225
95.14502 19
0.001755 3.291757
1.563225 95.14502
20 0.001755
3.291757 1.563225
95.14502 21
0.001755 3.291757
1.563225 95.14502
22 0.001755
3.291757 1.563225
95.14502 23
0.001755 3.291757
1.563225 95.14502
24 0.001755
3.291757 1.563225
95.14502 25
0.001755 3.291757
1.563225 95.14502
26 0.001755
3.291757 1.563225
95.14502 27
0.001755 3.291757
1.563225 95.14502
28 0.001755
3.291757 1.563225
95.14502 29
0.001755 3.291757
1.563225 95.14502
30 0.001755
3.291757 1.563225
95.14502 31
0.001755 3.291757
1.563225 95.14502
Cholesky Ordering: DBD_Y DCA_Y DER_Y
c. Indonesia
