Nama : Magfirah Ayu Meilani

NIM : 15060053
UTS : Ekonometrik 2

1. Uji stasioneritas

RGDP
Null Hypothesis: D(RGDP) has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.181149 0.0000

Test critical values: 1% level -2.592129
5% level -1.944619
10% level -1.614288

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RGDP,2)
Method: Least Squares
Date: 10/11/17 Time: 08:19
Sample (adjusted): 2010M03 2017M04
Included observations: 86 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(RGDP(-1)) -0.479621 0.092570 -5.181149 0.0000

R-squared 0.239996 Mean dependent var 0.206977

Adjusted R-squared 0.239996 S.D. dependent var 42.04441
S.E. of regression 36.65355 Akaike info criterion 10.05246
Sum squared resid 114196.1 Schwarz criterion 10.08100
Log likelihood -431.2557 Hannan-Quinn criter. 10.06394
Durbin-Watson stat 2.192062

*stasioner pada diferens pertama probabilitasnya < alpha 0.05

PROFITS

Null Hypothesis: D(PROFITS) has a unit root

Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.827867 0.0000

Test critical values: 1% level -2.592129
5% level -1.944619
10% level -1.614288

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(PROFITS,2)
Method: Least Squares
Date: 10/11/17 Time: 08:22
Sample (adjusted): 2010M03 2017M04
Included observations: 86 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(PROFITS(-1)) -0.708427 0.103755 -6.827867 0.0000

R-squared 0.354200 Mean dependent var 0.011628

Adjusted R-squared 0.354200 S.D. dependent var 11.30669
S.E. of regression 9.086250 Akaike info criterion 7.262961
Sum squared resid 7017.594 Schwarz criterion 7.291500
Log likelihood -311.3073 Hannan-Quinn criter. 7.274447
Durbin-Watson stat 2.005202

* stasioner pada diferens pertama probabilitasnya < alpha 0.05

PDI

Null Hypothesis: D(PDI) has a unit root

Exogenous: None
Lag Length: 2 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.928791 0.0038

Test critical values: 1% level -2.592782
5% level -1.944713
10% level -1.614233

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PDI,2)
Method: Least Squares
Date: 10/11/17 Time: 08:26
Sample (adjusted): 2010M05 2017M04
Included observations: 84 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(PDI(-1)) -0.412269 0.140764 -2.928791 0.0044

D(PDI(-1),2) -0.452361 0.132727 -3.408212 0.0010
D(PDI(-2),2) -0.306709 0.105248 -2.914156 0.0046

R-squared 0.458505 Mean dependent var 0.091667

Adjusted R-squared 0.445135 S.D. dependent var 41.06128
S.E. of regression 30.58625 Akaike info criterion 9.714039
Sum squared resid 75777.01 Schwarz criterion 9.800854
Log likelihood -404.9896 Hannan-Quinn criter. 9.748938
Durbin-Watson stat 2.081413

* stasioner pada diferens pertama probabilitasnya < alpha 0.05

PCE

Null Hypothesis: D(PCE) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.615082 0.0000

Test critical values: 1% level -3.508326
5% level -2.895512
10% level -2.584952

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PCE,2)
Method: Least Squares
Date: 10/11/17 Time: 08:30
Sample (adjusted): 2010M03 2017M04
Included observations: 86 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(PCE(-1)) -0.820193 0.107706 -7.615082 0.0000

C 13.94370 2.689600 5.184300 0.0000

R-squared 0.408407 Mean dependent var -0.082558

Adjusted R-squared 0.401364 S.D. dependent var 23.49141
S.E. of regression 18.17567 Akaike info criterion 8.661026
Sum squared resid 27749.83 Schwarz criterion 8.718104
Log likelihood -370.4241 Hannan-Quinn criter. 8.683997
F-statistic 57.98948 Durbin-Watson stat 2.046675
Prob(F-statistic) 0.000000

* stasioner pada diferens pertama intercep probabilitasnya < alpha 0.05

PCE

Null Hypothesis: D(PCE) has a unit root

Exogenous: None
Lag Length: 2 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.889670 0.0565

Test critical values: 1% level -2.592782
5% level -1.944713
10% level -1.614233

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PCE,2)
Method: Least Squares
Date: 10/11/17 Time: 08:28
Sample (adjusted): 2010M05 2017M04
Included observations: 84 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(PCE(-1)) -0.179697 0.095095 -1.889670 0.0624

D(PCE(-1),2) -0.588242 0.117987 -4.985642 0.0000
D(PCE(-2),2) -0.345845 0.104253 -3.317366 0.0014

R-squared 0.403314 Mean dependent var 0.040476

Adjusted R-squared 0.388581 S.D. dependent var 23.63754
S.E. of regression 18.48297 Akaike info criterion 8.706638
Sum squared resid 27671.24 Schwarz criterion 8.793453
Log likelihood -362.6788 Hannan-Quinn criter. 8.741537
Durbin-Watson stat 2.033184

* stasioner pada diferens pertama none probabilitasnya besar sama alpha 0.05

2. Uji Kointegrasi dan keseimbangan jangka panjang

Dependent Variable: RGDP

Method: Least Squares
Date: 10/11/17 Time: 08:36
Sample: 2010M01 2017M04
Included observations: 88

Variable Coefficient Std. Error t-Statistic Prob.

C 719.1150 99.80033 7.205537 0.0000

PDI** 0.093420 0.097583 0.957338 0.3412
PCE 1.034736 0.115617 8.949684 0.0000
PROFITS 1.203594 0.167811 7.172320 0.0000
DIVIDENDS** 1.470364 0.624605 2.354069 0.0209

R-squared 0.997318 Mean dependent var 3865.606

Adjusted R-squared 0.997188 S.D. dependent var 630.0349
S.E. of regression 33.40692 Akaike info criterion 9.910543
Sum squared resid 92629.83 Schwarz criterion 10.05130
Log likelihood -431.0639 Hannan-Quinn criter. 9.967251
F-statistic 7715.238 Durbin-Watson stat 0.478483
Prob(F-statistic) 0.000000

Null Hypothesis: E has a unit root

Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.437715 0.0008

Test critical values: 1% level -2.591813
5% level -1.944574
10% level -1.614315

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(E)
Method: Least Squares
Date: 10/11/17 Time: 08:54
Sample (adjusted): 2010M02 2017M04
Included observations: 87 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

E(-1) -0.240433 0.069940 -3.437715 0.0009

R-squared 0.120765 Mean dependent var -0.170038

Adjusted R-squared 0.120765 S.D. dependent var 22.70112
S.E. of regression 21.28628 Akaike info criterion 8.965430
Sum squared resid 38967.09 Schwarz criterion 8.993774
Log likelihood -388.9962 Hannan-Quinn criter. 8.976843
Durbin-Watson stat 1.939328

Pada uji kointegrasi variable PCE dan Profits memiliki probablitas sama dengan nol berarti
tidak signifikan dan tidak berkointegrasi Sedangkan PDI dan dividends probabilias tidak
sama dengan nol menunjukkan signifikan dan berkointegrasi. Nila residual lalu di uji root test
menghasilkan stasioner pada tingkat level karna probabilitasnya < alpha 0.05 berarti
signifikan. Model tersebut mengindifikasi adanya kointegrasi.

3. Estimasi ECM

Dependent Variable: D(RGDP)

Method: Least Squares
Date: 10/11/17 Time: 08:49
Sample (adjusted): 2010M02 2017M04
Included observations: 87 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.454783 3.473569 0.130927 0.8962

D(PDI) 0.300528 0.088130 3.410059 0.0010
D(PCE) 0.714707 0.146725 4.871065 0.0000
D(PROFITS) 1.313546 0.272205 4.825577 0.0000
D(DIVIDENDS) 2.152857 1.294911 1.662552 0.1003
E(-1) -0.256852 0.073054 -3.515948 0.0007

R-squared 0.681114 Mean dependent var 22.93333

Adjusted R-squared 0.661430 S.D. dependent var 35.93448
S.E. of regression 20.90912 Akaike info criterion 8.984720
Sum squared resid 35412.48 Schwarz criterion 9.154782
Log likelihood -384.8353 Hannan-Quinn criter. 9.053198
F-statistic 34.60188 Durbin-Watson stat 1.945987
Prob(F-statistic) 0.000000
Hasil estimasi menunjukkan probabilitas (f-statistik) dan residual (ECM) kecil dari alpha 0.05
berarti signifikan. Hal ini menunjukkan data terjadi gangguan jk. Pendek atau tidak terjadi
keseimbangan jk. Pendek dalam model ini.

4. Penjelasan

Seluruh variabel RGDP, PDI, PCE, PROFITS dan DIVIDENDS semuanya sudah stasioner
tingkat diferens pertama. Sehingga dapat diuji kedalam kointegrasi dan melihat jangka
panjang. Pada uji kointegrasi variable PCE dan Profits memiliki probablitas sama dengan nol
berarti tidak signifikan dan tidak berkointegrasi. Sedangkan PDI dan dividends probabilias
tidak sama dengan nol menunjukkan signifikan danberkointegrasi. Nilai. residual lalu di uji
root test menghasilkan stasioner pada tingkat level karna probabilitasnya < alpha 0.05 berarti
signifikan. Model tersebut mengindifikasi adanya kointegrasi. Hasil estimasi pada ecm
menunjukkan probabilitas (f-statistik) dan residual (ECM) kecil dari alpha 0.05 berarti
signifikan. Hal ini menunjukkan data terjadi gangguan jk. Pendek atau tidak terjadi
keseimbangan jk. Pendek dalam model ini.