Pairwise Granger Causality Tests

Date: 04/25/19 Time: 13:55

Sample: 1965 2015
Lags: 2

Null Hypothesis: Obs F-Statistic Prob.

OILPRICE does not Granger Cause OILCONS 49 7.53213 0.0015

OILCONS does not Granger Cause OILPRICE 3.97540 0.0259

8
Series: Residuals
7 Sample 1965 2015
Observations 51
6

5
Mean -9.36e-13
Median -618.9618
4 Maximum 6201.532
Minimum -3995.381
3 Std. Dev. 2599.926
Skewness 0.634842
2 Kurtosis 2.470268
1
Jarque-Bera 4.022017
0 Probability 0.133854
-4000 -2000 0 2000 4000 6000
 Breusch-Godfrey Serial Correlation LM Test:

F-statistic 45.71468 Prob. F(2,47) 0.0000

Obs*R-squared 33.68431 Prob. Chi-Square(2) 0.0000

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/25/19 Time: 14:07
Sample: 1965 2015
Included observations: 51
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

OILCONS -0.000734 0.013482 -0.054420 0.9568

C 0.070928 931.0017 7.62E-05 0.9999
RESID(-1) 0.904450 0.160682 5.628824 0.0000
RESID(-2) -0.099171 0.161795 -0.612943 0.5429

R-squared 0.660477 Mean dependent var -9.36E-13

Adjusted R-squared 0.638805 S.D. dependent var 2599.926
S.E. of regression 1562.542 Akaike info criterion 17.62120
Sum squared resid 1.15E+08 Schwarz criterion 17.77272
Log likelihood -445.3406 Hannan-Quinn criter. 17.67910
F-statistic 30.47645 Durbin-Watson stat 1.842818
Prob(F-statistic) 0.000000

Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic 1.715340 Prob. F(1,49) 0.1964

Obs*R-squared 1.724968 Prob. Chi-Square(1) 0.1891
Scaled explained SS 1.170576 Prob. Chi-Square(1) 0.2793

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/25/19 Time: 14:13
Sample: 1965 2015
Included observations: 51

Variable Coefficient Std. Error t-Statistic Prob.

C 533356.1 4787591. 0.111404 0.9118

OILCONS 90.74763 69.28834 1.309710 0.1964

R-squared 0.033823 Mean dependent var 6627072.

Adjusted R-squared 0.014105 S.D. dependent var 8115590.
S.E. of regression 8058151. Akaike info criterion 34.68069
Sum squared resid 3.18E+15 Schwarz criterion 34.75645
Log likelihood -882.3577 Hannan-Quinn criter. 34.70964
F-statistic 1.715340 Durbin-Watson stat 0.685568
Prob(F-statistic) 0.196402

Uji Multi Koliniearitas

Variance Inflation Factors
Date: 04/25/19 Time: 14:15
Sample: 1965 2015
Included observations: 51

Coefficient Uncentered Centered

Variable Variance VIF VIF

OILCONS 0.000510 18.00252 1.000000

C 2434776. 18.00252 NA