Analisis Kausalitas Antara Risiko Kredit dan Risiko Likuiditas pada Bank BUMN Periode 2002-2010
LAMPIRAN
1. Uji Akar Unit Risiko Kredit Bank Mandiri (Level)
Null Hypothesis: RK has a unit root
Exogenous: Constant
Lag Length: 8 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-4.753452
-3.699871
-2.976263
-2.627420
0.0008
*MacKinnon (1996) one-sided p-values.
2.Uji Akar Unit Risiko Kredit Bank mandiri (first Difference)
Null Hypothesis: D(RK,2) has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-11.16003
-3.661661
-2.960411
-2.619160
0.0000
*MacKinnon (1996) one-sided p-values.
3.Uji Akar Unit Risiko Likuiditas Bank Mandiri (Level)
Null Hypothesis: RL 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.*
-1.592352
-3.632900
-2.948404
-2.612874
0.4758
*MacKinnon (1996) one-sided p-values.
93
Universitas Sumatera Utara
4. Uji Akar Risiko Likuiditas Bank mandiri (First Difference)
Null Hypothesis: D(RL,2) 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.*
-10.64769
-3.646342
-2.954021
-2.615817
0.0000
*MacKinnon (1996) one-sided p-values.
5. Uji Akar Risiko Kredit Bank BRI (Level)
Null Hypothesis: RK has a unit root
Exogenous: Constant
Lag Length: 9 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
1.503773
-3.711457
-2.981038
-2.629906
0.9988
*MacKinnon (1996) one-sided p-values.
6. Uji Akar Unit Risiko Kredit Bank BRI (First Difference)
Null Hypothesis: D(RK,2) has a unit root
Exogenous: Constant
Lag Length: 8 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-3.823409
-3.724070
-2.986225
-2.632604
0.0080
*MacKinnon (1996) one-sided p-values.
94
Universitas Sumatera Utara
7.Uji Akar Unit Risiko Likuiditas Bank BRI (Level)
Null Hypothesis: RL 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.*
-2.391688
-3.632900
-2.948404
-2.612874
0.1513
*MacKinnon (1996) one-sided p-values.
8. Uji Akar Risiko Likuiditas Bank BRI (First Difference)
Null Hypothesis: D(RL,2) has a unit root
Exogenous: Constant
Lag Length: 3 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-6.028396
-3.670170
-2.963972
-2.621007
0.0000
*MacKinnon (1996) one-sided p-values.
9. Uji Akar Unit Risiko Kredit Bank BNI (Level)
Null Hypothesis: RK has a unit root
Exogenous: Constant
Lag Length: 4 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-3.061466
-3.661661
-2.960411
-2.619160
0.0402
*MacKinnon (1996) one-sided p-values.
95
Universitas Sumatera Utara
10. Uji Akar Unit Risiko Kredit Bank BNI (First Difference)
Null Hypothesis: D(RK,2) has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-9.301522
-3.661661
-2.960411
-2.619160
0.0000
*MacKinnon (1996) one-sided p-values.
11. Uji Akar Unit Risiko Likuiditas Bank BNI (Level)
Null Hypothesis: RL 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.*
-5.644969
-3.632900
-2.948404
-2.612874
0.0000
*MacKinnon (1996) one-sided p-values.
12. Uji Akar Unit Risiko Likuiditas Bank BNI (First Difference)
Null Hypothesis: D(RL,2) has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-7.225695
-3.661661
-2.960411
-2.619160
0.0000
*MacKinnon (1996) one-sided p-values.
96
Universitas Sumatera Utara
13 Uji Akar Unit Risiko Kredit Bank BTN (Level)
Null Hypothesis: RK 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.*
-3.039108
-3.632900
-2.948404
-2.612874
0.0410
*MacKinnon (1996) one-sided p-values.
14. Uji Akar Unit Risiko Likuiditas Bank BTN (level)
Null Hypothesis: RL 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.*
-2.460868
-3.632900
-2.948404
-2.612874
0.1334
*MacKinnon (1996) one-sided p-values.
15. Uji Akar Unit Risiko Likuiditas Bank BTN (First Difference)
Null Hypothesis: D(RL) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-7.082805
-3.646342
-2.954021
-2.615817
0.0000
*MacKinnon (1996) one-sided p-values.
97
Universitas Sumatera Utara
16.Lag lengthBank Mandiri
VAR Lag Order Selection Criteria
Endogenous variables: RK RL
Exogenous variables: C
Date: 09/24/14 Time: 21:42
Sample: 2002Q1 2010Q4
Included observations: 31
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
89.82014
105.3569
106.2111
108.2509
111.4193
118.0611
NA
28.06632*
1.432862
3.158407
4.497078
8.570047
1.19e-05
5.65e-06*
6.95e-06
7.96e-06
8.56e-06
7.44e-06
-5.665816
-6.410120*
-6.207165
-6.080701
-6.027049
-6.197487
-5.573300
-6.132574*
-5.744589
-5.433094
-5.194412
-5.179819
-5.635658
-6.319647*
-6.056377
-5.869597
-5.755630
-5.865753
AIC
SC
* indicates lag order selected by the criterion
17. Lag lengthBank BRI
VAR Lag Order Selection Criteria
Endogenous variables: RK RL
Exogenous variables: C
Date: 09/24/14 Time: 21:45
Sample: 2002Q1 2010Q4
Included observations: 31
Lag
LogL
0
76.23314
1
86.12315
2
LR
NA
FPE
2.85e-05
-4.789235
-4.696719
17.86582*
1.95e-05*
-5.169235*
-4.891689*
87.29042
1.958015
2.35e-05
-4.986479
-4.523902
3
91.88066
7.107459
2.29e-05
-5.024559
-4.376951
4
94.64749
3.927117
2.53e-05
-4.944999
-4.112362
5
99.44316
6.187963
2.47e-05
-4.996333
-3.978665
HQ
4.75907
7
5.07876
2*
4.83569
1
4.81345
5
4.67358
0
4.66459
9
98
Universitas Sumatera Utara
18. Lag lengthBank BNI
VAR Lag Order Selection Criteria
Endogenous variables: RK RL
Exogenous variables: C
Date: 09/24/14 Time: 21:46
Sample: 2002Q1 2010Q4
Included observations: 31
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
34.11798
35.02572
36.04443
37.78068
39.05025
41.87771
NA*
1.639781
1.708817
2.688385
1.801968
3.648340
0.000432*
0.000528
0.000642
0.000751
0.000912
0.001014
-2.072128*
-1.872627
-1.680286
-1.534238
-1.358081
-1.282433
-1.979612*
-1.595081
-1.217709
-0.886630
-0.525443
-0.264765
-2.041970*
-1.782154
-1.529498
-1.323134
-1.086662
-0.950699
* indicates lag order selected by the criterion
19. Lag length BTN
VAR Lag Order Selection Criteria
Endogenous variables: RK RL
Exogenous variables: C
Date: 09/24/14 Time: 21:47
Sample: 2002Q1 2010Q4
Included observations: 31
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
74.81060
91.75421
93.09429
98.80374
100.1407
103.2611
NA
30.60780*
2.247873
8.840439
1.897564
4.026340
3.13e-05
1.36e-05*
1.62e-05
1.46e-05
1.77e-05
1.93e-05
-4.697458
-5.532529*
-5.360922
-5.471209
-5.299397
-5.242650
-4.604943
-5.254984*
-4.898345
-4.823602
-4.466759
-4.224981
-4.667300
-5.442056*
-5.210133
-5.260105
-5.027978
-4.910915
* indicates lag order selected by the criterion
20. Uji Kointegrasi Bank Mandiri
Date: 09/24/14 Time: 22:31
Sample (adjusted): 2002Q3 2010Q4
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
99
Universitas Sumatera Utara
Series: RK RL
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)
None *
At most 1
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
0.323120
0.084241
16.26098
2.992077
15.49471
3.841466
0.0383
0.0837
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
21. Uji Kointegrasi Bank BRI
Date: 09/24/14 Time: 22:35
Sample (adjusted): 2002Q3 2010Q4
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
Series: RK RL
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)
None *
At most 1
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
0.424236
0.035314
19.99234
1.222372
15.49471
3.841466
0.0098
0.2689
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
22. Uji Kointegrasi Bank BNI
Date: 09/24/14 Time: 22:36
Sample (adjusted): 2002Q3 2010Q4
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
Series: RK RL
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
100
Universitas Sumatera Utara
Hypothesized
No. of CE(s)
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None *
At most 1 *
0.358765
0.300749
27.27155
12.16333
15.49471
3.841466
0.0006
0.0005
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
23. Uji Kointegrasi Bank BTN
Date: 09/24/14 Time: 22:37
Sample (adjusted): 2002Q3 2010Q4
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
Series: RK RL
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None
At most 1 *
0.157374
0.111044
9.823941
4.002050
15.49471
3.841466
0.2945
0.0454
Trace test indicates no cointegration at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
24. Uji VAR BTN
Vector Autoregression Estimates
Date: 09/23/14 Time: 12:35
Sample (adjusted): 2002Q2 2010Q4
Included observations: 35 after adjustments
Standard errors in ( ) & t-statistics in [ ]
RK
RL
RK(-1)
0.504538
(0.15583)
[ 3.23777]
-0.003126
(0.02889)
[-0.10821]
RL(-1)
0.950838
0.696140
101
Universitas Sumatera Utara
(0.68043)
[ 1.39741]
(0.12616)
[ 5.51812]
0.105664
(0.04145)
[ 2.54930]
-0.011965
(0.00768)
[-1.55702]
0.291968
0.247716
0.678846
0.145650
6.597852
19.33456
-0.933403
-0.800088
0.128632
0.167927
0.488374
0.456397
0.023336
0.027004
15.27284
78.31685
-4.303820
-4.170505
-0.039336
0.036626
Determinant resid covariance (dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
1.52E-05
1.27E-05
97.97763
-5.255864
-4.989233
C
R-squared
Adj. R-squared
Sum sq. Resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
25. Uji VECM Bank Mandiri
Date: 09/23/14 Time: 20:38
Sample (adjusted): 2002Q4 2010Q4
Included observations: 33 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq:
CointEq1
RK(-1)
1.000000
RL(-1)
0.517951
(0.60505)
[ 0.85604]
C
-0.184535
Error Correction:
D(RK)
D(RL)
CointEq1
-0.709172
(0.15414)
[-4.60096]
0.004153
(0.07354)
[ 0.05647]
102
Universitas Sumatera Utara
D(RK(-1))
0.287933
(0.13793)
[ 2.08759]
0.005846
(0.06581)
[ 0.08883]
D(RK(-2))
-0.018401
(0.13568)
[-0.13562]
-0.012641
(0.06473)
[-0.19527]
D(RL(-1))
0.265159
(0.41627)
[ 0.63698]
-0.038554
(0.19861)
[-0.19412]
D(RL(-2))
0.198830
(0.42654)
[ 0.46614]
0.086269
(0.20351)
[ 0.42391]
C
-0.010720
(0.01356)
[-0.79030]
-0.002694
(0.00647)
[-0.41622]
0.536966
0.451219
0.162583
0.077599
6.262218
40.84073
-2.111560
-1.839467
-0.012204
0.104751
0.010323
-0.172950
0.037010
0.037023
0.056326
65.26087
-3.591568
-3.319476
-0.002623
0.034185
Determinant resid covariance (dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
8.24E-06
5.52E-06
106.1293
-5.583595
-4.948713
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
26. Uji VECM Bank BRI
Vector Error Correction Estimates
Date: 09/23/14 Time: 21:13
Sample (adjusted): 2002Q4 2010Q4
Included observations: 33 after adjustments
Standard errors in ( ) & t-statistics in [ ]
103
Universitas Sumatera Utara
Cointegrating Eq:
CointEq1
RK(-1)
1.000000
RL(-1)
4.682601
(1.19170)
[ 3.92935]
C
-0.601623
Error Correction:
D(RK)
D(RL)
CointEq1
-0.661380
(0.18908)
[-3.49792]
-0.171328
(0.06180)
[-2.77217]
D(RK(-1))
0.258836
(0.18809)
[ 1.37614]
0.053021
(0.06148)
[ 0.86242]
D(RK(-2))
-0.170338
(0.16673)
[-1.02161]
0.090997
(0.05450)
[ 1.66969]
D(RL(-1))
0.991059
(0.81580)
[ 1.21484]
0.221285
(0.26665)
[ 0.82986]
D(RL(-2))
1.422531
(0.68972)
[ 2.06248]
0.020294
(0.22544)
[ 0.09002]
C
0.007011
(0.01951)
[ 0.35945]
-0.004134
(0.00638)
[-0.64832]
0.454658
0.353669
0.337001
0.111721
4.502043
28.81396
-1.382664
-1.110572
0.007536
0.138965
0.317095
0.190631
0.036005
0.036517
2.507392
65.71493
-3.619087
-3.346995
-0.003377
0.040591
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
104
Universitas Sumatera Utara
Determinant resid covariance (dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
1.66E-05
1.11E-05
94.60654
-4.885245
-4.250363
27. Uji VECM Bank BNI
Vector Error Correction Estimates
Date: 09/23/14 Time: 22:00
Sample (adjusted): 2002Q4 2010Q4
Included observations: 33 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq:
CointEq1
RK(-1)
1.000000
RL(-1)
0.810488
(1.37503)
[ 0.58943]
C
-0.426462
Error Correction:
D(RK)
D(RL)
CointEq1
-0.879864
(0.26178)
[-3.36106]
-0.022689
(0.08463)
[-0.26810]
D(RK(-1))
0.094057
(0.21707)
[ 0.43331]
0.006725
(0.07017)
[ 0.09583]
D(RK(-2))
-0.056749
(0.18071)
[-0.31404]
-0.035066
(0.05842)
[-0.60026]
D(RL(-1))
1.171014
(0.58265)
[ 2.00979]
-0.714838
(0.18836)
[-3.79515]
D(RL(-2))
0.761346
(0.57580)
[ 1.32224]
-0.395975
(0.18614)
[-2.12730]
105
Universitas Sumatera Utara
C
0.006280
(0.04706)
[ 0.13346]
0.004115
(0.01521)
[ 0.27052]
0.455976
0.355230
1.949356
0.268698
4.526025
-0.146334
0.372505
0.644597
0.014665
0.334627
0.403898
0.293509
0.203717
0.086862
3.658852
37.11933
-1.886020
-1.613928
-0.000483
0.103342
Determinant resid covariance (dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
0.000514
0.000344
37.91671
-1.449498
-0.814616
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
28. Granger Causality Bank Mandiri
Pairwise Granger causality Tests
Date: 09/23/14 Time: 10:42
Sample: 2002Q1 2010Q4
Lags: 1
Null Hypothesis:
RL does not Granger Cause RK
RK does not Granger Cause RL
Obs
F-Statistic
Probability
35
1.37572
0.01510
0.24949
0.90297
Obs
F-Statistic
Probability
35
6.45482
2.74504
0.01612
0.10733
BRI
29. Granger Causality Bank BRI
Pairwise Granger Causality Tests
Date: 09/23/14 Time: 10:50
Sample: 2002Q1 2010Q4
Lags: 1
Null Hypothesis:
RL does not Granger Cause RK
RK does not Granger Cause RL
106
Universitas Sumatera Utara
30. Granger Causality Bank BNI
Pairwise Granger Causality Tests
Date: 09/23/14 Time: 11:11
Sample: 2002Q1 2010Q4
Lags: 1
Null Hypothesis:
RL does not Granger Cause RK
RK does not Granger Cause RL
Obs
F-Statistic
Probability
35
0.35743
0.08458
0.55414
0.77306
Obs
F-Statistic
Probability
35
1.95276
0.01171
0.17190
0.91450
31. Granger Causality Bank BTN
Pairwise Granger Causality Tests
Date: 09/23/14 Time: 11:07
Sample: 2002Q1 2010Q4
Lags: 1
Null Hypothesis:
RL does not Granger Cause RK
RK does not Granger Cause RL
107
Universitas Sumatera Utara
108
Universitas Sumatera Utara
109
Universitas Sumatera Utara
1. Uji Akar Unit Risiko Kredit Bank Mandiri (Level)
Null Hypothesis: RK has a unit root
Exogenous: Constant
Lag Length: 8 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-4.753452
-3.699871
-2.976263
-2.627420
0.0008
*MacKinnon (1996) one-sided p-values.
2.Uji Akar Unit Risiko Kredit Bank mandiri (first Difference)
Null Hypothesis: D(RK,2) has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-11.16003
-3.661661
-2.960411
-2.619160
0.0000
*MacKinnon (1996) one-sided p-values.
3.Uji Akar Unit Risiko Likuiditas Bank Mandiri (Level)
Null Hypothesis: RL 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.*
-1.592352
-3.632900
-2.948404
-2.612874
0.4758
*MacKinnon (1996) one-sided p-values.
93
Universitas Sumatera Utara
4. Uji Akar Risiko Likuiditas Bank mandiri (First Difference)
Null Hypothesis: D(RL,2) 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.*
-10.64769
-3.646342
-2.954021
-2.615817
0.0000
*MacKinnon (1996) one-sided p-values.
5. Uji Akar Risiko Kredit Bank BRI (Level)
Null Hypothesis: RK has a unit root
Exogenous: Constant
Lag Length: 9 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
1.503773
-3.711457
-2.981038
-2.629906
0.9988
*MacKinnon (1996) one-sided p-values.
6. Uji Akar Unit Risiko Kredit Bank BRI (First Difference)
Null Hypothesis: D(RK,2) has a unit root
Exogenous: Constant
Lag Length: 8 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-3.823409
-3.724070
-2.986225
-2.632604
0.0080
*MacKinnon (1996) one-sided p-values.
94
Universitas Sumatera Utara
7.Uji Akar Unit Risiko Likuiditas Bank BRI (Level)
Null Hypothesis: RL 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.*
-2.391688
-3.632900
-2.948404
-2.612874
0.1513
*MacKinnon (1996) one-sided p-values.
8. Uji Akar Risiko Likuiditas Bank BRI (First Difference)
Null Hypothesis: D(RL,2) has a unit root
Exogenous: Constant
Lag Length: 3 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-6.028396
-3.670170
-2.963972
-2.621007
0.0000
*MacKinnon (1996) one-sided p-values.
9. Uji Akar Unit Risiko Kredit Bank BNI (Level)
Null Hypothesis: RK has a unit root
Exogenous: Constant
Lag Length: 4 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-3.061466
-3.661661
-2.960411
-2.619160
0.0402
*MacKinnon (1996) one-sided p-values.
95
Universitas Sumatera Utara
10. Uji Akar Unit Risiko Kredit Bank BNI (First Difference)
Null Hypothesis: D(RK,2) has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-9.301522
-3.661661
-2.960411
-2.619160
0.0000
*MacKinnon (1996) one-sided p-values.
11. Uji Akar Unit Risiko Likuiditas Bank BNI (Level)
Null Hypothesis: RL 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.*
-5.644969
-3.632900
-2.948404
-2.612874
0.0000
*MacKinnon (1996) one-sided p-values.
12. Uji Akar Unit Risiko Likuiditas Bank BNI (First Difference)
Null Hypothesis: D(RL,2) has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-7.225695
-3.661661
-2.960411
-2.619160
0.0000
*MacKinnon (1996) one-sided p-values.
96
Universitas Sumatera Utara
13 Uji Akar Unit Risiko Kredit Bank BTN (Level)
Null Hypothesis: RK 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.*
-3.039108
-3.632900
-2.948404
-2.612874
0.0410
*MacKinnon (1996) one-sided p-values.
14. Uji Akar Unit Risiko Likuiditas Bank BTN (level)
Null Hypothesis: RL 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.*
-2.460868
-3.632900
-2.948404
-2.612874
0.1334
*MacKinnon (1996) one-sided p-values.
15. Uji Akar Unit Risiko Likuiditas Bank BTN (First Difference)
Null Hypothesis: D(RL) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-7.082805
-3.646342
-2.954021
-2.615817
0.0000
*MacKinnon (1996) one-sided p-values.
97
Universitas Sumatera Utara
16.Lag lengthBank Mandiri
VAR Lag Order Selection Criteria
Endogenous variables: RK RL
Exogenous variables: C
Date: 09/24/14 Time: 21:42
Sample: 2002Q1 2010Q4
Included observations: 31
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
89.82014
105.3569
106.2111
108.2509
111.4193
118.0611
NA
28.06632*
1.432862
3.158407
4.497078
8.570047
1.19e-05
5.65e-06*
6.95e-06
7.96e-06
8.56e-06
7.44e-06
-5.665816
-6.410120*
-6.207165
-6.080701
-6.027049
-6.197487
-5.573300
-6.132574*
-5.744589
-5.433094
-5.194412
-5.179819
-5.635658
-6.319647*
-6.056377
-5.869597
-5.755630
-5.865753
AIC
SC
* indicates lag order selected by the criterion
17. Lag lengthBank BRI
VAR Lag Order Selection Criteria
Endogenous variables: RK RL
Exogenous variables: C
Date: 09/24/14 Time: 21:45
Sample: 2002Q1 2010Q4
Included observations: 31
Lag
LogL
0
76.23314
1
86.12315
2
LR
NA
FPE
2.85e-05
-4.789235
-4.696719
17.86582*
1.95e-05*
-5.169235*
-4.891689*
87.29042
1.958015
2.35e-05
-4.986479
-4.523902
3
91.88066
7.107459
2.29e-05
-5.024559
-4.376951
4
94.64749
3.927117
2.53e-05
-4.944999
-4.112362
5
99.44316
6.187963
2.47e-05
-4.996333
-3.978665
HQ
4.75907
7
5.07876
2*
4.83569
1
4.81345
5
4.67358
0
4.66459
9
98
Universitas Sumatera Utara
18. Lag lengthBank BNI
VAR Lag Order Selection Criteria
Endogenous variables: RK RL
Exogenous variables: C
Date: 09/24/14 Time: 21:46
Sample: 2002Q1 2010Q4
Included observations: 31
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
34.11798
35.02572
36.04443
37.78068
39.05025
41.87771
NA*
1.639781
1.708817
2.688385
1.801968
3.648340
0.000432*
0.000528
0.000642
0.000751
0.000912
0.001014
-2.072128*
-1.872627
-1.680286
-1.534238
-1.358081
-1.282433
-1.979612*
-1.595081
-1.217709
-0.886630
-0.525443
-0.264765
-2.041970*
-1.782154
-1.529498
-1.323134
-1.086662
-0.950699
* indicates lag order selected by the criterion
19. Lag length BTN
VAR Lag Order Selection Criteria
Endogenous variables: RK RL
Exogenous variables: C
Date: 09/24/14 Time: 21:47
Sample: 2002Q1 2010Q4
Included observations: 31
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
74.81060
91.75421
93.09429
98.80374
100.1407
103.2611
NA
30.60780*
2.247873
8.840439
1.897564
4.026340
3.13e-05
1.36e-05*
1.62e-05
1.46e-05
1.77e-05
1.93e-05
-4.697458
-5.532529*
-5.360922
-5.471209
-5.299397
-5.242650
-4.604943
-5.254984*
-4.898345
-4.823602
-4.466759
-4.224981
-4.667300
-5.442056*
-5.210133
-5.260105
-5.027978
-4.910915
* indicates lag order selected by the criterion
20. Uji Kointegrasi Bank Mandiri
Date: 09/24/14 Time: 22:31
Sample (adjusted): 2002Q3 2010Q4
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
99
Universitas Sumatera Utara
Series: RK RL
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)
None *
At most 1
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
0.323120
0.084241
16.26098
2.992077
15.49471
3.841466
0.0383
0.0837
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
21. Uji Kointegrasi Bank BRI
Date: 09/24/14 Time: 22:35
Sample (adjusted): 2002Q3 2010Q4
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
Series: RK RL
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)
None *
At most 1
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
0.424236
0.035314
19.99234
1.222372
15.49471
3.841466
0.0098
0.2689
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
22. Uji Kointegrasi Bank BNI
Date: 09/24/14 Time: 22:36
Sample (adjusted): 2002Q3 2010Q4
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
Series: RK RL
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
100
Universitas Sumatera Utara
Hypothesized
No. of CE(s)
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None *
At most 1 *
0.358765
0.300749
27.27155
12.16333
15.49471
3.841466
0.0006
0.0005
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
23. Uji Kointegrasi Bank BTN
Date: 09/24/14 Time: 22:37
Sample (adjusted): 2002Q3 2010Q4
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
Series: RK RL
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None
At most 1 *
0.157374
0.111044
9.823941
4.002050
15.49471
3.841466
0.2945
0.0454
Trace test indicates no cointegration at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
24. Uji VAR BTN
Vector Autoregression Estimates
Date: 09/23/14 Time: 12:35
Sample (adjusted): 2002Q2 2010Q4
Included observations: 35 after adjustments
Standard errors in ( ) & t-statistics in [ ]
RK
RL
RK(-1)
0.504538
(0.15583)
[ 3.23777]
-0.003126
(0.02889)
[-0.10821]
RL(-1)
0.950838
0.696140
101
Universitas Sumatera Utara
(0.68043)
[ 1.39741]
(0.12616)
[ 5.51812]
0.105664
(0.04145)
[ 2.54930]
-0.011965
(0.00768)
[-1.55702]
0.291968
0.247716
0.678846
0.145650
6.597852
19.33456
-0.933403
-0.800088
0.128632
0.167927
0.488374
0.456397
0.023336
0.027004
15.27284
78.31685
-4.303820
-4.170505
-0.039336
0.036626
Determinant resid covariance (dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
1.52E-05
1.27E-05
97.97763
-5.255864
-4.989233
C
R-squared
Adj. R-squared
Sum sq. Resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
25. Uji VECM Bank Mandiri
Date: 09/23/14 Time: 20:38
Sample (adjusted): 2002Q4 2010Q4
Included observations: 33 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq:
CointEq1
RK(-1)
1.000000
RL(-1)
0.517951
(0.60505)
[ 0.85604]
C
-0.184535
Error Correction:
D(RK)
D(RL)
CointEq1
-0.709172
(0.15414)
[-4.60096]
0.004153
(0.07354)
[ 0.05647]
102
Universitas Sumatera Utara
D(RK(-1))
0.287933
(0.13793)
[ 2.08759]
0.005846
(0.06581)
[ 0.08883]
D(RK(-2))
-0.018401
(0.13568)
[-0.13562]
-0.012641
(0.06473)
[-0.19527]
D(RL(-1))
0.265159
(0.41627)
[ 0.63698]
-0.038554
(0.19861)
[-0.19412]
D(RL(-2))
0.198830
(0.42654)
[ 0.46614]
0.086269
(0.20351)
[ 0.42391]
C
-0.010720
(0.01356)
[-0.79030]
-0.002694
(0.00647)
[-0.41622]
0.536966
0.451219
0.162583
0.077599
6.262218
40.84073
-2.111560
-1.839467
-0.012204
0.104751
0.010323
-0.172950
0.037010
0.037023
0.056326
65.26087
-3.591568
-3.319476
-0.002623
0.034185
Determinant resid covariance (dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
8.24E-06
5.52E-06
106.1293
-5.583595
-4.948713
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
26. Uji VECM Bank BRI
Vector Error Correction Estimates
Date: 09/23/14 Time: 21:13
Sample (adjusted): 2002Q4 2010Q4
Included observations: 33 after adjustments
Standard errors in ( ) & t-statistics in [ ]
103
Universitas Sumatera Utara
Cointegrating Eq:
CointEq1
RK(-1)
1.000000
RL(-1)
4.682601
(1.19170)
[ 3.92935]
C
-0.601623
Error Correction:
D(RK)
D(RL)
CointEq1
-0.661380
(0.18908)
[-3.49792]
-0.171328
(0.06180)
[-2.77217]
D(RK(-1))
0.258836
(0.18809)
[ 1.37614]
0.053021
(0.06148)
[ 0.86242]
D(RK(-2))
-0.170338
(0.16673)
[-1.02161]
0.090997
(0.05450)
[ 1.66969]
D(RL(-1))
0.991059
(0.81580)
[ 1.21484]
0.221285
(0.26665)
[ 0.82986]
D(RL(-2))
1.422531
(0.68972)
[ 2.06248]
0.020294
(0.22544)
[ 0.09002]
C
0.007011
(0.01951)
[ 0.35945]
-0.004134
(0.00638)
[-0.64832]
0.454658
0.353669
0.337001
0.111721
4.502043
28.81396
-1.382664
-1.110572
0.007536
0.138965
0.317095
0.190631
0.036005
0.036517
2.507392
65.71493
-3.619087
-3.346995
-0.003377
0.040591
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
104
Universitas Sumatera Utara
Determinant resid covariance (dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
1.66E-05
1.11E-05
94.60654
-4.885245
-4.250363
27. Uji VECM Bank BNI
Vector Error Correction Estimates
Date: 09/23/14 Time: 22:00
Sample (adjusted): 2002Q4 2010Q4
Included observations: 33 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq:
CointEq1
RK(-1)
1.000000
RL(-1)
0.810488
(1.37503)
[ 0.58943]
C
-0.426462
Error Correction:
D(RK)
D(RL)
CointEq1
-0.879864
(0.26178)
[-3.36106]
-0.022689
(0.08463)
[-0.26810]
D(RK(-1))
0.094057
(0.21707)
[ 0.43331]
0.006725
(0.07017)
[ 0.09583]
D(RK(-2))
-0.056749
(0.18071)
[-0.31404]
-0.035066
(0.05842)
[-0.60026]
D(RL(-1))
1.171014
(0.58265)
[ 2.00979]
-0.714838
(0.18836)
[-3.79515]
D(RL(-2))
0.761346
(0.57580)
[ 1.32224]
-0.395975
(0.18614)
[-2.12730]
105
Universitas Sumatera Utara
C
0.006280
(0.04706)
[ 0.13346]
0.004115
(0.01521)
[ 0.27052]
0.455976
0.355230
1.949356
0.268698
4.526025
-0.146334
0.372505
0.644597
0.014665
0.334627
0.403898
0.293509
0.203717
0.086862
3.658852
37.11933
-1.886020
-1.613928
-0.000483
0.103342
Determinant resid covariance (dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
0.000514
0.000344
37.91671
-1.449498
-0.814616
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
28. Granger Causality Bank Mandiri
Pairwise Granger causality Tests
Date: 09/23/14 Time: 10:42
Sample: 2002Q1 2010Q4
Lags: 1
Null Hypothesis:
RL does not Granger Cause RK
RK does not Granger Cause RL
Obs
F-Statistic
Probability
35
1.37572
0.01510
0.24949
0.90297
Obs
F-Statistic
Probability
35
6.45482
2.74504
0.01612
0.10733
BRI
29. Granger Causality Bank BRI
Pairwise Granger Causality Tests
Date: 09/23/14 Time: 10:50
Sample: 2002Q1 2010Q4
Lags: 1
Null Hypothesis:
RL does not Granger Cause RK
RK does not Granger Cause RL
106
Universitas Sumatera Utara
30. Granger Causality Bank BNI
Pairwise Granger Causality Tests
Date: 09/23/14 Time: 11:11
Sample: 2002Q1 2010Q4
Lags: 1
Null Hypothesis:
RL does not Granger Cause RK
RK does not Granger Cause RL
Obs
F-Statistic
Probability
35
0.35743
0.08458
0.55414
0.77306
Obs
F-Statistic
Probability
35
1.95276
0.01171
0.17190
0.91450
31. Granger Causality Bank BTN
Pairwise Granger Causality Tests
Date: 09/23/14 Time: 11:07
Sample: 2002Q1 2010Q4
Lags: 1
Null Hypothesis:
RL does not Granger Cause RK
RK does not Granger Cause RL
107
Universitas Sumatera Utara
108
Universitas Sumatera Utara
109
Universitas Sumatera Utara