LAMPIRAN Lampiran 1 Hasil Uji Akar Unit untuk GE (Pengeluaran Pemerintah) dengan Level - Intercept

  LAMPIRAN

Lampiran 1

Hasil Uji Akar Unit untuk GE (Pengeluaran Pemerintah) dengan Level -

Intercept

  Null Hypothesis: GE has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=8) t-Statistic Prob.* Augmented Dickey-Fuller test statistic 6.727077 1.0000 Test critical values: 1% level -3.646342

  5% level -2.954021 10% level -2.615817 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(GE) Method: Least Squares Date: 03/13/14 Time: 11:33 Sample (adjusted): 1979 2011 Included observations: 33 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  GE(-1) 0.167708 0.024930 6.727077 0.0000 C -5.745667 33.45381 -0.171749 0.8648

  R-squared 0.593462 Mean dependent var 140.3212 Adjusted R-squared 0.580348 S.D. dependent var 225.6816 S.E. of regression 146.1978 Akaike info criterion 12.86649 Sum squared resid 662588.1 Schwarz criterion 12.95719 Log likelihood -210.2971 Hannan-Quinn criter. 12.89701 F-statistic 45.25357 Durbin-Watson stat 2.433008 Prob(F-statistic) 0.000000

  

Lampiran 2

Hasil Uji Akar Unit untuk GR (Penerimaan Pemerintah) dengan level -

Intercept

  Null Hypothesis: GE has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=2) t-Statistic Prob.* Augmented Dickey-Fuller test statistic 6.727077 1.0000 Test critical values: 1% level -3.646342

  5% level -2.954021 10% level -2.615817 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(GE) Method: Least Squares Date: 03/13/14 Time: 11:48 Sample (adjusted): 1979 2011 Included observations: 33 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  GE(-1) 0.167708 0.024930 6.727077 0.0000 C -5.745667 33.45381 -0.171749 0.8648

  R-squared 0.593462 Mean dependent var 140.3212 Adjusted R-squared 0.580348 S.D. dependent var 225.6816 S.E. of regression 146.1978 Akaike info criterion 12.86649 Sum squared resid 662588.1 Schwarz criterion 12.95719 Log likelihood -210.2971 Hannan-Quinn criter. 12.89701 F-statistic 45.25357 Durbin-Watson stat 2.433008 Prob(F-statistic) 0.000000

Lampiran 3 Hasil Uji Kointegrasi dengan Metode Johansen

  Date: 02/21/14 Time: 20:29 Sample (adjusted): 1980 2011 Included observations: 32 after adjustments Trend assumption: Linear deterministic trend Series: GE GR Lags interval (in first differences): 1 to 1 Unrestricted Cointegration Rank Test (Trace)

  Hypothesized Trace

  0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.561146 39.23856 15.49471 0.0000

  At most 1 * 0.331432 12.99429 3.841466 0.0003 Trace test indicates 2 cointegrating eqn(s) 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 CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.561146 26.35482 14.26460 0.0004

  At most 1 * 0.331432 12.88375 3.841466 0.0003 Max-eigenvalue test indicates 2 cointegrating eqn(s) 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 b'*S11*b=I):

  GE GR 0.005101 -0.006501 0.011977 -0.011316

  Unrestricted Adjustment Coefficients (alpha): D(GE) -135.8555 30.59891 D(GR) -114.3095 100.7469

  1 Cointegrating Equation(s): Log likelihood -399.8793 Normalized cointegrating coefficients (standard error in parentheses)

  GE GR 1.000000 -1.274423

  (0.05067) Adjustment coefficients (standard error in parentheses)

  D(GE) -0.693012 (0.12665)

  D(GR) -0.583104 (0.19483)

Lampiran 4 Hasil Uji Granger Causality

  Pairwise Granger Causality Tests Date: 03/05/14 Time: 23:47 Sample: 1978 2011 Lags: 7 Null Hypothesis: Obs F-Statistic Prob.

  GR does not Granger Cause GE 27 4.26117 0.0138 GE does not Granger Cause GR 5.28009 0.0060

Lampiran 5 Lag lenght criteria

  VAR Lag Order Selection Criteria Endogenous variables: GE GR Exogenous variables: C Date: 03/13/14 Time: 17:36 Sample: 1978 2011 Included observations: 27

  Lag LogL LR FPE AIC SC HQ

• 396.8391 NA 2.32e+10 29.54364 29.63962 29.57218 1 -338.4141 103.8667 4.13e+08 25.51215 25.80012 25.59778 2 -336.1847 3.632974 4.74e+08 25.64331 26.12325 25.78603 3 -332.6315 5.264120 4.97e+08 25.67640 26.34832 25.87620 4 -328.2034 5.904087 4.96e+08 25.64470 26.50859 25.90158 5 -307.1070 25.00313 1.47e+08 24.37830 25.43416 24.69226 6 -284.8962 23.03342 40927493 23.02935 24.27719 23.40040 7 -265.0568 17.63504* 14127135* 21.85606* 23.29588* 22.28419*
• 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 6

Estimasi Var lag 7

  GE GR GE(-1) 0.198009 -0.494348

  (1.66557) (1.76104) [ 1.60380] [ 1.43389]

  (48.6704) (51.4602)

  [ 2.95298] [ 2.93123] C 61.51601 64.44237

  GR(-7) 8.416012 8.832869 (2.85001) (3.01337)

  GR(-6) -2.524507 -1.613398 (3.31685) (3.50697) [-0.76112] [-0.46005]

  (1.42727) (1.50908) [ 0.69611] [-0.27311]

  [ 0.81647] [ 2.17764] GR(-5) 0.993541 -0.412153

  GR(-4) 0.683853 1.928488 (0.83757) (0.88558)

  GR(-3) -1.028942 -0.631665 (1.17233) (1.23953) [-0.87769] [-0.50960]

  [ 0.17110] [ 0.59688] GR(-2) 2.671237 2.525144

  (1.34238) (1.41932) [ 0.14751] [-0.34830]

  Vector Autoregression Estimates Date: 03/13/14 Time: 15:05 Sample (adjusted): 1985 2011 Included observations: 27 after adjustments Standard errors in ( ) & t-statistics in [ ]

  (2.73791) (2.89484) [-2.80433] [-2.66272]

  [ 0.69921] [ 0.43686] GE(-7) -7.677984 -7.708161

  GE(-6) 2.367931 1.564278 (3.38660) (3.58072)

  GE(-5) -1.788149 -0.571758 (1.82049) (1.92484) [-0.98224] [-0.29704]

  (0.74018) (0.78261) [ 0.06581] [-1.60349]

  [ 0.69445] [ 0.57523] GE(-4) 0.048715 -1.254906

  GE(-3) 0.955926 0.837209 (1.37652) (1.45542)

  GE(-2) -2.619810 -2.662669 (2.05549) (2.17331) [-1.27454] [-1.22517]

  GR(-1) 0.197689 0.729172 (1.15540) (1.22163) R-squared 0.996650 0.996466 Adj. R-squared 0.992742 0.992343 Sum sq. resids 139198.1 155613.0 S.E. equation 107.7026 113.8760 F-statistic 255.0349 241.6827 Log likelihood -153.7069 -155.2118 Akaike AIC 12.49680 12.60828 Schwarz SC 13.21671 13.32819 Mean dependent 1212.193 1281.319 S.D. dependent 1264.246 1301.371 Determinant resid covariance (dof adj.) 5838255.

  Determinant resid covariance 1153236. Log likelihood -265.0568 Akaike information criterion 21.85606 Schwarz criterion 23.29588

Lampiran 7 Estimasi The Impulse Response Test

  Response of GE: Period GE GR 1 107.7026 0.000000

  (14.6565) (0.00000) 2 43.39702 4.435054 (29.2412) (25.9279) 3 30.22915 64.03985 (32.1824) (24.5814) 4 -45.53144 34.79915 (30.4240) (20.7002) 5 -18.22162 25.54159 (32.4387) (20.0628) 6 -28.31019 34.07373 (32.9410) (19.5155) 7 -63.49271 53.58317 (38.4586) (20.5868) 8 -88.93156 136.7304 (56.8191) (34.6052) 9 -75.67350 134.3887 (71.2158) (48.9231) 10 -52.85180 137.1727 (72.6938) (51.6332) 11 -95.43421 33.88016 (67.1735) (45.4077) 12 -47.14027 109.2388 (84.4725) (48.5173) 13 -18.11432 43.73499 (83.6377) (66.2288) 14 -92.49792 33.31504 (78.1965) (70.1813) 15 136.2119 -96.86195 (213.385) (72.2315) 16 393.9123 23.46087 (199.807) (115.021) 17 446.1176 52.18268 (286.016) (130.120) 18 -34.32166 119.2982 (310.106) (120.276) 19 238.9032 39.15743 (401.267) (119.837) 20 366.4105 216.9290 (445.245) (207.958) 21 19.84712 158.9609 (685.639) (196.923) 22 -784.1409 403.2876 (672.160) (267.532) 23 -42.10875 580.7559 (831.669) (286.911) 24 -65.85042 1068.205 (1138.44) (352.324)

  (1159.48) (470.022) 26 -1535.184 816.7326 (1648.87) (560.402) 27 503.7249 866.1226 (1779.02) (462.240) 28 -574.1197 1218.684 (2579.78) (644.388) 29 -2242.591 -383.1681 (2516.27) (1242.04) 30 1.846483 193.6077 (4698.52) (1392.20) 31 4705.025 377.8537 (4443.82) (1178.83) 32 -17.96979 672.9893 (6562.93) (1396.91) 33 -2012.411 -1699.380 (7854.91) (1761.38) 34 4947.862 835.0535 (9273.28) (2932.97)

  Response of GR: Period GE GR 1 111.6443 22.43445

  (15.7944) (3.05294) 2 28.16533 16.35857 (30.6705) (27.4969) 3 -5.774211 66.38598 (33.2254) (27.1992) 4 -43.93677 32.07640 (32.3478) (22.8748) 5 -5.910636 39.94804 (33.7719) (20.3014) 6 -63.79507 33.25777 (35.1204) (19.6307) 7 -106.4367 51.33154 (41.0808) (23.8066) 8 -7.559841 133.2624 (62.9989) (37.1132) 9 -18.17975 139.2892 (73.1531) (43.5372) 10 -103.0630 105.7482 (76.3027) (45.0597) 11 -102.3116 22.63714 (88.6674) (48.4879) 12 125.2633 115.3070 (102.799) (48.2363) 13 -27.74896 44.05927 (128.767) (66.3224) 14 -244.0418 -38.32295 (125.285) (85.5018) 15 252.1804 -43.22148 (304.083) (86.3658) 16 652.7496 134.6519 (302.920) (160.561) 17 89.42885 100.7445

  18 -377.8394 36.18198 (465.241) (174.324) 19 651.9775 226.1808 (628.500) (174.082) 20 537.8438 368.7578 (850.232) (305.053) 21 -1086.826 88.35187 (1059.67) (294.354) 22 -868.5515 262.3312 (1343.85) (373.457) 23 1339.863 971.9802 (1391.80) (459.382) 24 -325.1888 1026.702 (2342.29) (542.949) 25 -3119.997 91.78098 (2146.94) (835.329) 26 111.4477 722.5860 (3728.48) (960.808) 27 3204.195 1602.669 (3516.51) (982.130) 28 -3147.264 472.3925 (5602.38) (1344.27) 29 -4932.487 -1303.118 (6389.80) (2000.14) 30 6130.478 1032.687 (9124.86) (2461.21) 31 6814.464 1913.635 (10973.7) (2733.88) 32 -9234.943 -1379.709 (12703.0) (3491.69) 33 -2552.682 -2070.435 (19465.5) (3759.43) 34 19230.94 4290.921 (18419.3) (5975.62)

  Cholesky Ordering: GE GR Standard Errors: Analytic

Lampiran 8 Estimasi the decomposition variance

  Variance Decomposition of GE: Period S.E. GE GR 1 107.7026 100.0000 0.000000

  2 116.2016 99.85433 0.145671 3 136.0798 77.74687 22.25313 4 147.6544 75.54445 24.45555 5 150.9510 73.73795 26.26205 6 157.3172 71.12920 28.87080 7 177.9078 68.35409 31.64591 8 241.3611 50.71427 49.28573 9 286.4298 42.99039 57.00961

  10 321.9498 36.72251 63.27749 11 337.5014 41.41193 58.58807 12 357.8583 38.56973 61.43027 13 360.9757 38.15825 61.84175 14 374.1246 41.63586 58.36414 15 409.7623 45.75862 54.24138 16 568.8782 71.68785 28.31215 17 724.8216 82.04158 17.95842 18 735.3750 79.92155 20.07845 19 774.1992 81.62901 18.37099 20 883.5719 79.86792 20.13208 21 897.9765 77.37497 22.62503 22 1258.523 78.21296 21.78704 23 1386.698 64.51468 35.48532 24 1751.664 40.57287 59.42713 25 2145.168 53.51447 46.48553 26 2761.446 63.20024 36.79976 27 2937.600 58.78824 41.21176 28 3231.764 51.72910 48.27090 29 3952.256 66.78448 33.21552 30 3956.996 66.62460 33.37540 31 6159.371 85.84888 14.15112 32 6196.054 84.83621 15.16379 33 6732.665 80.78607 19.21393 34 8396.870 86.65849 13.34151

  Variance Decomposition of GR: Period S.E. GE GR 1 113.8760 96.11880 3.881202

  2 118.4426 94.50476 5.495239 3 135.9010 71.96393 28.03607 4 146.3845 71.03425 28.96575 5 151.8526 66.16211 33.83789 6 168.0330 68.44768 31.55232 7 205.4234 72.64435 27.35565 8 244.9792 51.17434 48.82566 9 282.3947 38.92657 61.07343

  10 318.6714 41.02814 58.97186

  12 376.1890 47.92546 52.07454 13 379.7754 47.55843 52.44157 14 453.0501 62.43453 37.56547 15 520.3051 70.82830 29.17170 16 845.5357 86.41770 13.58230 17 856.1995 85.36942 14.63058 18 936.5625 87.62325 12.37675 19 1163.349 88.19843 11.80157 20 1333.657 83.37479 16.62521 21 1722.683 89.77271 10.22729 22 1947.007 90.17825 9.821751 23 2555.546 79.83296 20.16704 24 2773.207 69.16801 30.83199 25 4175.342 86.35033 13.64967 26 4238.872 83.85052 16.14948 27 5550.086 82.24130 17.75870 28 6397.803 86.09043 13.90957 29 8182.874 88.96113 11.03887 30 10276.61 91.99118 8.008821 31 12478.28 92.21617 7.783827 32 15585.10 94.22648 5.773517 33 15927.91 92.78264 7.217357 34 25336.52 94.27947 5.720525

  Cholesky Ordering: GE GR