Imron

5553190052
5C
Ekonometrika

PE

Null Hypothesis: PE__PERSEN_ has a unit root

Exogenous: Constant
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat   Prob.*

Phillips-Perron test statistic -3.475214  0.0162

Test critical values: 1% level -3.679322
5% level -2.967767
10% level -2.622989

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

INF

Null Hypothesis: INF__PERSEN_ has a unit root

Exogenous: Constant
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat   Prob.*

Phillips-Perron test statistic -4.177132  0.0029

Test critical values: 1% level -3.679322
5% level -2.967767
10% level -2.622989

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

INvestasi

Null Hypothesis: INVESTASI_T_RP_ has a unit root

Exogenous: Constant
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat   Prob.*

Phillips-Perron test statistic  6.346354  1.0000

Test critical values: 1% level -3.679322
5% level -2.967767
10% level -2.622989

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

KURS

Null Hypothesis: KURS_RUPIAH_US$_ has a unit root

Exogenous: Constant
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat   Prob.*

Phillips-Perron test statistic -5.364457  0.0001

Test critical values: 1% level -3.679322
5% level -2.967767
10% level -2.622989

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

FIRST DEFFERENCE

Null Hypothesis: D(PE__PERSEN_) has a unit root

Exogenous: Constant
Bandwidth: 22 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat   Prob.*

Phillips-Perron test statistic -11.07901  0.0000

Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121

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

Null Hypothesis: D(INF__PERSEN_) has a unit root

Exogenous: Constant
Bandwidth: 27 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat   Prob.*

Phillips-Perron test statistic -17.73531  0.0001
Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121

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

Null Hypothesis: D(INVESTASI_T_RP_) has a unit root

Exogenous: Constant
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat   Prob.*

Phillips-Perron test statistic -1.748267  0.3971

Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121

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

Null Hypothesis: D(KURS_RUPIAH_US$_) has a unit root

Exogenous: Constant
Bandwidth: 27 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat   Prob.*

Phillips-Perron test statistic -27.39017  0.0001

Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121

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

Dari hasil uji diatas dapat dilihat first deference

Pertumbuhan ekonomi (PE),inflasi, investasi, dan kurs diketahui bahwa data Data
diatas Stasioner karena (< 0,05) dengan menggunakan Uji pada Tingkat First
Difference Model ARDL layak digunakan
Output ARDL

ARDL Cointegrating And Long Run Form

Dependent Variable: PE__PERSEN_
Selected Model: ARDL(1, 3, 1, 2)
Date: 09/04/21 Time: 10:42
Sample: 1990 2020
Included observations: 27

Cointegrating Form

Variable Coefficient Std. Error t-Statistic Prob.   

676.72203 22885.7638
D(INF__PERSEN_) 9 0.029570 32 0.0000
D(INF__PERSEN_(-1)) 0.042804 0.028393 1.507545 0.1512
D(INF__PERSEN_(-2)) 0.040853 0.030933 1.320723 0.2052
D(INVESTASI_T_RP_) 0.000989 0.000284 3.486551 0.0030
D(KURS_RUPIAH_US$
_) -0.000001 0.000002 -0.325006 0.7494
D(KURS_RUPIAH_US$
_(-1)) 0.000003 0.000002 1.883444 0.0779
CointEq(-1) -2.500456 0.223037 -11.210941 0.0000

    Cointeq = PE__PERSEN_ - (270.6606*INF__PERSEN_ -0.0001

        *INVESTASI_T_RP_ -0.0000*KURS_RUPIAH_US$_ + 2.4894 )

Long Run Coefficients

Variable Coefficient Std. Error t-Statistic Prob.   

270.66055
INF__PERSEN_ 3 24.184478 11.191499 0.0000
INVESTASI_T_RP_ -0.000118 0.000020 -5.855454 0.0000
KURS_RUPIAH_US$_ -0.000003 0.000001 -2.155875 0.0467
C 2.489427 0.722800 3.444145 0.0033

Dari hasil estimasi jangka pendek dapat dilihat nilai ect/CointEq = -2.500456
dengan prob 0.0000 artinya terjadi kointegrasi dalam model tersebut. Nilai
betha cointEq yang negatif menunjukkan bahwa model akan menuju
keseimbangan dengan kecepatan 250% per tahun

Dari hasil estimasi jangka panjang menunjukkan bahwa Variabel inflasi,

investasi dan kurs berpengaruh negatif dagnifikan terhadap pertumbuhan
ekonomi dalam Jangka Panjang.

GRAPH
 Akaike Information Criteria (top 20 models)
3.90

3.89

3.88

3.87

3.86

3.85

3.84

3.83
ARDL(1, 3, 1, 2)
ARDL(2, 1, 1, 2)
ARDL(3, 0, 1, 2)
ARDL(1, 3, 2, 2)
ARDL(3, 1, 1, 2)
ARDL(2, 3, 1, 2)
ARDL(3, 1, 2, 2)
ARDL(3, 3, 1, 2)
ARDL(3, 0, 2, 2)
ARDL(1, 3, 1, 4)
ARDL(1, 2, 1, 2)
ARDL(2, 1, 2, 2)
ARDL(4, 0, 1, 2)
ARDL(1, 2, 1, 4)
ARDL(1, 2, 2, 2)
ARDL(3, 0, 1, 4)
ARDL(2, 3, 2, 2)
ARDL(4, 0, 2, 2)
ARDL(1, 3, 1, 3)
ARDL(1, 2, 1, 3)

LM TEST

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 0.775933     Prob. F(2,14) 0.4791

Obs*R-squared 2.694236     Prob. Chi-Square(2) 0.2600

hasil uji autokorelasi tersebut menunjukkan nilai prob chi sq = 0,2600> 0,05, sehingga dapat disimpulkan error
pada model tidak mengalami masalah serial korelasi.

CUSUM
12

-4

-8

-12
05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20

CUSUM 5% Significance

CUSUM SQUARE

1.6

1.2

0.8

0.4

0.0

-0.4
05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20

CUSUM of Squares 5% Significance

Dari hasil uji CUSUM dan CUSUMQ test dapat dilihat bahwa model dalam
keadaan stabil karena garis cusum sq masih berada diantara garis signifikan
5 persen (merah)
5BOUND

ARDL Bounds Test

Date: 09/04/21 Time: 11:00
Sample: 1993 2020
Included observations: 27
Null Hypothesis: No long-run relationships exist

Test Statistic Value k

F-statistic  7.894556 3

Critical Value Bounds

Significance I0 Bound I1 Bound

10% 2.72 3.77

5% 3.23 4.35
2.5% 3.69 4.89
1% 4.29 5.61

Test Equation:
Dependent Variable: D(PE__PERSEN_)
Method: Least Squares
Date: 09/04/21 Time: 11:00
Sample: 1993 2020
Included observations: 27

Variable Coefficient Std. Error t-Statistic Prob.  

D(INF__PERSEN_) -0.356054 0.029570 -12.04123 0.0000

D(INF__PERSEN_(-1)) 0.083657 0.040249 2.078500 0.0541
D(INF__PERSEN_(-2)) 0.040853 0.030933 1.320723 0.2052
D(INVESTASI_T_RP_) 0.000989 0.000284 3.486551 0.0030
D(KURS_RUPIAH_US$_) -5.26E-07 1.62E-06 -0.325006 0.7494
D(KURS_RUPIAH_US$_(-
1)) 3.05E-06 1.62E-06 1.883444 0.0779
C 6.224702 2.324191 2.678223 0.0165
INF__PERSEN_(-1) -0.303349 0.119240 -2.544017 0.0217
INVESTASI_T_RP_(-1) -0.000296 5.38E-05 -5.497207 0.0000
KURS_RUPIAH_US$_(-1) -7.48E-06 3.26E-06 -2.295262 0.0356
PE__PERSEN_(-1) -0.586720 0.223037 -2.630593 0.0182

R-squared 0.949192     Mean dependent var -0.349259

Adjusted R-squared 0.917437     S.D. dependent var 4.825243
S.E. of regression 1.386478     Akaike info criterion 3.782978
Sum squared resid 30.75716     Schwarz criterion 4.310911
Log likelihood -40.07020     Hannan-Quinn criter. 3.939960
F-statistic 29.89093     Durbin-Watson stat 2.244485
Prob(F-statistic) 0.000000
Nilai FstT berada diatas I (1) Bound => 7.894556 > 4,14. Sehingga dapat
disimpulkan bahwa variabel penelitian tidak memiliki kointgrasi dalam jangka
panjang