NAMA : KAMIL AULIA

KELAS : 3SE3
NIM : 11.6735
ABSEN : 17



2,400
2,600
2,800
3,000
3,200
3,400
3,600
3,800
M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12 M1
2010 2011
IHSG
8,800
8,900
9,000
9,100
9,200
9,300
9,400
9,500
M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12 M1
2010 2011
KURS

Hint : Tolak Ho jika T hitung > T tabel
IHSG
1. Dickey Fuller Level Intercept
Null Hypothesis: IHSG has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic 0.211661
Test critical values: 1% level -2.573751
5% level -1.942031
10% level -1.615897


*MacKinnon (1996)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 11:53
Sample (adjusted): 1/05/2010 1/07/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) 0.000883 0.004170 0.211661 0.8325


R-squared -0.006711 Mean dependent var 3.251894
Adjusted R-squared -0.006711 S.D. dependent var 39.27283
S.E. of regression 39.40438 Akaike info criterion 10.18941
Keputusan: Terima Ho


2. Dickey Fuller Level Trend and Intercept

Null Hypothesis: IHSG has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -1.860587
Test critical values: 1% level -3.466400
5% level -2.917200
10% level -2.617600


*Elliott-Rothenberg-Stock (1996, Table 1)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 11:55
Sample (adjusted): 1/05/2010 1/07/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.029063 0.015621 -1.860587 0.0639


R-squared 0.012530 Mean dependent var -0.847483
Adjusted R-squared 0.012530 S.D. dependent var 39.27283
Sum squared resid 408361.5 Schwarz criterion 10.20296
Log likelihood -1344.002 Hannan-Quinn criter. 10.19485
Durbin-Watson stat 1.804124


S.E. of regression 39.02600 Akaike info criterion 10.17011
Sum squared resid 400556.5 Schwarz criterion 10.18366
Log likelihood -1341.455 Hannan-Quinn criter. 10.17556
Durbin-Watson stat 1.785563


Keputusan: Terima Ho

3. Dickey Fuller - 1
st
difference intercept

Null Hypothesis: D(IHSG) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -7.712960
Test critical values: 1% level -2.573818
5% level -1.942040
10% level -1.615891


*MacKinnon (1996)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 11:56
Sample (adjusted): 1/07/2010 1/07/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.543317 0.070442 -7.712960 0.0000
D(GLSRESID(-1)) -0.185062 0.061528 -3.007751 0.0029


R-squared 0.353766 Mean dependent var 0.342863
Adjusted R-squared 0.351280 S.D. dependent var 53.06852
S.E. of regression 42.74306 Akaike info criterion 10.35589
Sum squared resid 475011.9 Schwarz criterion 10.38313
Log likelihood -1354.622 Hannan-Quinn criter. 10.36684
Durbin-Watson stat 1.975012


Keputusan: Tolak Ho

4. Dickey Fuller - 1
st
difference trend and intercept


Null Hypothesis: D(IHSG) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -13.27977
Test critical values: 1% level -3.466300
5% level -2.917400
10% level -2.617950


*Elliott-Rothenberg-Stock (1996, Table 1)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 11:58
Sample (adjusted): 1/06/2010 1/07/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.811340 0.061096 -13.27977 0.0000


R-squared 0.402291 Mean dependent var 0.275637
Adjusted R-squared 0.402291 S.D. dependent var 53.00433
S.E. of regression 40.97851 Akaike info criterion 10.26777
Sum squared resid 439960.5 Schwarz criterion 10.28135
Log likelihood -1349.211 Hannan-Quinn criter. 10.27323
Durbin-Watson stat 2.012565


Keputusan: Tolak Ho
5. Dickey Fuller 2nd difference intercept

Null Hypothesis: D(IHSG,2) has a unit root
Exogenous: Constant
Lag Length: 13 (Automatic - based on SIC, maxlag=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -0.358366
Test critical values: 1% level -2.574282
5% level -1.942104
10% level -1.615849


*MacKinnon (1996)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 11:59
Sample (adjusted): 1/26/2010 1/07/2011
Included observations: 249 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.043692 0.121920 -0.358366 0.7204
D(GLSRESID(-1)) -1.583808 0.135862 -11.65752 0.0000
D(GLSRESID(-2)) -1.965210 0.167016 -11.76662 0.0000
D(GLSRESID(-3)) -2.367767 0.201414 -11.75572 0.0000
D(GLSRESID(-4)) -2.519496 0.236261 -10.66404 0.0000
D(GLSRESID(-5)) -2.517336 0.265320 -9.487935 0.0000
D(GLSRESID(-6)) -2.454445 0.282275 -8.695215 0.0000
D(GLSRESID(-7)) -2.340456 0.287312 -8.146032 0.0000
D(GLSRESID(-8)) -2.086803 0.282355 -7.390705 0.0000
D(GLSRESID(-9)) -1.715031 0.263353 -6.512287 0.0000
D(GLSRESID(-10)) -1.375419 0.228593 -6.016884 0.0000
D(GLSRESID(-11)) -0.884381 0.183130 -4.829248 0.0000
D(GLSRESID(-12)) -0.483851 0.130855 -3.697615 0.0003
D(GLSRESID(-13)) -0.172983 0.068816 -2.513713 0.0126


R-squared 0.771608 Mean dependent var 0.424779
Adjusted R-squared 0.758974 S.D. dependent var 91.80689
S.E. of regression 45.07205 Akaike info criterion 10.50898
Sum squared resid 477400.1 Schwarz criterion 10.70675
Log likelihood -1294.369 Hannan-Quinn criter. 10.58859
Durbin-Watson stat 1.997676


Keputusan: Terima Ho

















6. Dickey Fuller 2nd difference trend and intercept

Null Hypothesis: D(IHSG,2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 12 (Automatic - based on SIC, maxlag=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -0.781430
Test critical values: 1% level -3.465000
5% level -2.920000
10% level -2.622500


*Elliott-Rothenberg-Stock (1996, Table 1)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 12:01
Sample (adjusted): 1/25/2010 1/07/2011
Included observations: 250 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.123460 0.157993 -0.781430 0.4353
D(GLSRESID(-1)) -1.462005 0.167719 -8.716977 0.0000
D(GLSRESID(-2)) -1.778429 0.189336 -9.392957 0.0000
D(GLSRESID(-3)) -2.106027 0.211435 -9.960642 0.0000
D(GLSRESID(-4)) -2.208245 0.236849 -9.323426 0.0000
D(GLSRESID(-5)) -2.150540 0.254662 -8.444672 0.0000
D(GLSRESID(-6)) -2.044422 0.260905 -7.835899 0.0000
D(GLSRESID(-7)) -1.908303 0.257384 -7.414224 0.0000
D(GLSRESID(-8)) -1.639645 0.242864 -6.751288 0.0000
D(GLSRESID(-9)) -1.269298 0.214163 -5.926774 0.0000
D(GLSRESID(-10)) -0.956048 0.171791 -5.565169 0.0000
D(GLSRESID(-11)) -0.524002 0.125905 -4.161897 0.0000
D(GLSRESID(-12)) -0.191346 0.067746 -2.824468 0.0051


R-squared 0.763660 Mean dependent var 0.235911
Adjusted R-squared 0.751694 S.D. dependent var 91.62680
S.E. of regression 45.65796 Akaike info criterion 10.53083
Sum squared resid 494061.8 Schwarz criterion 10.71395
Log likelihood -1303.354 Hannan-Quinn criter. 10.60453
Durbin-Watson stat 2.027794


Keputusan: Terima Ho















7. ADF Level intercept

Null Hypothesis: IHSG has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -1.081776 0.7235
Test critical values: 1% level -3.455001
5% level -2.872286
10% level -2.572570


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHSG)
Method: Least Squares
Date: 04/01/14 Time: 12:25
Sample (adjusted): 1/05/2010 1/07/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


IHSG(-1) -0.006453 0.005965 -1.081776 0.2803
C 23.20746 18.60462 1.247403 0.2134


R-squared 0.004447 Mean dependent var 3.251894
Adjusted R-squared 0.000647 S.D. dependent var 39.27283
S.E. of regression 39.26012 Akaike info criterion 10.18584
Sum squared resid 403835.6 Schwarz criterion 10.21293
Log likelihood -1342.531 Hannan-Quinn criter. 10.19673
F-statistic 1.170239 Durbin-Watson stat 1.811137
Prob(F-statistic) 0.280347


Keputusan: Terima Ho



8. ADF Level trend and intercept

Null Hypothesis: IHSG has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -1.848069 0.6784
Test critical values: 1% level -3.993200
5% level -3.426939
10% level -3.136742


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHSG)
Method: Least Squares
Date: 04/01/14 Time: 12:26
Sample (adjusted): 1/05/2010 1/07/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


IHSG(-1) -0.032393 0.017528 -1.848069 0.0657
C 84.00370 42.86572 1.959694 0.0511
@TREND(1/04/201
0) 0.146572 0.093163 1.573282 0.1169


R-squared 0.013799 Mean dependent var 3.251894
Adjusted R-squared 0.006242 S.D. dependent var 39.27283
S.E. of regression 39.15006 Akaike info criterion 10.18398
Sum squared resid 400041.7 Schwarz criterion 10.22462
Log likelihood -1341.285 Hannan-Quinn criter. 10.20031
F-statistic 1.826023 Durbin-Watson stat 1.781988
Prob(F-statistic) 0.163104


Keputusan : Terima Ho


9. ADF Level none

Null Hypothesis: IHSG has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic 1.192664 0.9403
Test critical values: 1% level -2.573751
5% level -1.942031
10% level -1.615897


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHSG)
Method: Least Squares
Date: 04/01/14 Time: 12:27
Sample (adjusted): 1/05/2010 1/07/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


IHSG(-1) 0.000925 0.000776 1.192664 0.2341


R-squared -0.001466 Mean dependent var 3.251894
Adjusted R-squared -0.001466 S.D. dependent var 39.27283
S.E. of regression 39.30160 Akaike info criterion 10.18419
Sum squared resid 406233.9 Schwarz criterion 10.19773
Log likelihood -1343.313 Hannan-Quinn criter. 10.18963
Durbin-Watson stat 1.813649


Keputusan : Terima Ho






10. ADF 1
st
difference intercept

Null Hypothesis: D(IHSG) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -14.72411 0.0000
Test critical values: 1% level -3.455096
5% level -2.872328
10% level -2.572592


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHSG,2)
Method: Least Squares
Date: 04/01/14 Time: 12:28
Sample (adjusted): 1/06/2010 1/07/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1)) -0.915542 0.062180 -14.72411 0.0000
C 2.903204 2.427104 1.196160 0.2327


R-squared 0.453746 Mean dependent var 0.220456
Adjusted R-squared 0.451653 S.D. dependent var 53.00433
S.E. of regression 39.24996 Akaike info criterion 10.18535
Sum squared resid 402085.9 Schwarz criterion 10.21252
Log likelihood -1337.374 Hannan-Quinn criter. 10.19627
F-statistic 216.7995 Durbin-Watson stat 1.979778
Prob(F-statistic) 0.000000


Keputusan : Tolak Ho




11. ADF 1
st
difference trend and intercept

Null Hypothesis: D(IHSG) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -14.70057 0.0000
Test critical values: 1% level -3.993335
5% level -3.427004
10% level -3.136780


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHSG,2)
Method: Least Squares
Date: 04/01/14 Time: 12:29
Sample (adjusted): 1/06/2010 1/07/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1)) -0.916530 0.062347 -14.70057 0.0000
C 4.412552 4.904395 0.899714 0.3691
@TREND(1/04/201
0) -0.011327 0.031964 -0.354357 0.7234


R-squared 0.454009 Mean dependent var 0.220456
Adjusted R-squared 0.449809 S.D. dependent var 53.00433
S.E. of regression 39.31587 Akaike info criterion 10.19247
Sum squared resid 401891.8 Schwarz criterion 10.23322
Log likelihood -1337.310 Hannan-Quinn criter. 10.20885
F-statistic 108.0993 Durbin-Watson stat 1.978818
Prob(F-statistic) 0.000000


Keputusan : Tolak Ho


12. ADF 1
st
difference none

Null Hypothesis: D(IHSG) has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -14.66368 0.0000
Test critical values: 1% level -2.573784
5% level -1.942035
10% level -1.615894


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHSG,2)
Method: Least Squares
Date: 04/01/14 Time: 12:30
Sample (adjusted): 1/06/2010 1/07/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1)) -0.909959 0.062055 -14.66368 0.0000


R-squared 0.450751 Mean dependent var 0.220456
Adjusted R-squared 0.450751 S.D. dependent var 53.00433
S.E. of regression 39.28221 Akaike info criterion 10.18322
Sum squared resid 404290.1 Schwarz criterion 10.19680
Log likelihood -1338.093 Hannan-Quinn criter. 10.18867
Durbin-Watson stat 1.979850


Keputusan : Tolak Ho





13. ADF 2nd difference intercept

Null Hypothesis: D(IHSG,2) has a unit root
Exogenous: Constant
Lag Length: 9 (Automatic - based on SIC, maxlag=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -10.58072 0.0000
Test critical values: 1% level -3.456093
5% level -2.872765
10% level -2.572826


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHSG,3)
Method: Least Squares
Date: 04/01/14 Time: 12:31
Sample (adjusted): 1/20/2010 1/07/2011
Included observations: 253 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1),2) -7.014060 0.662910 -10.58072 0.0000
D(IHSG(-1),3) 5.196122 0.632608 8.213807 0.0000
D(IHSG(-2),3) 4.471423 0.582616 7.674733 0.0000
D(IHSG(-3),3) 3.607955 0.520752 6.928355 0.0000
D(IHSG(-4),3) 2.867211 0.448007 6.399920 0.0000
D(IHSG(-5),3) 2.218452 0.368952 6.012848 0.0000
D(IHSG(-6),3) 1.591132 0.286497 5.553741 0.0000
D(IHSG(-7),3) 0.995993 0.204777 4.863786 0.0000
D(IHSG(-8),3) 0.550908 0.132023 4.172828 0.0000
D(IHSG(-9),3) 0.255039 0.064079 3.980051 0.0001
C -0.436622 2.541682 -0.171785 0.8638


R-squared 0.811245 Mean dependent var 0.368656
Adjusted R-squared 0.803445 S.D. dependent var 91.15772
S.E. of regression 40.41433 Akaike info criterion 10.27875
Sum squared resid 395263.0 Schwarz criterion 10.43238
Log likelihood -1289.262 Hannan-Quinn criter. 10.34056
F-statistic 104.0084 Durbin-Watson stat 1.999872
Prob(F-statistic) 0.000000


Keputusan: Tolak Ho





























14. ADF 2nd difference trend and intercept

Null Hypothesis: D(IHSG,2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 9 (Automatic - based on SIC, maxlag=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -10.55920 0.0000
Test critical values: 1% level -3.994744
5% level -3.427687
10% level -3.137183


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHSG,3)
Method: Least Squares
Date: 04/01/14 Time: 12:32
Sample (adjusted): 1/20/2010 1/07/2011
Included observations: 253 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1),2) -7.015709 0.664417 -10.55920 0.0000
D(IHSG(-1),3) 5.197579 0.634026 8.197744 0.0000
D(IHSG(-2),3) 4.472582 0.583892 7.659942 0.0000
D(IHSG(-3),3) 3.608794 0.521867 6.915165 0.0000
D(IHSG(-4),3) 2.867727 0.448945 6.387700 0.0000
D(IHSG(-5),3) 2.218739 0.369715 6.001222 0.0000
D(IHSG(-6),3) 1.591246 0.287085 5.542776 0.0000
D(IHSG(-7),3) 0.996004 0.205196 4.853916 0.0000
D(IHSG(-8),3) 0.550864 0.132293 4.163964 0.0000
D(IHSG(-9),3) 0.255024 0.064210 3.971699 0.0001
C 0.122767 5.444643 0.022548 0.9820
@TREND(1/04/201
0) -0.004056 0.034888 -0.116243 0.9076


R-squared 0.811255 Mean dependent var 0.368656
Adjusted R-squared 0.802641 S.D. dependent var 91.15772
S.E. of regression 40.49696 Akaike info criterion 10.28660
Sum squared resid 395240.8 Schwarz criterion 10.45419
Log likelihood -1289.255 Hannan-Quinn criter. 10.35403
F-statistic 94.16892 Durbin-Watson stat 1.999628
Prob(F-statistic) 0.000000


Keputusan : Tolak Ho



























15. ADF 2nd difference none

Null Hypothesis: D(IHSG,2) has a unit root
Exogenous: None
Lag Length: 9 (Automatic - based on SIC, maxlag=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -10.60057 0.0000
Test critical values: 1% level -2.574134
5% level -1.942084
10% level -1.615862


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHSG,3)
Method: Least Squares
Date: 04/01/14 Time: 12:33
Sample (adjusted): 1/20/2010 1/07/2011
Included observations: 253 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1),2) -7.011846 0.661460 -10.60057 0.0000
D(IHSG(-1),3) 5.194073 0.631231 8.228476 0.0000
D(IHSG(-2),3) 4.469665 0.581362 7.688267 0.0000
D(IHSG(-3),3) 3.606536 0.519646 6.940374 0.0000
D(IHSG(-4),3) 2.866123 0.447067 6.410946 0.0000
D(IHSG(-5),3) 2.217687 0.368188 6.023252 0.0000
D(IHSG(-6),3) 1.590661 0.285911 5.563473 0.0000
D(IHSG(-7),3) 0.995751 0.204363 4.872458 0.0000
D(IHSG(-8),3) 0.550791 0.131757 4.180355 0.0000
D(IHSG(-9),3) 0.254972 0.063950 3.987053 0.0001


R-squared 0.811222 Mean dependent var 0.368656
Adjusted R-squared 0.804230 S.D. dependent var 91.15772
S.E. of regression 40.33355 Akaike info criterion 10.27097
Sum squared resid 395311.2 Schwarz criterion 10.41063
Log likelihood -1289.277 Hannan-Quinn criter. 10.32716
Durbin-Watson stat 1.999930


Keputusan: Tolak Ho































16. Phillips Perron Level intercept


Null Hypothesis: IHSG has a unit root
Exogenous: Constant
Bandwidth: 8 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -1.036964 0.7405
Test critical values: 1% level -3.455001
5% level -2.872286
10% level -2.572570


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1529.680
HAC corrected variance (Bartlett kernel) 1242.960




Phillips-Perron Test Equation
Dependent Variable: D(IHSG)
Method: Least Squares
Date: 04/01/14 Time: 12:26
Sample (adjusted): 1/06/2010 1/10/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


IHSG(-1) -0.006453 0.005965 -1.081776 0.2803
C 23.20746 18.60462 1.247403 0.2134


R-squared 0.004447 Mean dependent var 3.251894
Adjusted R-squared 0.000647 S.D. dependent var 39.27283
S.E. of regression 39.26012 Akaike info criterion 10.18584
Sum squared resid 403835.6 Schwarz criterion 10.21293
Log likelihood -1342.531 Hannan-Quinn criter. 10.19673
F-statistic 1.170239 Durbin-Watson stat 1.811137
Prob(F-statistic) 0.280347


Keputusan : Terima H
0
karena t hitung < t table



















17. Phillips Perron Level Trend and Intercept

Null Hypothesis: IHSG has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 6 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -1.834012 0.6855
Test critical values: 1% level -3.993200
5% level -3.426939
10% level -3.136742


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1515.310
HAC corrected variance (Bartlett kernel) 1499.888




Phillips-Perron Test Equation
Dependent Variable: D(IHSG)
Method: Least Squares
Date: 04/01/14 Time: 12:29
Sample (adjusted): 1/06/2010 1/10/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


IHSG(-1) -0.032393 0.017528 -1.848069 0.0657
C 83.85713 42.78175 1.960114 0.0510
@TREND(1/04/201
0) 0.146572 0.093163 1.573282 0.1169


R-squared 0.013799 Mean dependent var 3.251894
Adjusted R-squared 0.006242 S.D. dependent var 39.27283
S.E. of regression 39.15006 Akaike info criterion 10.18398
Sum squared resid 400041.7 Schwarz criterion 10.22462
Log likelihood -1341.285 Hannan-Quinn criter. 10.20031
F-statistic 1.826023 Durbin-Watson stat 1.781988
Prob(F-statistic) 0.163104


Keputusan : Terima H
0
karena t hitung < t table

































18. Phillips Perron Level None

Null Hypothesis: IHSG has a unit root
Exogenous: None
Bandwidth: 9 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic 1.373044 0.9575
Test critical values: 1% level -2.573751
5% level -1.942031
10% level -1.615897


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1538.765
HAC corrected variance (Bartlett kernel) 1204.622




Phillips-Perron Test Equation
Dependent Variable: D(IHSG)
Method: Least Squares
Date: 04/01/14 Time: 12:34
Sample (adjusted): 1/06/2010 1/10/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


IHSG(-1) 0.000925 0.000776 1.192664 0.2341


R-squared -0.001466 Mean dependent var 3.251894
Adjusted R-squared -0.001466 S.D. dependent var 39.27283
S.E. of regression 39.30160 Akaike info criterion 10.18419
Sum squared resid 406233.9 Schwarz criterion 10.19773
Log likelihood -1343.313 Hannan-Quinn criter. 10.18963
Durbin-Watson stat 1.813649


Keputusan : Terima H
0
karena t hitung < t tabel




19. Phillips Perron 1st difference Intercept

Null Hypothesis: D(IHSG) has a unit root
Exogenous: Constant
Bandwidth: 10 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -14.71846 0.0000
Test critical values: 1% level -3.455096
5% level -2.872328
10% level -2.572592


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1528.844
HAC corrected variance (Bartlett kernel) 1004.584




Phillips-Perron Test Equation
Dependent Variable: D(IHSG,2)
Method: Least Squares
Date: 04/01/14 Time: 12:38
Sample (adjusted): 1/07/2010 1/10/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1)) -0.915542 0.062180 -14.72411 0.0000
C 2.903204 2.427104 1.196160 0.2327


R-squared 0.453746 Mean dependent var 0.220456
Adjusted R-squared 0.451653 S.D. dependent var 53.00433
S.E. of regression 39.24996 Akaike info criterion 10.18535
Sum squared resid 402085.9 Schwarz criterion 10.21252
Log likelihood -1337.374 Hannan-Quinn criter. 10.19627
F-statistic 216.7995 Durbin-Watson stat 1.979778
Prob(F-statistic) 0.000000


Keputusan : Terima H
0
karena t hitung < t tabel





20. Phillips Perron 1st difference Trend and
Intercept

Null Hypothesis: D(IHSG) has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 10 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -14.68987 0.0000
Test critical values: 1% level -3.993335
5% level -3.427004
10% level -3.136780


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1528.106
HAC corrected variance (Bartlett kernel) 999.9539




Phillips-Perron Test Equation
Dependent Variable: D(IHSG,2)
Method: Least Squares
Date: 04/01/14 Time: 12:41
Sample (adjusted): 1/07/2010 1/10/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1)) -0.916530 0.062347 -14.70057 0.0000
C 4.423878 4.932181 0.896942 0.3706
@TREND(1/04/201
0) -0.011327 0.031964 -0.354357 0.7234


R-squared 0.454009 Mean dependent var 0.220456
Adjusted R-squared 0.449809 S.D. dependent var 53.00433
S.E. of regression 39.31587 Akaike info criterion 10.19247
Sum squared resid 401891.8 Schwarz criterion 10.23322
Log likelihood -1337.310 Hannan-Quinn criter. 10.20885
F-statistic 108.0993 Durbin-Watson stat 1.978818
Prob(F-statistic) 0.000000


Keputusan : Tolak H
0
karena t hitung > t tabel


21. Phillips Perron 1st difference None

Null Hypothesis: D(IHSG) has a unit root
Exogenous: None
Bandwidth: 9 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -14.59644 0.0000
Test critical values: 1% level -2.573784
5% level -1.942035
10% level -1.615894


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1537.225
HAC corrected variance (Bartlett kernel) 1099.167




Phillips-Perron Test Equation
Dependent Variable: D(IHSG,2)
Method: Least Squares
Date: 04/01/14 Time: 12:42
Sample (adjusted): 1/07/2010 1/10/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1)) -0.909959 0.062055 -14.66368 0.0000


R-squared 0.450751 Mean dependent var 0.220456
Adjusted R-squared 0.450751 S.D. dependent var 53.00433
S.E. of regression 39.28221 Akaike info criterion 10.18322
Sum squared resid 404290.1 Schwarz criterion 10.19680
Log likelihood -1338.093 Hannan-Quinn criter. 10.18867
Durbin-Watson stat 1.979850


Keputusan : Tolak H
0
karena t hitung > t tabel


22. Phillips Perron 2nd difference intercept

Null Hypothesis: D(IHSG,2) has a unit root
Exogenous: Constant
Bandwidth: 90 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -110.5102 0.0001
Test critical values: 1% level -3.455193
5% level -2.872370
10% level -2.572615


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 2227.801
HAC corrected variance (Bartlett kernel) 66.36434




Phillips-Perron Test Equation
Dependent Variable: D(IHSG,3)
Method: Least Squares
Date: 04/01/14 Time: 12:34
Sample (adjusted): 1/07/2010 1/07/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1),2) -1.458072 0.055786 -26.13674 0.0000
C 0.232104 2.927225 0.079291 0.9369


R-squared 0.724322 Mean dependent var 0.584656
Adjusted R-squared 0.723262 S.D. dependent var 90.06736
S.E. of regression 47.38077 Akaike info criterion 10.56191
Sum squared resid 583683.7 Schwarz criterion 10.58915
Log likelihood -1381.611 Hannan-Quinn criter. 10.57286
F-statistic 683.1291 Durbin-Watson stat 2.122191
Prob(F-statistic) 0.000000



23. Phillips Perron 2nd difference trend and
intercept

Null Hypothesis: D(IHSG,2) has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 91 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -109.6379 0.0001
Test critical values: 1% level -3.993471
5% level -3.427070
10% level -3.136819


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 2227.551
HAC corrected variance (Bartlett kernel) 67.09010




Phillips-Perron Test Equation
Dependent Variable: D(IHSG,3)
Method: Least Squares
Date: 04/01/14 Time: 12:35
Sample (adjusted): 1/07/2010 1/07/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1),2) -1.458061 0.055891 -26.08766 0.0000
C -0.649115 5.949536 -0.109104 0.9132
@TREND(1/04/201
0) 0.006601 0.038775 0.170234 0.8650


R-squared 0.724353 Mean dependent var 0.584656
Adjusted R-squared 0.722224 S.D. dependent var 90.06736
S.E. of regression 47.46950 Akaike info criterion 10.56944
Sum squared resid 583618.4 Schwarz criterion 10.61029
Log likelihood -1381.596 Hannan-Quinn criter. 10.58586
F-statistic 340.3034 Durbin-Watson stat 2.122443
Prob(F-statistic) 0.000000



24. Phillips Perron 2nd difference none

Null Hypothesis: D(IHSG,2) has a unit root
Exogenous: None
Bandwidth: 90 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -111.0401 0.0001
Test critical values: 1% level -2.573818
5% level -1.942040
10% level -1.615891


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 2227.854
HAC corrected variance (Bartlett kernel) 66.07614




Phillips-Perron Test Equation
Dependent Variable: D(IHSG,3)
Method: Least Squares
Date: 04/01/14 Time: 12:35
Sample (adjusted): 1/07/2010 1/07/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(IHSG(-1),2) -1.458093 0.055679 -26.18728 0.0000


R-squared 0.724315 Mean dependent var 0.584656
Adjusted R-squared 0.724315 S.D. dependent var 90.06736
S.E. of regression 47.29049 Akaike info criterion 10.55430
Sum squared resid 583697.9 Schwarz criterion 10.56792
Log likelihood -1381.614 Hannan-Quinn criter. 10.55978
Durbin-Watson stat 2.122106





KURS

1. ADF level- intercept

Null Hypothesis: KURS has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -2.025597 0.2758
Test critical values: 1% level -3.455193
5% level -2.872370
10% level -2.572615


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(KURS)
Method: Least Squares
Date: 04/01/14 Time: 12:22
Sample (adjusted): 1/07/2010 1/25/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


KURS(-1) -0.030601 0.015107 -2.025597 0.0438
D(KURS(-1)) -0.052908 0.060708 -0.871510 0.3843
D(KURS(-2)) -0.201887 0.060583 -3.332393 0.0010
C 276.6309 137.1984 2.016283 0.0448


R-squared 0.063148 Mean dependent var -0.977099
Adjusted R-squared 0.052254 S.D. dependent var 33.71266
S.E. of regression 32.82003 Akaike info criterion 9.835105
Sum squared resid 277905.9 Schwarz criterion 9.889583
Log likelihood -1284.399 Hannan-Quinn criter. 9.857001
F-statistic 5.796741 Durbin-Watson stat 1.953904
Prob(F-statistic) 0.000755



Keputusan :

2. ADF - level - trend intercept

Null Hypothesis: KURS has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 2 (Automatic based on SIC, MAXLAG=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -2.072418 0.5583
Test critical values: 1% level -3.993471
5% level -3.427070
10% level -3.136819


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(KURS)
Method: Least Squares
Date: 04/01/14 Time: 12:23
Sample (adjusted): 1/07/2010 1/25/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


KURS(-1) -0.047282 0.022815 -2.072418 0.0392
D(KURS(-1)) -0.041825 0.061767 -0.677148 0.4989
D(KURS(-2)) -0.191354 0.061543 -3.109274 0.0021
C 433.3881 211.2746 2.051302 0.0413
@TREND(1/04/201
0) -0.039586 0.040570 -0.975737 0.3301


R-squared 0.066605 Mean dependent var -0.977099
Adjusted R-squared 0.052078 S.D. dependent var 33.71266
S.E. of regression 32.82308 Akaike info criterion 9.839041
Sum squared resid 276880.2 Schwarz criterion 9.907139
Log likelihood -1283.914 Hannan-Quinn criter. 9.866411
F-statistic 4.584764 Durbin-Watson stat 1.951154
Prob(F-statistic) 0.001361




3. ADF - level - none

Null Hypothesis: KURS has a unit root
Exogenous: None
Lag Length: 2 (Automatic based on SIC, MAXLAG=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -0.640755 0.4390
Test critical values: 1% level -2.573818
5% level -1.942040
10% level -1.615891


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(KURS)
Method: Least Squares
Date: 04/01/14 Time: 12:24
Sample (adjusted): 1/07/2010 1/25/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


KURS(-1) -0.000144 0.000225 -0.640755 0.5222
D(KURS(-1)) -0.066160 0.060707 -1.089814 0.2768
D(KURS(-2)) -0.213051 0.060685 -3.510735 0.0005


R-squared 0.048385 Mean dependent var -0.977099
Adjusted R-squared 0.041037 S.D. dependent var 33.71266
S.E. of regression 33.01368 Akaike info criterion 9.843106
Sum squared resid 282285.0 Schwarz criterion 9.883965
Log likelihood -1286.447 Hannan-Quinn criter. 9.859528
Durbin-Watson stat 1.956694



4. ADF - 1
st
difference - intercept

Null Hypothesis: D(KURS) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -14.50855 0.0000
Test critical values: 1% level -3.455193
5% level -2.872370
10% level -2.572615


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(KURS,2)
Method: Least Squares
Date: 04/01/14 Time: 12:26
Sample (adjusted): 1/07/2010 1/25/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1)) -1.279217 0.088170 -14.50855 0.0000
D(KURS(-1),2) 0.213048 0.060692 3.510303 0.0005
C -1.247341 2.041501 -0.610992 0.5417


R-squared 0.548683 Mean dependent var -0.026718
Adjusted R-squared 0.545198 S.D. dependent var 48.95689
S.E. of regression 33.01606 Akaike info criterion 9.843249
Sum squared resid 282325.5 Schwarz criterion 9.884108
Log likelihood -1286.466 Hannan-Quinn criter. 9.859671
F-statistic 157.4378 Durbin-Watson stat 1.956684
Prob(F-statistic) 0.000000


5. ADF - 1
st
difference - trend intercept

Null Hypothesis: D(KURS) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -14.52722 0.0000
Test critical values: 1% level -3.993471
5% level -3.427070
10% level -3.136819


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(KURS,2)
Method: Least Squares
Date: 04/01/14 Time: 12:27
Sample (adjusted): 1/07/2010 1/25/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1)) -1.284128 0.088395 -14.52722 0.0000
D(KURS(-1),2) 0.215680 0.060798 3.547504 0.0005
C -4.377759 4.152157 -1.054334 0.2927
@TREND(1/04/201
0) 0.023413 0.027038 0.865938 0.3873


R-squared 0.549991 Mean dependent var -0.026718
Adjusted R-squared 0.544758 S.D. dependent var 48.95689
S.E. of regression 33.03201 Akaike info criterion 9.847981
Sum squared resid 281507.3 Schwarz criterion 9.902459
Log likelihood -1286.085 Hannan-Quinn criter. 9.869877
F-statistic 105.1071 Durbin-Watson stat 1.957567
Prob(F-statistic) 0.000000





6. ADF - 1
st
difference - none

Null Hypothesis: D(KURS) has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -14.51318 0.0000
Test critical values: 1% level -2.573818
5% level -1.942040
10% level -1.615891


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(KURS,2)
Method: Least Squares
Date: 04/01/14 Time: 12:28
Sample (adjusted): 1/07/2010 1/25/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1)) -1.276979 0.087988 -14.51318 0.0000
D(KURS(-1),2) 0.211918 0.060591 3.497519 0.0006


R-squared 0.548032 Mean dependent var -0.026718
Adjusted R-squared 0.546294 S.D. dependent var 48.95689
S.E. of regression 32.97624 Akaike info criterion 9.837056
Sum squared resid 282732.4 Schwarz criterion 9.864295
Log likelihood -1286.654 Hannan-Quinn criter. 9.848004
Durbin-Watson stat 1.956182


7. ADF - 2
nd
difference - intercept

Null Hypothesis: D(KURS,2) has a unit root
Exogenous: Constant
Lag Length: 11 (Automatic based on SIC, MAXLAG=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -9.956624 0.0000
Test critical values: 1% level -3.456302
5% level -2.872857
10% level -2.572875


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(KURS,3)
Method: Least Squares
Date: 04/01/14 Time: 12:29
Sample (adjusted): 1/22/2010 1/25/2011
Included observations: 251 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1),2) -9.697798 0.974005 -9.956624 0.0000
D(KURS(-1),3) 7.726841 0.941460 8.207297 0.0000
D(KURS(-2),3) 6.570496 0.887321 7.404872 0.0000
D(KURS(-3),3) 5.514887 0.811252 6.797996 0.0000
D(KURS(-4),3) 4.624257 0.721006 6.413616 0.0000
D(KURS(-5),3) 3.724114 0.625996 5.949102 0.0000
D(KURS(-6),3) 2.963950 0.526615 5.628303 0.0000
D(KURS(-7),3) 2.211004 0.424482 5.208711 0.0000
D(KURS(-8),3) 1.534308 0.325055 4.720144 0.0000
D(KURS(-9),3) 0.960339 0.224774 4.272470 0.0000
D(KURS(-10),3) 0.500614 0.132926 3.766102 0.0002
D(KURS(-11),3) 0.159332 0.060536 2.632027 0.0090
C -0.174652 2.035352 -0.085809 0.9317


R-squared 0.838361 Mean dependent var 0.059761
Adjusted R-squared 0.830211 S.D. dependent var 78.20461
S.E. of regression 32.22455 Akaike info criterion 9.833738
Sum squared resid 247144.4 Schwarz criterion 10.01633
Log likelihood -1221.134 Hannan-Quinn criter. 9.907218
F-statistic 102.8681 Durbin-Watson stat 2.019440
Prob(F-statistic) 0.000000


8. ADF - 2
nd
difference - trend intercept

Null Hypothesis: D(KURS,2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 11 (Automatic based on SIC, MAXLAG=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -9.937791 0.0000
Test critical values: 1% level -3.995040
5% level -3.427830
10% level -3.137268


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(KURS,3)
Method: Least Squares
Date: 04/01/14 Time: 12:30
Sample (adjusted): 1/22/2010 1/25/2011
Included observations: 251 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1),2) -9.697572 0.975828 -9.937791 0.0000
D(KURS(-1),3) 7.726302 0.943223 8.191382 0.0000
D(KURS(-2),3) 6.569484 0.888987 7.389857 0.0000
D(KURS(-3),3) 5.513283 0.812784 6.783206 0.0000
D(KURS(-4),3) 4.622112 0.722384 6.398414 0.0000
D(KURS(-5),3) 3.721711 0.627209 5.933767 0.0000
D(KURS(-6),3) 2.961539 0.527650 5.612694 0.0000
D(KURS(-7),3) 2.208789 0.425328 5.193141 0.0000
D(KURS(-8),3) 1.532778 0.325696 4.706162 0.0000
D(KURS(-9),3) 0.959431 0.225211 4.260149 0.0000
D(KURS(-10),3) 0.500250 0.133179 3.756205 0.0002
D(KURS(-11),3) 0.159228 0.060650 2.625354 0.0092
C -1.482336 4.413353 -0.335875 0.7373
@TREND(1/04/201
0) 0.009403 0.028144 0.334103 0.7386


R-squared 0.838437 Mean dependent var 0.059761
Adjusted R-squared 0.829575 S.D. dependent var 78.20461
S.E. of regression 32.28486 Akaike info criterion 9.841235
Sum squared resid 247028.1 Schwarz criterion 10.03787
Log likelihood -1221.075 Hannan-Quinn criter. 9.920367
F-statistic 94.60931 Durbin-Watson stat 2.019843
Prob(F-statistic) 0.000000






9. ADF - 2
nd
difference - none

Null Hypothesis: D(KURS,2) has a unit root
Exogenous: None
Lag Length: 11 (Automatic based on SIC, MAXLAG=15)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -9.981024 0.0000
Test critical values: 1% level -2.574208
5% level -1.942094
10% level -1.615856


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(KURS,3)
Method: Least Squares
Date: 04/01/14 Time: 12:31
Sample (adjusted): 1/22/2010 1/25/2011
Included observations: 251 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1),2) -9.699452 0.971789 -9.981024 0.0000
D(KURS(-1),3) 7.728508 0.939303 8.227922 0.0000
D(KURS(-2),3) 6.572158 0.885265 7.423941 0.0000
D(KURS(-3),3) 5.516516 0.809344 6.816037 0.0000
D(KURS(-4),3) 4.625845 0.719270 6.431305 0.0000
D(KURS(-5),3) 3.725591 0.624458 5.966117 0.0000
D(KURS(-6),3) 2.965276 0.525294 5.644980 0.0000
D(KURS(-7),3) 2.212127 0.423398 5.224693 0.0000
D(KURS(-8),3) 1.535160 0.324228 4.734809 0.0000
D(KURS(-9),3) 0.960928 0.224202 4.285996 0.0000
D(KURS(-10),3) 0.500915 0.132604 3.777528 0.0002
D(KURS(-11),3) 0.159441 0.060397 2.639890 0.0088


R-squared 0.838356 Mean dependent var 0.059761
Adjusted R-squared 0.830916 S.D. dependent var 78.20461
S.E. of regression 32.15757 Akaike info criterion 9.825801
Sum squared resid 247152.0 Schwarz criterion 9.994348
Log likelihood -1221.138 Hannan-Quinn criter. 9.893628
Durbin-Watson stat 2.019397








10. DF-GLS - level - intercept

Null Hypothesis: KURS has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -0.594299
Test critical values: 1% level -2.573818
5% level -1.942040
10% level -1.615891


*MacKinnon (1996)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 13:30
Sample (adjusted): 1/07/2010 1/25/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.004957 0.008341 -0.594299 0.5528
D(GLSRESID(-1)) -0.062012 0.060906 -1.018164 0.3096
D(GLSRESID(-2)) -0.209191 0.060840 -3.438387 0.0007


R-squared 0.048175 Mean dependent var -0.977099
Adjusted R-squared 0.040825 S.D. dependent var 33.71266
S.E. of regression 33.01734 Akaike info criterion 9.843327
Sum squared resid 282347.4 Schwarz criterion 9.884186
Log likelihood -1286.476 Hannan-Quinn criter. 9.859749
Durbin-Watson stat 1.955279


11. DF-GLS level - trend intercept

Null Hypothesis: KURS has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 2 (Automatic based on SIC, MAXLAG=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -1.905855
Test critical values: 1% level -3.466200
5% level -2.917600
10% level -2.618300


*Elliott-Rothenberg-Stock (1996, Table 1)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 13:32
Sample (adjusted): 1/07/2010 1/25/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.040280 0.021135 -1.905855 0.0578
D(GLSRESID(-1)) -0.043033 0.061467 -0.700095 0.4845
D(GLSRESID(-2)) -0.191737 0.061269 -3.129422 0.0020


R-squared 0.060970 Mean dependent var 0.554563
Adjusted R-squared 0.053719 S.D. dependent var 33.71266
S.E. of regression 32.79466 Akaike info criterion 9.829793
Sum squared resid 278551.8 Schwarz criterion 9.870651
Log likelihood -1284.703 Hannan-Quinn criter. 9.846215
Durbin-Watson stat 1.950973



12. DF-GLS - 1
st
difference - intercept

Null Hypothesis: D(KURS) has a unit root
Exogenous: Constant
Lag Length: 5 (Automatic based on SIC, MAXLAG=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -3.416726
Test critical values: 1% level -2.573956
5% level -1.942059
10% level -1.615878


*MacKinnon (1996)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 13:32
Sample (adjusted): 1/13/2010 1/25/2011
Included observations: 258 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.341520 0.099955 -3.416726 0.0007
D(GLSRESID(-1)) -0.527965 0.102510 -5.150373 0.0000
D(GLSRESID(-2)) -0.638505 0.101996 -6.260085 0.0000
D(GLSRESID(-3)) -0.415935 0.097710 -4.256846 0.0000
D(GLSRESID(-4)) -0.209623 0.080959 -2.589229 0.0102
D(GLSRESID(-5)) -0.162036 0.059770 -2.711001 0.0072


R-squared 0.495516 Mean dependent var -0.240310
Adjusted R-squared 0.485506 S.D. dependent var 47.03551
S.E. of regression 33.73774 Akaike info criterion 9.898093
Sum squared resid 286835.3 Schwarz criterion 9.980719
Log likelihood -1270.854 Hannan-Quinn criter. 9.931317
Durbin-Watson stat 2.008883


13. DF-GLS - 1
st
difference - trend intercept

Null Hypothesis: D(KURS) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -13.25356
Test critical values: 1% level -3.466200
5% level -2.917600
10% level -2.618300


*Elliott-Rothenberg-Stock (1996, Table 1)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 13:33
Sample (adjusted): 1/07/2010 1/25/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -1.150656 0.086819 -13.25356 0.0000
D(GLSRESID(-1)) 0.149430 0.061351 2.435665 0.0155


R-squared 0.511741 Mean dependent var -0.121510
Adjusted R-squared 0.509863 S.D. dependent var 48.95689
S.E. of regression 34.27460 Akaike info criterion 9.914290
Sum squared resid 305434.5 Schwarz criterion 9.941530
Log likelihood -1296.772 Hannan-Quinn criter. 9.925238
Durbin-Watson stat 1.943474


14. DF-GLS - 2
nd
difference - intercept

Null Hypothesis: D(KURS,2) has a unit root
Exogenous: Constant
Lag Length: 15 (Automatic based on SIC, MAXLAG=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -0.121075
Test critical values: 1% level -2.574358
5% level -1.942115
10% level -1.615842


*MacKinnon (1996)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 13:34
Sample (adjusted): 1/28/2010 1/25/2011
Included observations: 247 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.014591 0.120512 -0.121075 0.9037
D(GLSRESID(-1)) -1.770114 0.135626 -13.05142 0.0000
D(GLSRESID(-2)) -2.577863 0.175105 -14.72181 0.0000
D(GLSRESID(-3)) -3.102855 0.234142 -13.25204 0.0000
D(GLSRESID(-4)) -3.303128 0.291927 -11.31491 0.0000
D(GLSRESID(-5)) -3.449855 0.335401 -10.28575 0.0000
D(GLSRESID(-6)) -3.364245 0.367925 -9.143826 0.0000
D(GLSRESID(-7)) -3.241028 0.384640 -8.426125 0.0000
D(GLSRESID(-8)) -3.073052 0.387359 -7.933339 0.0000
D(GLSRESID(-9)) -2.749753 0.378728 -7.260502 0.0000
D(GLSRESID(-10)) -2.407938 0.355904 -6.765702 0.0000
D(GLSRESID(-11)) -1.972330 0.317191 -6.218109 0.0000
D(GLSRESID(-12)) -1.458462 0.266232 -5.478170 0.0000
D(GLSRESID(-13)) -0.909264 0.199500 -4.557721 0.0000
D(GLSRESID(-14)) -0.447287 0.125929 -3.551892 0.0005
D(GLSRESID(-15)) -0.176975 0.060733 -2.913993 0.0039


R-squared 0.813230 Mean dependent var -0.327935
Adjusted R-squared 0.801103 S.D. dependent var 77.66277
S.E. of regression 34.63598 Akaike info criterion 9.990247
Sum squared resid 277119.4 Schwarz criterion 10.21758
Log likelihood -1217.796 Hannan-Quinn criter. 10.08177
Durbin-Watson stat 2.053774



15. DF-GLS - 2
nd
difference - trend intercept

Null Hypothesis: D(KURS,2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 15 (Automatic based on SIC, MAXLAG=15)


t-Statistic


Elliott-Rothenberg-Stock DF-GLS test statistic -1.413575
Test critical values: 1% level -3.464700
5% level -2.920600
10% level -2.623550


*Elliott-Rothenberg-Stock (1996, Table 1)


DF-GLS Test Equation on GLS Detrended Residuals
Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 04/01/14 Time: 13:34
Sample (adjusted): 1/28/2010 1/25/2011
Included observations: 247 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


GLSRESID(-1) -0.338518 0.239476 -1.413575 0.1588
D(GLSRESID(-1)) -1.450648 0.241532 -6.006038 0.0000
D(GLSRESID(-2)) -2.266614 0.256636 -8.832033 0.0000
D(GLSRESID(-3)) -2.804781 0.289749 -9.680025 0.0000
D(GLSRESID(-4)) -3.023729 0.328220 -9.212522 0.0000
D(GLSRESID(-5)) -3.192685 0.359178 -8.888862 0.0000
D(GLSRESID(-6)) -3.132756 0.382741 -8.185047 0.0000
D(GLSRESID(-7)) -3.037005 0.393441 -7.719092 0.0000
D(GLSRESID(-8)) -2.897840 0.392109 -7.390389 0.0000
D(GLSRESID(-9)) -2.604176 0.380579 -6.842667 0.0000
D(GLSRESID(-10)) -2.290599 0.356069 -6.433011 0.0000
D(GLSRESID(-11)) -1.882964 0.316495 -5.949421 0.0000
D(GLSRESID(-12)) -1.395337 0.265131 -5.262815 0.0000
D(GLSRESID(-13)) -0.869866 0.198556 -4.380964 0.0000
D(GLSRESID(-14)) -0.427209 0.125330 -3.408661 0.0008
D(GLSRESID(-15)) -0.169843 0.060514 -2.806690 0.0054


R-squared 0.813802 Mean dependent var -0.235870
Adjusted R-squared 0.801711 S.D. dependent var 77.66277
S.E. of regression 34.58297 Akaike info criterion 9.987184
Sum squared resid 276271.7 Schwarz criterion 10.21451
Log likelihood -1217.417 Hannan-Quinn criter. 10.07871
Durbin-Watson stat 2.048631





16. Phillips Perrons level intercept


Null Hypothesis: KURS has a unit root
Exogenous: Constant
Bandwidth: 5 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -2.273739 0.1813
Test critical values: 1% level -3.455001
5% level -2.872286
10% level -2.572570


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1100.621
HAC corrected variance (Bartlett kernel) 887.7208




Phillips-Perron Test Equation
Dependent Variable: D(KURS)
Method: Least Squares
Date: 04/01/14 Time: 14:03
Sample (adjusted): 1/05/2010 1/07/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


KURS(-1) -0.036377 0.015009 -2.423787 0.0160
C 329.3121 136.3167 2.415788 0.0164


R-squared 0.021931 Mean dependent var -1.053030
Adjusted R-squared 0.018198 S.D. dependent var 33.60921
S.E. of regression 33.30200 Akaike info criterion 9.856659
Sum squared resid 290564.0 Schwarz criterion 9.883749
Log likelihood -1299.079 Hannan-Quinn criter. 9.867545
F-statistic 5.874742 Durbin-Watson stat 2.077500
Prob(F-statistic) 0.016037




17. Phillips Perrons level trend intercept


Null Hypothesis: KURS has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 6 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -2.670153 0.2500
Test critical values: 1% level -3.993200
5% level -3.426939
10% level -3.136742


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1089.752
HAC corrected variance (Bartlett kernel) 975.7035




Phillips-Perron Test Equation
Dependent Variable: D(KURS)
Method: Least Squares
Date: 04/01/14 Time: 14:04
Sample (adjusted): 1/05/2010 1/07/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


KURS(-1) -0.062791 0.022178 -2.831202 0.0050
C 577.6812 205.3396 2.813296 0.0053
@TREND(1/04/201
0) -0.064123 0.039741 -1.613495 0.1078


R-squared 0.031590 Mean dependent var -1.053030
Adjusted R-squared 0.024170 S.D. dependent var 33.60921
S.E. of regression 33.20056 Akaike info criterion 9.854309
Sum squared resid 287694.4 Schwarz criterion 9.894945
Log likelihood -1297.769 Hannan-Quinn criter. 9.870638
F-statistic 4.257030 Durbin-Watson stat 2.043415
Prob(F-statistic) 0.015160




18. Phillips Perrons level none


Null Hypothesis: KURS has a unit root
Exogenous: None
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -0.623621 0.4465
Test critical values: 1% level -2.573751
5% level -1.942031
10% level -1.615897


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1125.138
HAC corrected variance (Bartlett kernel) 835.6850




Phillips-Perron Test Equation
Dependent Variable: D(KURS)
Method: Least Squares
Date: 04/01/14 Time: 14:04
Sample (adjusted): 1/05/2010 1/07/2011
Included observations: 264 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


KURS(-1) -0.000124 0.000228 -0.545170 0.5861


R-squared 0.000145 Mean dependent var -1.053030
Adjusted R-squared 0.000145 S.D. dependent var 33.60921
S.E. of regression 33.60678 Akaike info criterion 9.871113
Sum squared resid 297036.3 Schwarz criterion 9.884659
Log likelihood -1301.987 Hannan-Quinn criter. 9.876556
Durbin-Watson stat 2.107369



19. Phillips Perrons 1
st
difference intercept


Null Hypothesis: D(KURS) has a unit root
Exogenous: Constant
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -17.28162 0.0000
Test critical values: 1% level -3.455096
5% level -2.872328
10% level -2.572592


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1124.553
HAC corrected variance (Bartlett kernel) 897.5815




Phillips-Perron Test Equation
Dependent Variable: D(KURS,2)
Method: Least Squares
Date: 04/01/14 Time: 14:05
Sample (adjusted): 1/06/2010 1/07/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1)) -1.054469 0.061764 -17.07248 0.0000
C -1.029510 2.076700 -0.495743 0.6205


R-squared 0.527576 Mean dependent var 0.057034
Adjusted R-squared 0.525766 S.D. dependent var 48.88224
S.E. of regression 33.66260 Akaike info criterion 9.878227
Sum squared resid 295757.5 Schwarz criterion 9.905392
Log likelihood -1296.987 Hannan-Quinn criter. 9.889144
F-statistic 291.4695 Durbin-Watson stat 2.023088
Prob(F-statistic) 0.000000




20. Phillips Perrons 1
st
difference trend intercept


Null Hypothesis: D(KURS) has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -17.21098 0.0000
Test critical values: 1% level -3.993335
5% level -3.427004
10% level -3.136780


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1122.600
HAC corrected variance (Bartlett kernel) 941.9108




Phillips-Perron Test Equation
Dependent Variable: D(KURS,2)
Method: Least Squares
Date: 04/01/14 Time: 14:05
Sample (adjusted): 1/06/2010 1/07/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1)) -1.056319 0.061890 -17.06761 0.0000
C -3.482348 4.197506 -0.829623 0.4075
@TREND(1/04/201
0) 0.018428 0.027396 0.672647 0.5018


R-squared 0.528396 Mean dependent var 0.057034
Adjusted R-squared 0.524769 S.D. dependent var 48.88224
S.E. of regression 33.69796 Akaike info criterion 9.884093
Sum squared resid 295243.7 Schwarz criterion 9.924840
Log likelihood -1296.758 Hannan-Quinn criter. 9.900468
F-statistic 145.6552 Durbin-Watson stat 2.023701
Prob(F-statistic) 0.000000




21. Phillips Perrons 1
st
difference none


Null Hypothesis: D(KURS) has a unit root
Exogenous: None
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -17.29863 0.0000
Test critical values: 1% level -2.573784
5% level -1.942035
10% level -1.615894


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1125.612
HAC corrected variance (Bartlett kernel) 900.0192




Phillips-Perron Test Equation
Dependent Variable: D(KURS,2)
Method: Least Squares
Date: 04/01/14 Time: 14:06
Sample (adjusted): 1/06/2010 1/07/2011
Included observations: 263 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1)) -1.053531 0.061646 -17.08992 0.0000


R-squared 0.527131 Mean dependent var 0.057034
Adjusted R-squared 0.527131 S.D. dependent var 48.88224
S.E. of regression 33.61411 Akaike info criterion 9.871564
Sum squared resid 296036.0 Schwarz criterion 9.885146
Log likelihood -1297.111 Hannan-Quinn criter. 9.877022
Durbin-Watson stat 2.022662




22. Phillips Perrons 2nd difference intercept

Null Hypothesis: D(KURS,2) has a unit root
Exogenous: Constant
Bandwidth: 10 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -55.32601 0.0001
Test critical values: 1% level -3.455193
5% level -2.872370
10% level -2.572615


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1953.363
HAC corrected variance (Bartlett kernel) 229.8576




Phillips-Perron Test Equation
Dependent Variable: D(KURS,3)
Method: Least Squares
Date: 04/01/14 Time: 14:06
Sample (adjusted): 1/07/2010 1/07/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1),2) -1.426339 0.056077 -25.43556 0.0000
C -0.016954 2.740973 -0.006185 0.9951


R-squared 0.713330 Mean dependent var -0.049618
Adjusted R-squared 0.712228 S.D. dependent var 82.70486
S.E. of regression 44.36652 Akaike info criterion 10.43045
Sum squared resid 511781.0 Schwarz criterion 10.45769
Log likelihood -1364.389 Hannan-Quinn criter. 10.44140
F-statistic 646.9675 Durbin-Watson stat 2.389681
Prob(F-statistic) 0.000000



23. Phillips Perrons 2nd difference trend intercept


Null Hypothesis: D(KURS,2) has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 10 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -55.20729 0.0001
Test critical values: 1% level -3.993471
5% level -3.427070
10% level -3.136819


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1953.344
HAC corrected variance (Bartlett kernel) 229.6358




Phillips-Perron Test Equation
Dependent Variable: D(KURS,3)
Method: Least Squares
Date: 04/01/14 Time: 14:07
Sample (adjusted): 1/07/2010 1/07/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1),2) -1.426352 0.056185 -25.38665 0.0000
C 0.221722 5.571378 0.039797 0.9683
@TREND(1/04/201
0) -0.001788 0.036311 -0.049237 0.9608


R-squared 0.713333 Mean dependent var -0.049618
Adjusted R-squared 0.711119 S.D. dependent var 82.70486
S.E. of regression 44.45188 Akaike info criterion 10.43808
Sum squared resid 511776.2 Schwarz criterion 10.47893
Log likelihood -1364.388 Hannan-Quinn criter. 10.45450
F-statistic 322.2438 Durbin-Watson stat 2.389690
Prob(F-statistic) 0.000000




24. Phillips Perrons 2nd difference none


Null Hypothesis: D(KURS,2) has a unit root
Exogenous: None
Bandwidth: 10 (Newey-West automatic) using Bartlett kernel


Adj. t-Stat Prob.*


Phillips-Perron test statistic -55.47047 0.0001
Test critical values: 1% level -2.573818
5% level -1.942040
10% level -1.615891


*MacKinnon (1996) one-sided p-values.



Residual variance (no correction) 1953.363
HAC corrected variance (Bartlett kernel) 229.8395




Phillips-Perron Test Equation
Dependent Variable: D(KURS,3)
Method: Least Squares
Date: 04/01/14 Time: 14:07
Sample (adjusted): 1/07/2010 1/07/2011
Included observations: 262 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.


D(KURS(-1),2) -1.426339 0.055969 -25.48443 0.0000


R-squared 0.713330 Mean dependent var -0.049618
Adjusted R-squared 0.713330 S.D. dependent var 82.70486
S.E. of regression 44.28145 Akaike info criterion 10.42282
Sum squared resid 511781.1 Schwarz criterion 10.43644
Log likelihood -1364.389 Hannan-Quinn criter. 10.42829
Durbin-Watson stat 2.389680