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Tahapan Forecasting
Tahapan Forecasting
Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=13)
t-Statistic
Prob.*
0.946660
-3.466580
-2.877363
-2.575284
0.9959
Coefficient
Std. Error
t-Statistic
Prob.
IHK(-1)
D(IHK(-1))
D(IHK(-2))
C
0.001756
0.300755
-0.215184
0.275155
0.001855
0.073403
0.073485
0.146388
0.946660
4.097327
-2.928291
1.879628
0.3451
0.0001
0.0039
0.0618
R-squared
Adjusted R-squared
0.109594
0.094503
0.445974
0.604407
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.575139
58.54895
-154.6865
7.261924
0.000127
1.753442
1.824127
1.782099
2.007632
t-Statistic
Prob.*
-10.11466
-3.466580
-2.877363
-2.575284
0.0000
Coefficient
Std. Error
t-Statistic
Prob.
D(IHK(-1))
D(IHK(-1),2)
C
-0.901845
0.208136
0.402328
0.089162
0.073085
0.058144
-10.11466
2.847860
6.919447
0.0000
0.0049
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.402247
0.395530
0.574971
58.84539
-155.1436
59.89088
0.000000
0.003329
0.739535
1.747443
1.800456
1.768936
2.004924
Januari2000
Juli2000
Januari2001
Juli2001
Januari2002
Juli2002
Januari2003
Juli2003
Januari2004
Juli2004
Januari2005
Juli2005
Januari2006
Juli2006
Januari2007
Juli2007
Januari2008
Juli2008
Januari2009
Juli2009
Januari2010
Juli2010
Januari2011
Juli2011
Januari2012
Juli2012
Januari2013
Juli2013
Januari2014
Juli2014
Januari2015
D(IHK)
-1
Partial Correlation
1
2
3
4
5
6
7
8
9
1...
1...
1...
1...
1...
1...
1...
1...
1...
1...
2...
2...
2...
2...
2...
2...
2...
2...
2...
2...
3...
3...
3...
3...
3...
3...
3...
AC
PAC
Q-Stat
Prob
0.256
-0.13...
-0.09...
-0.03...
0.058
0.080
0.039
-0.17...
-0.13...
-0.04...
0.110
0.131
-0.05...
-0.09...
-0.10...
0.020
0.099
-0.00...
-0.08...
-0.14...
-0.07...
-0.02...
0.103
0.090
-0.00...
0.006
-0.05...
-0.04...
0.032
0.071
0.056
0.060
-0.03...
-0.00...
0.150
0.108
0.256
-0.20...
-0.00...
-0.03...
0.064
0.036
0.023
-0.18...
-0.01...
-0.06...
0.117
0.035
-0.07...
-0.01...
-0.06...
0.032
0.031
-0.07...
-0.02...
-0.08...
-0.02...
-0.05...
0.063
0.026
0.038
0.039
-0.06...
-0.08...
0.021
0.028
0.079
0.096
-0.06...
0.052
0.111
0.022
12.197
15.335
17.189
17.431
18.076
19.287
19.575
25.229
28.702
29.159
31.538
34.932
35.483
37.145
39.177
39.261
41.248
41.248
42.583
46.941
48.050
48.152
50.398
52.121
52.121
52.130
52.710
53.154
53.374
54.494
55.199
56.017
56.251
56.260
61.395
64.074
0.000
0.000
0.001
0.002
0.003
0.004
0.007
0.001
0.001
0.001
0.001
0.000
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.002
0.002
0.003
0.004
0.004
0.005
0.005
0.007
0.010
0.004
0.003
NO
MODEL
C
1
2
3
(0,1,1)
(0,1,8)
(0,1,20)
0.0000
0.0000
0.0000
P VALUE
AR
-
R2-adj
AIC
SBC
0.088039
0.027621
0.029022
1.746888
1.811038
1.809596
1.781965
1.846114
1.844672
MA
0.0000
0.0175
0.0032
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
(0,1,35)
(1,1,0)
(1,1,1)
(1,1,8)
(1,1,20)
(1,1,35)
(2,1,0)
(2,1,1)
(2,1,8)
(2,1,20)
(2,1,35)
(8,1,0)
(8,1,1)
(8,1,8)
(8,1,20)
(8,1,20)
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0005
0.1457
0.0006
0.0014
0.0009
0.0808
0.1329
0.0676
0.0400
0.0716
0.0144
0.0133
0.6635
0.0258
0.0441
0.0015
0.0002
0.0215
0.0168
0.0060
0.0001
0.0167
0.0011
0.0017
0.0000
0.8849
0.0071
0.0233
0.034086
0.060550
0.089027
0.085112
0.078057
0.086717
0.011444
0.091476
0.039597
0.045893
0.044510
0.028531
0.112253
0.023101
0.052533
0.046814
MODEL ARIMA(0,1,1)
Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:14
Sample (adjusted): 2 184
Included observations: 183 after adjustments
Convergence achieved after 6 iterations
MA Backcast: 1
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
MA(1)
0.440133
0.352737
0.057577
0.069553
7.644210
5.071504
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.093050
0.088039
0.576414
60.13786
-157.8403
18.57004
0.000027
Inverted MA Roots
-.35
0.440304
0.603596
1.746888
1.781965
1.761107
2.060439
1.804367
1.779559
1.754196
1.758485
1.766166
1.756728
1.830340
1.751363
1.806894
1.800317
1.801767
1.840690
1.756199
1.851895
1.821304
1.827321
1.839443
1.814768
1.807009
1.811298
1.818980
1.809542
1.865683
1.804377
1.859908
1.853331
1.854780
1.876859
1.810452
1.906149
1.875558
1.881575
Coefficient
Std. Error
t-Statistic
Prob.
C
MA(8)
0.441022
-0.188967
0.036092
0.078769
12.21954
-2.398993
0.0000
0.0175
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots
0.032963
0.027621
0.595202
64.12208
-163.7099
6.169770
0.013904
.81
-.00+.81i
.57-.57i
-.57+.57i
.57-.57i
-.57-.57i
0.440304
0.603596
1.811038
1.846114
1.825256
1.489084
.00-.81i
-.81
Coefficient
Std. Error
t-Statistic
Prob.
C
MA(20)
0.443015
-0.236829
0.034877
0.079202
12.70228
-2.990203
0.0000
0.0032
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots
0.034357
0.029022
0.594773
64.02968
-163.5780
6.439881
0.012002
.93
.75+.55i
.29-.88i
-.29-.88i
-.75+.55i
.88+.29i
.55-.75i
.00-.93i
-.55+.75i
-.88-.29i
.88-.29i
.55+.75i
-.00+.93i
-.55-.75i
-.88+.29i
0.440304
0.603596
1.809596
1.844672
1.823814
1.532866
.75-.55i
.29+.88i
-.29+.88i
-.75-.55i
-.93
MA Backcast: -33 1
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
MA(35)
0.446413
0.274028
0.054154
0.084995
8.243416
3.224066
0.0000
0.0015
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots
0.039393
0.034086
0.593220
63.69576
-163.0996
7.422520
0.007073
.96-.09i
.87+.42i
.67+.70i
.38-.89i
.04-.96i
-.30+.92i
-.60+.75i
-.83-.49i
-.95+.17i
.96+.09i
.87-.42i
.67-.70i
.38+.89i
.04+.96i
-.30-.92i
-.60-.75i
-.83+.49i
-.95-.17i
.93+.26i
.78-.57i
.53-.80i
.21-.94i
-.13+.95i
-.46-.85i
-.73+.63i
-.90+.34i
-.96
0.440304
0.603596
1.804367
1.839443
1.818585
1.512324
.93-.26i
.78+.57i
.53+.80i
.21+.94i
-.13-.95i
-.46+.85i
-.73-.63i
-.90-.34i
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(1)
0.443338
0.256067
0.058378
0.071951
7.594214
3.558931
0.0000
0.0005
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.065741
0.060550
0.585890
61.78810
-159.9399
12.66599
0.000476
Inverted AR Roots
.26
0.442575
0.604476
1.779559
1.814768
1.793832
1.895399
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(1)
MA(1)
0.442280
-0.276112
0.596022
0.053430
0.188956
0.158096
8.277673
-1.461255
3.769999
0.0000
0.1457
0.0002
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.099093
0.089027
0.576942
59.58231
-156.6319
9.844330
0.000088
Inverted AR Roots
Inverted MA Roots
-.28
-.60
0.442575
0.604476
1.754196
1.807009
1.775606
2.006245
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(1)
MA(8)
0.443371
0.253771
-0.184229
0.047368
0.072325
0.079441
9.360177
3.508763
-2.319066
0.0000
0.0006
0.0215
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
0.095221
0.085112
0.578181
59.83840
-157.0221
9.419166
0.000129
.25
.81
-.00-.81i
.57-.57i
-.57-.57i
.57-.57i
-.57+.57i
0.442575
0.604476
1.758485
1.811298
1.779895
1.893911
.00+.81i
-.81
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(1)
MA(20)
0.445416
0.236813
-0.195403
0.046727
0.072788
0.080934
9.532275
3.253478
-2.414359
0.0000
0.0014
0.0168
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
0.088244
0.078057
0.580405
60.29981
-157.7211
8.662254
0.000257
.24
.92
.75+.54i
.28-.88i
-.28-.88i
-.75+.54i
.88+.28i
.54+.75i
.00-.92i
-.54+.75i
-.88-.28i
.88-.28i
.54-.75i
-.00+.92i
-.54-.75i
-.88+.28i
0.442575
0.604476
1.766166
1.818980
1.787576
1.900227
.75-.54i
.28+.88i
-.28+.88i
-.75-.54i
-.92
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(1)
MA(35)
0.448972
0.244748
0.241113
0.068302
0.072430
0.086678
6.573335
3.379099
2.781699
0.0000
0.0009
0.0060
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
0.096809
0.086717
0.577673
59.73339
-156.8623
9.593076
0.000110
.24
.96+.09i
.87-.42i
.66-.69i
.38+.88i
.04-.96i
-.30+.91i
-.60+.75i
-.82+.49i
-.94+.17i
.96-.09i
.87+.42i
.66+.69i
.38-.88i
.04+.96i
-.30-.91i
-.60-.75i
-.82-.49i
-.94-.17i
.93+.26i
.78+.56i
.53+.80i
.21-.94i
-.13-.95i
-.45+.85i
-.72-.63i
-.90-.34i
-.96
0.442575
0.604476
1.756728
1.809542
1.778138
1.899845
.93-.26i
.78-.56i
.53-.80i
.21+.94i
-.13+.95i
-.45-.85i
-.72+.63i
-.90+.34i
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(2)
0.445482
-0.129650
0.039542
0.073831
11.26614
-1.756044
0.0000
0.0808
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.016936
0.011444
0.600939
64.64175
-163.6458
3.083692
0.080791
0.445974
0.604407
1.830340
1.865683
1.844669
1.436149
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(2)
MA(1)
0.445245
-0.116598
0.306814
0.050065
0.077242
0.074229
8.893371
-1.509516
4.133324
0.0000
0.1329
0.0001
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.101570
0.091476
0.576100
59.07656
-155.4984
10.06174
0.000072
Inverted MA Roots
-.31
0.445974
0.604407
1.751363
1.804377
1.772856
1.998704
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(2)
MA(8)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots
0.444868
-0.136062
-0.191271
0.050269
0.039597
0.592319
62.44993
-160.5239
4.710699
0.010150
.81
-.00-.81i
0.031714
0.074002
0.079160
14.02744
-1.838622
-2.416268
.58-.58i
-.58-.58i
.58-.58i
-.58+.58i
0.0000
0.0676
0.0167
0.445974
0.604407
1.806894
1.859908
1.828387
1.430844
.00+.81i
-.81
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(2)
MA(20)
0.446698
-0.153313
-0.261239
0.029414
0.074106
0.078928
15.18662
-2.068844
-3.309821
0.0000
0.0400
0.0011
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots
0.056494
0.045893
0.590375
62.04054
-159.9287
5.329070
0.005653
.94
.76-.55i
.29-.89i
-.29-.89i
-.76-.55i
.89+.29i
.55+.76i
.00-.94i
-.55+.76i
-.89-.29i
.89-.29i
.55-.76i
-.00+.94i
-.55-.76i
-.89+.29i
0.445974
0.604407
1.800317
1.853331
1.821810
1.473998
.76+.55i
.29+.89i
-.29+.89i
-.76+.55i
-.94
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(2)
MA(35)
0.451545
-0.134216
0.270191
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots
0.055126
0.044510
0.590803
62.13052
-160.0599
5.192462
0.006431
.96+.09i
.87+.42i
.67+.70i
.38+.89i
.04-.96i
-.30+.92i
-.60+.75i
-.83-.49i
-.95+.17i
0.047683
0.074058
0.084907
9.469629
-1.812294
3.182177
.96-.09i
.87-.42i
.67-.70i
.38-.89i
.04+.96i
-.30-.92i
-.60-.75i
-.83+.49i
-.95-.17i
.93+.26i
.78-.57i
.53-.80i
.21+.94i
-.13-.95i
-.46+.85i
-.73+.63i
-.90+.34i
-.96
0.0000
0.0716
0.0017
0.445974
0.604407
1.801767
1.854780
1.823259
1.459996
.93-.26i
.78+.57i
.53+.80i
.21-.94i
-.13+.95i
-.46-.85i
-.73-.63i
-.90-.34i
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(8)
0.449406
-0.197006
0.038162
0.079699
11.77628
-2.471876
0.0000
0.0144
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
0.034114
0.028531
0.603943
63.10130
-159.0603
6.110171
0.014408
.75-.31i
-.31+.75i
.75+.31i
-.31-.75i
.31+.75i
-.75-.31i
0.453234
0.612748
1.840690
1.876859
1.855361
1.501390
.31-.75i
-.75+.31i
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(8)
MA(1)
0.449349
-0.199982
0.357684
0.049339
0.079945
0.071415
9.107362
-2.501502
5.008537
0.0000
0.0133
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
0.122457
0.112253
0.577333
57.32988
-150.6674
12.00085
0.000013
.76-.31i
-.31+.76i
-.36
.76+.31i
-.31-.76i
.31+.76i
-.76-.31i
0.453234
0.612748
1.756199
1.810452
1.778206
2.076123
.31-.76i
-.76+.31i
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(8)
MA(8)
0.449923
-0.149002
-0.050347
0.038038
0.341902
0.347197
11.82829
-0.435804
-0.145010
0.0000
0.6635
0.8849
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
0.034329
0.023101
0.605629
63.08723
-159.0408
3.057280
0.049579
.73+.30i
-.30+.73i
.69
-.00-.69i
.73-.30i
-.30-.73i
.49+.49i
-.49+.49i
.30-.73i
-.73-.30i
.49-.49i
-.49-.49i
0.453234
0.612748
1.851895
1.906149
1.873902
1.501573
.30+.73i
-.73+.30i
-.00+.69i
-.69
MA Backcast: -10 9
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(8)
MA(20)
0.449695
-0.182620
-0.225355
0.030698
0.081193
0.082663
14.64908
-2.249222
-2.726183
0.0000
0.0258
0.0071
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
0.063423
0.052533
0.596436
61.18654
-156.3641
5.823738
0.003571
.75+.31i
-.31-.75i
.93
.75-.55i
.29+.88i
-.29+.88i
-.75-.55i
.75-.31i
-.31+.75i
.88+.29i
.55-.75i
.00-.93i
-.55-.75i
-.88-.29i
.31-.75i
-.75-.31i
.88-.29i
.55+.75i
.00+.93i
-.55+.75i
-.88+.29i
0.453234
0.612748
1.821304
1.875558
1.843311
1.551204
.31+.75i
-.75+.31i
.75+.55i
.29-.88i
-.29-.88i
-.75+.55i
-.93
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(8)
MA(35)
0.452925
-0.163109
0.206931
0.045720
0.080420
0.090374
9.906475
-2.028209
2.289722
0.0000
0.0441
0.0233
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
0.057770
0.046814
0.598233
61.55583
-156.8906
5.272864
0.005991
.74+.31i
-.31+.74i
.95+.09i
.86-.41i
.66+.69i
.38-.88i
.04+.96i
-.30-.91i
-.60-.75i
-.82+.49i
-.94+.17i
.74-.31i
-.31-.74i
.95-.09i
.86+.41i
.66-.69i
.38+.88i
.04-.96i
-.30+.91i
-.60+.75i
-.82-.49i
-.94-.17i
.31-.74i
-.74-.31i
.92+.25i
.77+.56i
.53+.80i
.21-.93i
-.13-.95i
-.45+.84i
-.72+.63i
-.90-.34i
-.96
0.453234
0.612748
1.827321
1.881575
1.849328
1.505471
.31+.74i
-.74+.31i
.92-.25i
.77-.56i
.53-.80i
.21+.93i
-.13+.95i
-.45-.84i
-.72-.63i
-.90+.34i