Hasil uji VECM

Lampiran 7. Hasil uji VECM

Vector Error Correction Estimates

Persamaan PDB

Sample (adjusted): 1991Q3 2009Q3 Included observations: 73 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1 LNPDB(-1)

1.000000 LNIHK3(-1)

[ 1.04340] LNGOV(-1)

-0.670333 (0.09433) [-7.10653]

LNM2(-1) -0.626546 (0.05080) [-12.3336]

SBI(-1) -0.009903 (0.00227) [-4.36397]

LNKURS(-1) 0.189451 (0.07193)

[ 2.63380] C -0.084905

Error Correction: D(LNPDB) D(LNIHK3) D(LNGOV) D(LNM2) D(SBI) D(LNKURS) CointEq1

(12.5163) (0.47556) [-0.64677] [ 0.17578] [ 4.01163] [-2.48586] [ 0.36102] [-3.22275]

D(LNPDB(-1)) -0.243017 -0.129103 -0.096498 0.329630 -14.74811 1.488172 (0.20226)

(21.4729) (0.81588) [-1.20151] [-0.94760] [-0.19580] [ 1.54908] [-0.68682] [ 1.82402]

D(LNPDB(-2)) 0.067998

[ 0.10045] [-2.22215] [ 2.36605] [-0.26835] [ 2.06918] D(LNPDB(-3))

-0.186355 -0.100669 -0.370605 0.439463 -7.366755 1.988806 (0.17461)

(18.5372) (0.70433) [-1.06728] [-0.85591] [-0.87105] [ 2.39231] [-0.39740] [ 2.82367]

D(LNPDB(-4)) 0.030390 -0.312556 -1.113507

(18.9894) (0.72151) [ 0.16990] [-2.59416] [-2.55483] [ 0.57033] [ 0.15551] [ 1.69869]

D(LNPDB(-5)) 0.378508

[ 0.52109] [-1.50239] [ 2.21945] [ 1.15219] [ 2.19829] D(LNIHK3(-1))

[ 1.34448] [-2.37451] [ 2.60005] [ 2.04050] [ 2.26858] D(LNIHK3(-2))

(31.3321) (1.19048) [-0.47036] [-0.58068] [ 1.80951] [-0.81511] [ 1.23114] [-0.41993]

D(LNIHK3(-3)) -0.563961 -0.228011 -0.241398 -0.341261 -63.44792 -1.986694 (0.27790)

(29.5028) (1.12097) [-2.02940] [-1.21807] [-0.35649] [-1.16725] [-2.15058] [-1.77229]

D(LNIHK3(-4)) 0.312401

[ 0.20886] [-0.26638] [ 0.63620] D(LNIHK3(-5))

0.195349 -0.265616 -45.95395 -0.545157 (0.27211)

[ 0.62335] [ 0.29463] [-0.92784] [-1.59075] [-0.49667] D(LNGOV(-1))

[ 1.81866] [ 1.27795] [-2.30715] [ 0.94543] [-2.44732] D(LNGOV(-2))

-0.124715 -0.044727 0.125004 -0.239911 -6.738732 -0.927625 (0.07212)

(7.65619) (0.29090) [-1.72938] [-0.92075] [ 0.71136] [-3.16211] [-0.88017] [-3.18880]

D(LNGOV(-3)) -0.005444 -0.027161 -0.144867 -0.136190 -8.859670 -0.530423 (0.06740)

(7.15539) (0.27187) [-0.08077] [-0.59827] [-0.88210] [-1.92066] [-1.23818] [-1.95099]

D(LNGOV(-4)) 0.017266 -0.004596 0.361818 -0.021575 -5.882140 -0.273373 (0.06236)

(6.62065) (0.25156) [ 0.27686] [-0.10940] [ 2.38105] [-0.32885] [-0.88845] [-1.08673]

D(LNGOV(-5)) -0.144372 -0.103259 -0.024397 -0.085189 -12.07455 -0.297654 (0.05663)

(6.01249) (0.22845) [-2.54924] [-2.70679] [-0.17679] [-1.42979] [-2.00824] [-1.30294]

D(LNM2(-1)) -0.083054

(20.8062) (0.79054) [-0.42379] [ 0.61804] [ 1.28147] [-2.37444] [ 2.45572] [-2.24110]

D(LNM2(-2)) -0.080754

1.016009 -0.512480 -1.306047 -2.951181 (0.23533)

(24.9838) (0.94928) [-0.34315] [ 0.02987] [ 1.77182] [-2.06994] [-0.05228] [-3.10888]

D(LNM2(-3)) 0.320795

[ 0.58388] [ 2.88583] [-1.18812] [ 0.10596] [-2.34226] D(LNM2(-4))

(23.1823) (0.88083) [-1.22422] [-0.44205] [ 2.93793]

[ 0.61274] [ 0.18174] [-1.06708] D(LNM2(-5))

-0.113030 -0.130739 0.570762 -0.027723 -30.87460 -0.662575 (0.19753)

(20.9708) (0.79680) [-0.57222] [-0.98259] [ 1.18582] [-0.13340] [-1.47227] [-0.83155]

D(SBI(-1)) -0.000884 -0.001026 0.003731 -0.006697 -0.661085 -0.023540 (0.00144)

(0.15236) (0.00579) [-0.61563] [-1.06110] [ 1.06677] [-4.43567] [-4.33889] [-4.06629]

D(SBI(-2)) 0.003448

[ 2.44951] [-0.02905] [ 0.70135] [-2.00338] [ 0.73374] D(SBI(-3))

[ 0.60585] [ 0.45179] [-0.81888] D(SBI(-4))

[ 1.11818] [ 1.27548] [ 0.21916] D(SBI(-5))

-0.003858 -0.001060 -0.001105 -0.000367 -0.144311 -0.005630 (0.00114)

(0.12155) (0.00462) [-3.36951] [-1.37397] [-0.39608] [-0.30472] [-1.18724] [-1.21908]

D(LNKURS(-1)) 0.177041

[ 5.33028] [-0.26165] [ 3.47803] [ 3.09287] [ 3.54660] D(LNKURS(-2))

[ 2.20736] [ 1.20676] [ 0.97276] D(LNKURS(-3))

-0.156627 -0.000500 -0.136734 -0.072669 -1.794903 -0.031203 (0.06945)

(7.37334) (0.28015) [-2.25520] [-0.01068] [-0.80796] [-0.99455] [-0.24343] [-0.11138]

D(LNKURS(-4)) 0.127468 0.051990 -0.222452 -0.186310 -15.17052 -0.198695 (0.08387)

[ 0.92030] [-1.08855] [-2.11159] [-1.70386] [-0.58734] D(LNKURS(-5))

0.092967 0.029319 -0.186538 -0.014484 -1.746499 0.053566 (0.08333)

[ 0.52230] [-0.91863] [-0.16520] [-0.19741] [ 0.15935] C 0.046588

0.031184 -0.048413

[ 2.35251] [-1.00964] [ 1.90651] [ 0.04276] [ 1.50336]

R-squared 0.796966

0.885045 0.689976 Adj. R-squared

0.798128 0.455567 Sum sq. resids

293.9236 0.424327 S.E. equation

10.18264 2.943474 Log likelihood

182.4178 -154.4219 84.30892 Akaike AIC

-4.222541 -5.012780 -2.441253 -4.121035 5.107450 -1.433121 Schwarz SC

-3.218504 -4.008743 -1.437216 -3.116998 6.111487 -0.429084 Mean dependent

0.042950 -0.171370 0.021922 S.D. dependent

5.959193 0.137875 Determinant resid covariance (dof

Determinant resid covariance

2.11E-16

Log likelihood

Akaike information criterion

Schwarz criterion

Estimasi model persamaan PDB

D(LNPDB) = -0.076 (LNPDB(-1) + 0.254LNIHK3(-1) – 0.670LNGOV(-1) – 0.626LNM2(-1) – 0.009SBI(-1) + 0.189LNKURS(-1) – 0.084) – 0.243D(LNPDB(-1))

0.067D(LNPDB( -2)) – 0.186D(LNPDB(-3))

0.030D(LNPDB( -4)) + 0.378D(LNPDB(-5))*

0.358D(LNIHK3(-1)) – 0.138D(LNIHK3(-2))

0.563D(LNIHK(-3))* + 0.312D(LNIHK3(-4))

0.297D(LNIHK3( -5)) + 0.033D(LNGOV(-1))

0.124D(LNGOV(-2)) – 0.005D(LNGOV(-3))

0.017D(LNGOV( -4)) – 0.144D(LNGOV(-5))* - 0.083D(LNM2(-1)) – 0.080D(LNM2(-2)) + 0.320D(LNM2(-3)) – 0.267D(LNM2(-4)) – 0.113D(LNM2(-5) – 0.000D(SBI(-1)) + 0.003D(SBI(-2))* – 0.000D(SBI(-3)) – 0.001D(SBI(-4)) – 0.003D(SBI(-5))* + 0.177D(LNKURS(-1))* + 0.037D(LNKURS(-2))

0.156D(LNKURS(-3))* + 0.127D(LNKURS(-4)) + 0.092D(LNKURS(-5)) + 0.046 *) : Signifikan pada tingkat kesalahan 5%

Vector Error Correction Estimates Persamaan IHK

Sample (adjusted): 1991Q3 2009Q3 Included observations: 73 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1 LNIHK3(-1)

1.000000 LNPDB(-1)

[ 4.49337] LNGOV(-1)

-2.634976 (0.50527) [-5.21497]

LNM2(-1) -2.462855 (0.39033) [-6.30962]

SBI(-1) -0.038928 (0.00932) [-4.17713]

LNKURS(-1) 0.744701 (0.19600)

[ 3.79943] C -0.333750

Error Correction: D(LNIHK3) D(LNPDB) D(LNGOV) D(LNM2) D(SBI) D(LNKURS) CointEq1

(3.18411) (0.12098) [ 0.17578] [-0.64677] [ 4.01163] [-2.48586] [ 0.36102] [-3.22275]

D(LNIHK3(-1)) 0.269451

[ 1.20588] [-2.37451] [ 2.60005] [ 2.04050] [ 2.26858] D(LNIHK3(-2))

(31.3321) (1.19048) [-0.58068] [-0.47036] [ 1.80951] [-0.81511] [ 1.23114] [-0.41993]

D(LNIHK3(-3)) -0.228011 -0.563961 -0.241398 -0.341261 -63.44792 -1.986694 (0.18719)

(29.5028) (1.12097) [-1.21807] [-2.02940] [-0.35649] [-1.16725] [-2.15058] [-1.77229]

D(LNIHK3(-4)) 0.465489

[ 0.20886] [-0.26638] [ 0.63620] D(LNIHK3(-5))

0.195349 -0.265616 -45.95395 -0.545157 (0.18329)

[ 1.09507] [ 0.29463] [-0.92784] [-1.59075] [-0.49667] D(LNPDB(-1))

-0.129103 -0.243017 -0.096498 0.329630 -14.74811 1.488172 (0.13624)

[-0.94760] [-1.20151] [-0.19580] [ 1.54908] [-0.68682] [ 1.82402] D(LNPDB(-2))

[ 0.32180] [-2.22215] [ 2.36605] [-0.26835] [ 2.06918] D(LNPDB(-3))

-0.100669 -0.186355 -0.370605 0.439463 -7.366755 1.988806 (0.11762)

(18.5372) (0.70433) [-0.85591] [-1.06728] [-0.87105] [ 2.39231] [-0.39740] [ 2.82367]

D(LNPDB(-4)) -0.312556

(18.9894) (0.72151) [-2.59416] [ 0.16990] [-2.55483] [ 0.57033] [ 0.15551] [ 1.69869]

D(LNPDB(-5)) 0.063769

[ 2.08344] [-1.50239] [ 2.21945] [ 1.15219] [ 2.19829] D(LNGOV(-1))

[ 0.44723] [ 1.27795] [-2.30715] [ 0.94543] [-2.44732] D(LNGOV(-2))

-0.044727 -0.124715 0.125004 -0.239911 -6.738732 -0.927625 (0.04858)

(7.65619) (0.29090) [-0.92075] [-1.72938] [ 0.71136] [-3.16211] [-0.88017] [-3.18880]

D(LNGOV(-3)) -0.027161 -0.005444 -0.144867 -0.136190 -8.859670 -0.530423 (0.04540)

(7.15539) (0.27187) [-0.59827] [-0.08077] [-0.88210] [-1.92066] [-1.23818] [-1.95099]

D(LNGOV(-4)) -0.004596

0.361818 -0.021575 -5.882140 -0.273373 (0.04201)

(6.62065) (0.25156) [-0.10940] [ 0.27686] [ 2.38105] [-0.32885] [-0.88845] [-1.08673]

D(LNGOV(-5)) -0.103259 -0.144372 -0.024397 -0.085189 -12.07455 -0.297654 (0.03815)

(6.01249) (0.22845) [-2.70679] [-2.54924] [-0.17679] [-1.42979] [-2.00824] [-1.30294]

D(LNM2(-1)) 0.081588 -0.083054

51.09420 -1.771694 (0.13201)

0.611956 -0.489569

(20.8062) (0.79054) [ 0.61804] [-0.42379] [ 1.28147] [-2.37444] [ 2.45572] [-2.24110]

D(LNM2(-2)) 0.004736 -0.080754 1.016009 -0.512480 -1.306047 -2.951181 (0.15852)

(24.9838) (0.94928) [ 0.02987] [-0.34315] [ 1.77182] [-2.06994] [-0.05228] [-3.10888]

D(LNM2(-3)) 0.085367

[ 1.47797] [ 2.88583] [-1.18812] [ 0.10596] [-2.34226] D(LNM2(-4))

(23.1823) (0.88083) [-0.44205] [-1.22422] [ 2.93793]

[ 0.61274] [ 0.18174] [-1.06708] D(LNM2(-5))

-0.130739 -0.113030 0.570762 -0.027723 -30.87460 -0.662575 (0.13306)

(20.9708) (0.79680) [-0.98259] [-0.57222] [ 1.18582] [-0.13340] [-1.47227] [-0.83155]

D(SBI(-1)) -0.001026 -0.000884 0.003731 -0.006697 -0.661085 -0.023540 (0.00097)

[-1.06110] [-0.61563] [ 1.06677] [-4.43567] [-4.33889] [-4.06629] D(SBI(-2))

[ 2.22753] [-0.02905] [ 0.70135] [-2.00338] [ 0.73374] D(SBI(-3))

[ 0.60585] [ 0.45179] [-0.81888] D(SBI(-4))

[ 1.11818] [ 1.27548] [ 0.21916] D(SBI(-5))

-0.001060 -0.003858 -0.001105 -0.000367 -0.144311 -0.005630 (0.00077)

(0.12155) (0.00462) [-1.37397] [-3.36951] [-0.39608] [-0.30472] [-1.18724] [-1.21908]

D(LNKURS(-1)) 0.172104

[ 3.69347] [-0.26165] [ 3.47803] [ 3.09287] [ 3.54660] D(LNKURS(-2))

[ 2.20736] [ 1.20676] [ 0.97276] D(LNKURS(-3))

-0.000500 -0.156627 -0.136734 -0.072669 -1.794903 -0.031203 (0.04678)

(7.37334) (0.28015) [-0.01068] [-2.25520] [-0.80796] [-0.99455] [-0.24343] [-0.11138]

D(LNKURS(-4)) 0.051990 0.127468 -0.222452 -0.186310 -15.17052 -0.198695 (0.05649)

[ 1.51990] [-1.08855] [-2.11159] [-1.70386] [-0.58734] D(LNKURS(-5))

0.029319 0.092967 -0.186538 -0.014484 -1.746499 0.053566 (0.05613)

[ 1.11560] [-0.91863] [-0.16520] [-0.19741] [ 0.15935] C 0.031184

[ 2.36747] [-1.00964] [ 1.90651] [ 0.04276] [ 1.50336] R-squared

0.885045 0.689976 Adj. R-squared

0.798128 0.455567 Sum sq. resids

293.9236 0.424327 S.E. equation

10.18264 2.943474 Log likelihood

182.4178 -154.4219 84.30892 Akaike AIC

-5.012780 -4.222541 -2.441253 -4.121035 5.107450 -1.433121 Schwarz SC

-4.008743 -3.218504 -1.437216 -3.116998 6.111487 -0.429084 Mean dependent

0.042950 -0.171370 0.021922 S.D. dependent

5.959193 0.137875 Determinant resid covariance (dof

Determinant resid covariance

2.11E-16

Log likelihood

Akaike information criterion

Schwarz criterion

Estimasi model persamaan IHK

D(LNIHK3) = 0.003(LNIHK(-1) + 3.930LNPDB(-1) – 2.634LNGOV(-1) – 2.462LNM2(-1) – 0.038SBI(-1) + 0.744LNKURS(-1) – 0.333) + 0.269D(LNIHK3(-1))

– 0.115D(LNIHK3(-2)) – 0.228 D(LNIHK(-3)) + 0.465D(LNIHK3(-4))* + 0.114D(LNIHK(-5)) – 0.129D(LNPDB(-1))

+ 0.014D(LNPDB(-2)) – 0.100 D(LNPDB(-3)) – 0.312D(LNPDB(-4))* + 0.063D(LNPDB(-5)) + 0.090D(LNGOV(-1))

0.044D(LNGOV(-2)) – 0.027D(LNGOV(-3))

– 0.004D(LNGOV(-4)) – 0.103D(LNGOV(-5))* + 0.081D(LNM2(-1)) + 0.004D(LNM2(-2)) + 0.085D(LNM2(-3)) – 0.065D(LNM2(-4)) – 0.1307D(LNM2(-5)) – 0.001D(SBI(-1)) + 0.002D(SBI(-2))* + 0.000D(SBI(-3)) + 0.000D(SBI(-4)) – 0.001D(SBI(-5)) + 0.172D(LNKURS(-1))* + 0.062D(LNKURS(-2))

0.000D(LNKURS(-3)) + 0.051D(LNKURS(-4)) + 0.029D(LNKURS(-5)) + 0.031 *) : Signifikan pada tingkat kesalah an 5%