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  • Uji Diagnostik

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    The document reports the results of diagnostic tests performed on a vector error correction model (VECM). The tests include: 1) Autocorrelation tests which show some autocorrelation remaining at higher lags. 2) Heteroskedasticity tests which find evidence of heteroskedasticity for some variables. 3) Normality tests which reject normality of residuals for most variables based on skewness, kurtosis, and Jarque-Bera statistics.

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    The document reports the results of diagnostic tests performed on a vector error correction model (VECM). The tests include: 1) Autocorrelation tests which show some autocorrelation remaining at higher lags. 2) Heteroskedasticity tests which find evidence of heteroskedasticity for some variables. 3) Normality tests which reject normality of residuals for most variables based on skewness, kurtosis, and Jarque-Bera statistics.

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    67 views3 pages

    Uji Diagnostik

    Uploaded by

    upickumi
    The document reports the results of diagnostic tests performed on a vector error correction model (VECM). The tests include: 1) Autocorrelation tests which show some autocorrelation remaining at higher lags. 2) Heteroskedasticity tests which find evidence of heteroskedasticity for some variables. 3) Normality tests which reject normality of residuals for most variables based on skewness, kurtosis, and Jarque-Bera statistics.

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    of 3

    95

    Lampiran K. Uji Diagnostik VECM

    1. Uji Autokorelasi

    VEC Residual Serial Correlation LM Tests


    H0: no serial correlation at lag order h
    Date: 04/18/10 Time: 17:08
    Sample: 2003M01 2008M12
    Included observations: 69

    Lags LM-Stat Prob

    1  122.5321  0.0000
    2  98.58888  0.0036
    3  103.8684  0.0012
    4  115.6621  0.0001
    5  56.06604  0.7495
    6  65.21234  0.4343
    7  80.44249  0.0804
    8  92.51292  0.0114
    9  72.93450  0.2078
    10  53.88807  0.8122
    11  89.84195  0.0183
    12  67.45201  0.3600

    Probs from chi-square with 64 df.


    96

    Lanjutan Lampiran K
    2. Uji Heterokedastisitas

    VEC Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares)
    Date: 04/18/10 Time: 17:08
    Sample: 2003M01 2008M12
    Included observations: 69

       Joint test:

    Chi-sq df Prob.

     1266.851 1224  0.1923

       Individual components:

    Dependent R-squared F(34,34) Prob. Chi-sq(34) Prob.

    res1*res1  0.414638  0.708344  0.8403  28.61000  0.7290


    res2*res2  0.442484  0.793671  0.7480  30.53140  0.6384
    res3*res3  0.852983  5.801928  0.0000  58.85582  0.0051
    res4*res4  0.307641  0.444338  0.9897  21.22725  0.9570
    res5*res5  0.322224  0.475413  0.9833  22.23344  0.9397
    res6*res6  0.363437  0.570935  0.9465  25.07712  0.8669
    res7*res7  0.578685  1.373521  0.1797  39.92926  0.2234
    res8*res8  0.093273  0.102868  1.0000  6.435865  1.0000
    res2*res1  0.557269  1.258708  0.2530  38.45156  0.2749
    res3*res1  0.472819  0.896880  0.6236  32.62448  0.5350
    res3*res2  0.626268  1.675712  0.0686  43.21247  0.1337
    res4*res1  0.439999  0.785712  0.7571  30.35995  0.6467
    res4*res3  0.680971  2.134516  0.0150  46.98703  0.0683
    res5*res1  0.407302  0.687201  0.8605  28.10386  0.7514
    res5*res2  0.739015  2.831638  0.0016  50.99203  0.0307
    res5*res3  0.636869  1.753824  0.0531  43.94393  0.1182
    res5*res4  0.296149  0.420756  0.9932  20.43431  0.9679
    res6*res1  0.416887  0.714934  0.8337  28.76521  0.7219
    res6*res2  0.428914  0.751051  0.7959  29.59509  0.6834
    res6*res3  0.615880  1.603353  0.0869  42.49572  0.1504
    res6*res4  0.193947  0.240613  1.0000  13.38234  0.9994
    res6*res5  0.508058  1.032759  0.4628  35.05598  0.4178
    res7*res2  0.619224  1.626214  0.0807  42.72644  0.1449
    res7*res3  0.789290  3.745864  0.0001  54.46102  0.0144
    res7*res4  0.270081  0.370016  0.9976  18.63562  0.9850
    res7*res5  0.471653  0.892694  0.6287  32.54403  0.5390
    res7*res6  0.603654  1.523049  0.1125  41.65214  0.1721
    res8*res1  0.370562  0.588719  0.9363  25.56878  0.8506
    res8*res2  0.367801  0.581781  0.9404  25.37827  0.8570
    res8*res3  0.348131  0.534052  0.9641  24.02107  0.8981
    res8*res4  0.398433  0.662326  0.8826  27.49190  0.7775
    res8*res5  0.655128  1.899626  0.0328  45.20383  0.0948
    res8*res6  0.359322  0.560847  0.9518  24.79324  0.8758
    res8*res7  0.519553  1.081393  0.4104  35.84912  0.3817

    Lanjutan Lampiran K
    97

    3. Uji Normalitas

    VEC Residual Normality Tests


    Orthogonalization: Cholesky (Lutkepohl)
    H0: residuals are multivariate normal
    Date: 04/18/10 Time: 17:09
    Sample: 2003M01 2008M12
    Included observations: 69

    Component Skewness Chi-sq df Prob.

    1  2.120154  51.69312 1  0.0000


    2  2.260141  58.74470 1  0.0000
    3  0.170415  0.333973 1  0.5633
    4 -0.620337  4.425412 1  0.0354
    5  2.333688  62.63013 1  0.0000
    6  0.113292  0.147603 1  0.7008
    7 -0.072460  0.060381 1  0.8059
    8 -2.836323  92.51437 1  0.0000

    Joint  270.5497 8  0.0000

    Component Kurtosis Chi-sq df Prob.

    1  9.194616  110.3232 1  0.0000


    2  14.16429  358.3441 1  0.0000
    3  3.145223  0.060633 1  0.8055
    4  5.979242  25.51817 1  0.0000
    5  13.88455  340.6114 1  0.0000
    6  2.073028  2.470424 1  0.1160
    7  1.670564  5.081274 1  0.0242
    8  17.17266  577.4851 1  0.0000

    Joint  1419.894 8  0.0000

    Component Jarque-Bera df Prob.

    1  162.0163 2  0.0000
    2  417.0888 2  0.0000
    3  0.394606 2  0.8209
    4  29.94358 2  0.0000
    5  403.2415 2  0.0000
    6  2.618027 2  0.2701
    7  5.141655 2  0.0765
    8  669.9994 2  0.0000

    Joint  1690.444 16  0.0000

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