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: INF M2GRW DEFY
0.033072 -0.043380
0.477526 0.225001
-0.130456 -0.037135
-0.040067 0.100866
0.008156 Unrestricted Adjustment Coefficients alpha:
DINF -0.173844 -0.309430
-0.035151 DM2GRW -0.077376
0.149401 -0.137250 DDEFY -2.175363
0.149485 -0.021312 1 Cointegrating Equations: Log
likelihood -587.1698
Normalized cointegrating coefficients standard error in parentheses INF M2GRW DEFY
1.000000 -1.311706
14.43921 0.33259
1.99895 Adjustment coefficients standard error in parentheses
DINF -0.005749 0.00480
DM2GRW -0.002559 0.00646
DDEFY -0.071943 0.01022
Lampiran 8. Uji
Lag Structure Lag Exclusion dan Weak Exogeneity
Sistem Trivariabel
a. Uji Lag Exclusion
VEC Lag Exclusion Wald Tests Date: 063011 Time: 11:14
Sample: 2002M01 2009M12 Included observations: 94
Chi-squared test statistics for lag exclusion: Numbers in [ ] are p-values
DINF DM0GRW
DDEFY Joint
DLag 1 10.56702
6.466979 2.270763
22.50745 [ 0.014313]
[ 0.090974] [ 0.518145]
[ 0.007403] Df 3 3 3 9
b. Uji Weak Exogeneity
VEC Granger CausalityBlock Exogeneity Wald Tests Date: 063011 Time: 11:14
Sample: 2002M01 2009M12 Included observations: 94
Dependent variable: DINF Excluded Chi-sq
df Prob.
DM0GRW 6.788303
1 0.0092
DDEFY 0.000630
1 0.9800
All 6.966624
2 0.0307
Dependent variable: DM0GRW Excluded Chi-sq
df Prob.
DINF 0.160931
1 0.6883
DDEFY 0.073420
1 0.7864
All 0.227202
2 0.8926
Dependent variable: DDEFY Excluded Chi-sq
df Prob.
DINF 0.236986
1 0.6264
DM0GRW 1.280527
1 0.2578
All 1.692069
2 0.4291
Sistem Trivariabel a.
Uji Lag Exclusion
VEC Lag Exclusion Wald Tests Date: 113011 Time: 11:15
Sample: 2002M01 2009M12 Included observations: 94
Chi-squared test statistics for lag exclusion: Numbers in [ ] are p-values
DINF DM1GRW
DDEFY Joint
DLag 1 4.155143
18.33136 0.965916
25.28366 [ 0.245191]
[ 0.000376] [ 0.809499]
[ 0.002673]
df 3 3 3 9
b. Uji Weak Exogeneity
VEC Granger CausalityBlock Exogeneity Wald Tests Date: 113011 Time: 11:15
Sample: 2002M01 2009M12 Included observations: 94
Dependent variable: DINF Excluded Chi-sq
df Prob.
DM1GRW 0.078529
1 0.7793
DDEFY 0.583417
1 0.4450
All 0.700262
2 0.7046
Dependent variable: DM1GRW Excluded Chi-sq
df Prob.
DINF 4.860680
1 0.0275
DDEFY 1.011821
1 0.3145
All 5.885373
2 0.0527
Dependent variable: DDEFY Excluded Chi-sq
df Prob.
DINF 0.003960
1 0.9498
DM1GRW 0.026343
1 0.8711
All 0.029582
2 0.9853
Sistem Trivariabel a.
Uji Lag Exclusion
VEC Lag Exclusion Wald Tests Date: 113011 Time: 11:16
Sample: 2002M01 2009M12 Included observations: 94
Chi-squared test statistics for lag exclusion: Numbers in [ ] are p-values
DINF DM2GRW
DDEFY Joint
DLag 1 9.583525
0.206532 3.563111
13.20290 [ 0.022459]
[ 0.976528] [ 0.312669]
[ 0.153638] df 3 3 3 9
b. Uji Weak Exogeneity
