Imron

Dependent Variable: PE
Method: ARDL
Date: 09/12/21 Time: 21:27
Sample (adjusted): 1993 2020
Included observations: 27 after adjustments
Maximum dependent lags: 2 (Automatic selection)
Model selection method: Akaike info criterion (AIC)
Dynamic regressors (2 lags, automatic): KURS_POS KURS_NEG
        INF_POS INF_NEG  
Fixed regressors: C
Number of models evalulated: 162
Selected Model: ARDL(1, 1, 0, 2, 0)

Variable Coefficient Std. Error t-Statistic Prob.*  

PE(-1) -0.166022 0.294267 -0.564188 0.5796

KURS_POS 1.35E-06 1.91E-06 0.703231 0.4909
KURS_POS(-1) -0.000785 0.000256 -3.064092 0.0067
KURS_NEG -0.000785 0.000256 -3.062280 0.0067
INF_POS -0.372299 0.034482 -10.79691 0.0000
INF_POS(-1) 0.571458 0.133879 4.268477 0.0005
INF_POS(-2) 0.267054 0.136266 1.959797 0.0657
INF_NEG 0.404689 0.195791 2.066939 0.0534
C 7.667907 2.249746 3.408344 0.0031

R-squared 0.902503     Mean dependent var 4.505593

Adjusted R-squared 0.859171     S.D. dependent var 4.092103
S.E. of regression 1.535649     Akaike info criterion 3.956985
Sum squared resid 42.44793     Schwarz criterion 4.388931
Log likelihood -44.41930     Hannan-Quinn criter. 4.085425
F-statistic 20.82770     Durbin-Watson stat 1.906771
Prob(F-statistic) 0.000000

*Note: p-values and any subsequent tests do not account for model
        selection.
 Akaike Information Criteria (top 20 models)
4.12

4.08

4.04

4.00

3.96

3.92
ARDL(1, 1, 0, 2, 0)
ARDL(1, 2, 0, 2, 0)
ARDL(1, 1, 1, 2, 0)
ARDL(2, 1, 0, 2, 0)
ARDL(1, 1, 0, 2, 1)
ARDL(2, 2, 0, 2, 0)
ARDL(2, 1, 1, 2, 0)
ARDL(1, 2, 0, 2, 1)
ARDL(1, 1, 1, 2, 1)
ARDL(1, 2, 1, 2, 0)
ARDL(1, 1, 2, 2, 0)
ARDL(1, 1, 0, 1, 0)
ARDL(1, 1, 0, 2, 2)
ARDL(2, 1, 0, 2, 1)
ARDL(1, 2, 0, 2, 2)
ARDL(1, 1, 1, 2, 2)
ARDL(1, 1, 1, 1, 0)
ARDL(1, 2, 0, 1, 0)
ARDL(2, 1, 0, 1, 1)
Diperoleh lag optium dari (1,1,0,2,0) untuk berturut turut untuk variabel pe, inf_pos, inf_neg, ARDL(2, 1, 0, 1, 0)

Kurs_pos, kurs_neg.

Dependent Variable: DPE

Method: Least Squares
Date: 09/12/21 Time: 21:33
Sample (adjusted): 1992 2020
Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

C -11.22091 5.020185 -2.235160 0.0364

PE(-1) 1.004791 0.612203 1.641270 0.1156
INF_POS(-1) 0.710769 0.241476 2.943434 0.0078
INF_NEG(-1) 0.620521 0.216697 2.863540 0.0093
KURS_POS(-1) 2.42E-06 5.86E-06 0.412940 0.6838
KURS_NEG(-1) -5.27E-07 4.33E-06 -0.121740 0.9043
KURS_POS -4.60E-06 4.83E-06 -0.953210 0.3513

-
R-squared 0.528864     Mean dependent var 0.348571
Adjusted R-squared 0.394253     S.D. dependent var 4.735045
S.E. of regression 3.685273     Akaike info criterion 5.658884
Sum squared resid 285.2059     Schwarz criterion 5.991935
Log likelihood -72.22438     Hannan-Quinn criter. 5.760701
F-statistic 3.928848     Durbin-Watson stat 1.713045
Prob(F-statistic) 0.008669
15

10

-5

-10

-15
2004 2006 2008 2010 2012 2014 2016 2018 2020

CUSUM 5% Significance

1.6

1.2

0.8

0.4

0.0

-0.4
2004 2006 2008 2010 2012 2014 2016 2018 2020

CUSUM of Squares 5% Significance

Wald Test:
Equation: Untitled

Test Statistic Value df Probability

F-statistic  4.682763 (5, 21)  0.0050

Chi-square  23.41381  5  0.0003
 Null Hypothesis: C(2) = C(3) = C(4) = C(5) = C(6) = 0
Null Hypothesis Summary:

Normalized Restriction (= 0) Value Std. Err.

C(2)  1.004791  0.612203

C(3)  0.710769  0.241476
C(4)  0.620521  0.216697
C(5)  2.42E-06  5.86E-06
C(6) -5.27E-07  4.33E-06

Restrictions are linear in coefficients.

20
Series: Residuals
Sample 1992 2020
16 Observations 28

Mean 7.64e-15
12 Median 0.462766
Maximum 4.107918
Minimum -12.03655
8 Std. Dev. 3.250105
Skewness -1.940411
Kurtosis 7.893792
4
Jarque-Bera 45.51164
Probability 0.000000
0
-12.5 -10.0 -7.5 -5.0 -2.5 0.0 2.5 5.0

Wald Test:
Equation: Untitled

Test Statistic Value df Probability

t-statistic -3.286164  21  0.0035

F-statistic  10.79887 (1, 21)  0.0035
Chi-square  10.79887  1  0.0010

Null Hypothesis: -C(3)/C(2)=0

Null Hypothesis Summary:

Normalized Restriction (= 0) Value Std. Err.

-C(3) / C(2) -0.707380  0.215260

Delta method computed using analytic derivatives.

Nilai koefisien jangka panjang -0.707380

 Wald Test:
Equation: Untitled

Test Statistic Value df Probability

t-statistic -2.049075  21  0.0532

F-statistic  4.198706 (1, 21)  0.0532
Chi-square  4.198706  1  0.0405

Null Hypothesis: -C(3)/C(2) = -C(4)/C(2)

Null Hypothesis Summary:

Normalized Restriction (= 0) Value Std. Err.

-C(3)/C(2) + C(4)/C(2) -0.089817  0.043833

Delta method computed using analytic derivatives.

Nilai probabilitas 0.0532 >taraf nyata, maka dapat di simpulkan bahwa tidak terdapat efek
asimetris pada inf dan pe

Forecast Evaluation
Date: 09/12/21 Time: 21:58
Sample: 1990 2020
Included observations: 30
Evaluation sample: 1990 2020
Training sample: 1990 2020
Number of forecasts: 8

Combination tests
Null hypothesis: Forecast i includes all information contained in others

Forecast F-stat    F-prob 

PE NA NA
INF 50.57511 0.0000
KURS 0.057119 0.9446

Evaluation statistics

Forecast RMSE MAE MAPE Theil

PE  0.000000  0.000000  0.000000  0.000000

INF  13.82186  4.954633  139.0369  0.707634
KURS  167115.9  37974.13  656701.5  0.999955
Simple mean  55705.39  12659.46  218942.7  0.999865
Simple median  13.80146  4.601300  132.7886  0.701871
Least-squares  5.02E-15  2.38E-15  6.25E-14  4.07E-16
Mean square error  167115.9  37974.13  656701.5  0.999955
MSE ranks  27852.73  6330.438  109492.4  0.999731

*Trimmed mean could not be calculated due to insufficient data

 Forecast Comparison Graph
16,000

14,000

12,000

10,000

8,000

6,000

4,000

2,000

-2,000
10 11 12 13 14 15 16 17 18 19 20

PE (persen) PE (persen)
INF (Persen) KURS(rupiah/US$)
Simple mean Simple median
Least-squares Mean square error
MSE ranks