Nama : Erika Putri W.

R
NPM : 0119101190
Kelas : E – Akuntansi
Tugas 12 Analisis Data
ANALISIS PENGARUH NILAI TUKAR, JUMLAH UANG BEREDAR, DAN
PERTUMBUHAN EKONOMI TERHADAP INDEKS SAHAM GABUNGAN

Variabel Independen :

 Nilai Tukar (X1)

 Jumlah Uang Beredar (X2)
 Pertumbuhan Ekonomi (X3)

Variabel Dependen :

Indeks Saham Gabungan / IHSG (Y)

1. Pengujian Stasioneritas

7,000,000
6,000,000
5,000,000
4,000,000
3,000,000
2,000,000
1,000,000
0
-1,000,000
98 00 02 04 06 08 10 12 14 16 18

EXCHANGERATE MONEYSUPPLY
GDPGROWTH IHSG
  IHSG

IHSG
7,000

6,000

5,000

4,000

3,000

2,000

1,000

0
98 00 02 04 06 08 10 12 14 16 18
Berdasarkan gambar tersebut terlihat bahwa data IHSG memiliki intersep dan tren
Pengujian Unit Root

Null Hypothesis: IHSG has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.769052 0.2224

Test critical values: 1% level -4.467895
5% level -3.644963
10% level -3.261452

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(IHSG)
Method: Least Squares
Date: 11/29/21 Time: 19:05
Sample (adjusted): 1999 2019
Included observations: 21 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

IHSG(-1) -0.662189 0.239139 -2.769052 0.0131

D(IHSG(-1)) -0.104327 0.213148 -0.489461 0.6308
C -630.6393 375.6168 -1.678943 0.1114
@TREND("1997") 229.1674 77.75632 2.947250 0.0090

R-squared 0.422231 Mean dependent var 281.0238

Adjusted R-squared 0.320272 S.D. dependent var 628.2196
S.E. of regression 517.9394 Akaike info criterion 15.50724
Sum squared resid 4560441. Schwarz criterion 15.70619
Log likelihood -158.8260 Hannan-Quinn criter. 15.55042
F-statistic 4.141182 Durbin-Watson stat 2.174525
Prob(F-statistic) 0.022483

Hasil tersebut menunjukkan bahwa, IHSG sudah stasioner karena nilai Prob=0,02224<0,05 sehingga
tidak perlu dilakukan pengujian stasioneritas lagi.
  EXCHANGE RATE
EXCHANGERATE
16,000

14,000

12,000

10,000

8,000

6,000

4,000
98 00 02 04 06 08 10 12 14 16 18
Berdasarkan gambar tersebut terlihat bahwa data EXCHANGE RATE memiliki intersep dan tren
Pengujian Unit Root

Null Hypothesis: EXCHANGERATE has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.006728 0.1525

Test critical values: 1% level -4.440739
5% level -3.632896
10% level -3.254671

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(EXCHANGERATE)
Method: Least Squares
Date: 12/01/21 Time: 18:49
Sample (adjusted): 1998 2019
Included observations: 22 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

EXCHANGERATE(-1) -0.559744 0.186164 -3.006728 0.0073

C 4302.534 1288.940 3.338039 0.0035
@TREND("1997") 154.2561 68.37553 2.256014 0.0360

R-squared 0.332476 Mean dependent var 418.8500

Adjusted R-squared 0.262210 S.D. dependent var 1206.736
S.E. of regression 1036.523 Akaike info criterion 16.85125
Sum squared resid 20413204 Schwarz criterion 17.00003
Log likelihood -182.3638 Hannan-Quinn criter. 16.88630
F-statistic 4.731691 Durbin-Watson stat 1.698209
Prob(F-statistic) 0.021500

Hasil tersebut menunjukkan bahwa, EXCHANG RATE masih belum stasioner karena nilai
Prob=0,1525>0,05 sehingga perlu dilakukan pengujian stasioneritas lagi pada tingkat first
differance.
  MONEY SUPPLY
MONEYSUPPLY
7,000,000

6,000,000

5,000,000

4,000,000

3,000,000

2,000,000

1,000,000

0
98 00 02 04 06 08 10 12 14 16 18
Berdasarkan gambar tersebut terlihat bahwa data MONEY SUPPLY memiliki intersep dan tren
Pengujian Unit Root

Null Hypothesis: MONEYSUPPLY has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 9 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.211471 0.1251

Test critical values: 1% level -4.886426
5% level -3.828975
10% level -3.362984

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

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 13

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(MONEYSUPPLY)
Method: Least Squares
Date: 12/01/21 Time: 18:56
Sample (adjusted): 2007 2019
Included observations: 13 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

MONEYSUPPLY(-1) -2.461913 0.766600 -3.211471 0.1922

D(MONEYSUPPLY(-1)) 2.264878 0.988032 2.292314 0.2619
D(MONEYSUPPLY(-2)) 5.290660 1.796561 2.944882 0.2084
D(MONEYSUPPLY(-3)) 4.878890 2.568799 1.899288 0.3085
D(MONEYSUPPLY(-4)) 6.207971 3.682306 1.685892 0.3408
D(MONEYSUPPLY(-5)) 5.761302 2.518546 2.287551 0.2624
D(MONEYSUPPLY(-6)) 0.649349 2.133661 0.304335 0.8119
D(MONEYSUPPLY(-7)) -1.139300 1.627513 -0.700025 0.6112
D(MONEYSUPPLY(-8)) 2.678641 0.630391 4.249173 0.1471
D(MONEYSUPPLY(-9)) 1.140485 0.385542 2.958138 0.2075
C -531727.3 2121159. -0.250678 0.8436
@TREND("1997") 57738.85 249506.0 0.231413 0.8552

R-squared 0.991031 Mean dependent var 373521.1

Adjusted R-squared 0.892376 S.D. dependent var 282935.5
S.E. of regression 92820.07 Akaike info criterion 24.99592
Sum squared resid 8.62E+09 Schwarz criterion 25.51741
Log likelihood -150.4735 Hannan-Quinn criter. 24.88873
F-statistic 10.04539 Durbin-Watson stat 2.971140
Prob(F-statistic) 0.241722

Hasil tersebut menunjukkan bahwa, MONEY SUPPLY masih belum stasioner karena nilai
Prob=0,1251>0,05 sehingga perlu dilakukan pengujian stasioneritas lagi pada tingkat first
differance.
  GDPgrowth

GDPGROWTH
8

-4

-8

-12

-16
98 00 02 04 06 08 10 12 14 16 18
Berdasarkan gambar tersebut terlihat bahwa data GDPgrowth memiliki intersep dan tren
Pengujian Unit Root

Null Hypothesis: GDPGROWTH has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.339419 0.0123

Test critical values: 1% level -4.440739
5% level -3.632896
10% level -3.254671

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(GDPGROWTH)
Method: Least Squares
Date: 12/01/21 Time: 19:05
Sample (adjusted): 1998 2019
Included observations: 22 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

GDPGROWTH(-1) -0.979034 0.225614 -4.339419 0.0004

C 0.891042 1.682103 0.529719 0.6024
@TREND("1997") 0.283513 0.140353 2.019994 0.0577

R-squared 0.498117 Mean dependent var 0.032581

Adjusted R-squared 0.445287 S.D. dependent var 5.058914
S.E. of regression 3.767832 Akaike info criterion 5.617000
Sum squared resid 269.7346 Schwarz criterion 5.765779
Log likelihood -58.78700 Hannan-Quinn criter. 5.652048
F-statistic 9.428700 Durbin-Watson stat 0.813464
Prob(F-statistic) 0.001431

Hasil tersebut menunjukkan bahwa, GDPgrowth sudah stasioner karena nilai Prob=0,0123<0,05
sehingga tidak perlu dilakukan pengujian stasioneritas lagi.
 2. Pengujian Kointegrasi

 EXCHANGE RATE

Dependent Variable: IHSG

Method: Least Squares
Date: 11/30/21 Time: 00:26
Sample: 1997 2019
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

C -4544.310 1202.871 -3.777886 0.0011

EXCHANGERATE 0.713294 0.113940 6.260251 0.0000

R-squared 0.651109 Mean dependent var 2786.441

Adjusted R-squared 0.634495 S.D. dependent var 2181.960
S.E. of regression 1319.147 Akaike info criterion 17.29030
Sum squared resid 36543152 Schwarz criterion 17.38904
Log likelihood -196.8385 Hannan-Quinn criter. 17.31513
F-statistic 39.19074 Durbin-Watson stat 1.005236
Prob(F-statistic) 0.000003

Null Hypothesis: RESIDUAL has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.816107 0.0351

Test critical values: 1% level -4.440739
5% level -3.632896
10% level -3.254671

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESIDUAL)
Method: Least Squares
Date: 11/30/21 Time: 00:51
Sample (adjusted): 1998 2019
Included observations: 22 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESIDUAL(-1) -0.724916 0.189962 -3.816107 0.0012

C -1108.903 494.1630 -2.244002 0.0369
@TREND("1997") 91.32640 38.19033 2.391349 0.0273

R-squared 0.446858 Mean dependent var -30.68012

Adjusted R-squared 0.388633 S.D. dependent var 1322.223
S.E. of regression 1033.846 Akaike info criterion 16.84608
Sum squared resid 20307913 Schwarz criterion 16.99486
Log likelihood -182.3069 Hannan-Quinn criter. 16.88113
F-statistic 7.674626 Durbin-Watson stat 2.014390
Prob(F-statistic) 0.003605
Hasil tersebut menunjukkan bahwa, residual sudah stasioner karena nilai Prob=0,0351<0,05 sehingga
disimpulkan terdapat kointegrasi pada model yang digunakan.

 MONEY SUPPLY

Dependent Variable: IHSG

Method: Least Squares
Date: 12/01/21 Time: 20:03
Sample: 1997 2019
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

C 97.48584 189.2329 0.515163 0.6118

MONEYSUPPLY 0.001051 5.86E-05 17.92451 0.0000

R-squared 0.938648 Mean dependent var 2786.441

Adjusted R-squared 0.935727 S.D. dependent var 2181.960
S.E. of regression 553.1747 Akaike info criterion 15.55217
Sum squared resid 6426047. Schwarz criterion 15.65090
Log likelihood -176.8499 Hannan-Quinn criter. 15.57700
F-statistic 321.2881 Durbin-Watson stat 1.344902
Prob(F-statistic) 0.000000
Null Hypothesis: RESIDUAL has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 9 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.230007 0.9824

Test critical values: 1% level -4.886426
5% level -3.828975
10% level -3.362984

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

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 13

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESIDUAL)
Method: Least Squares
Date: 12/01/21 Time: 20:06
Sample (adjusted): 2007 2019
Included observations: 13 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESIDUAL(-1) -0.517203 2.248640 -0.230007 0.8561

D(RESIDUAL(-1)) -0.653126 2.241009 -0.291443 0.8195
D(RESIDUAL(-2)) -1.019555 2.244784 -0.454188 0.7286
D(RESIDUAL(-3)) -0.694528 2.185191 -0.317834 0.8041
D(RESIDUAL(-4)) -0.816796 2.056675 -0.397144 0.7593
D(RESIDUAL(-5)) -0.146954 1.667960 -0.088104 0.9441
D(RESIDUAL(-6)) -0.118071 1.268184 -0.093102 0.9409
D(RESIDUAL(-7)) 1.158131 0.866613 1.336388 0.4090
D(RESIDUAL(-8)) 1.043113 0.560461 1.861170 0.3139
D(RESIDUAL(-9)) 1.265321 0.484012 2.614235 0.2326
C 4430.734 3391.583 1.306391 0.4159
@TREND("1997") -285.3031 221.7328 -1.286698 0.4206

R-squared 0.958101 Mean dependent var -46.79067

Adjusted R-squared 0.497214 S.D. dependent var 810.0042
S.E. of regression 574.3527 Akaike info criterion 14.82557
Sum squared resid 329881.0 Schwarz criterion 15.34706
Log likelihood -84.36620 Hannan-Quinn criter. 14.71838
F-statistic 2.078821 Durbin-Watson stat 3.182279
Prob(F-statistic) 0.497666

Hasil tersebut menunjukkan bahwa, residual sudah stasioner karena nilai Prob=0,9824>0,05
sehingga disimpulkan tidak terdapat kointegrasi pada model yang digunakan.

 GDPgrowth
Dependent Variable: IHSG
Method: Least Squares
Date: 12/01/21 Time: 20:11
Sample: 1997 2019
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

C 2021.538 655.0069 3.086286 0.0056

GDPGROWTH 179.5693 113.8410 1.577369 0.1297

R-squared 0.105930 Mean dependent var 2786.441

Adjusted R-squared 0.063355 S.D. dependent var 2181.960
S.E. of regression 2111.710 Akaike info criterion 18.23133
Sum squared resid 93645722 Schwarz criterion 18.33006
Log likelihood -207.6602 Hannan-Quinn criter. 18.25616
F-statistic 2.488094 Durbin-Watson stat 0.270914
Prob(F-statistic) 0.129656
Null Hypothesis: RESIDUAL has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 9 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 0.760491 0.9988

Test critical values: 1% level -4.886426
5% level -3.828975
10% level -3.362984

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

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 13

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESIDUAL)
Method: Least Squares
Date: 12/01/21 Time: 20:13
Sample (adjusted): 2007 2019
Included observations: 13 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESIDUAL(-1) 1.564143 2.056754 0.760491 0.5861

D(RESIDUAL(-1)) -2.290909 1.732408 -1.322384 0.4122
D(RESIDUAL(-2)) -2.033106 1.344598 -1.512055 0.3720
D(RESIDUAL(-3)) -1.342826 0.983920 -1.364771 0.4026
D(RESIDUAL(-4)) -0.942943 0.660513 -1.427592 0.3890
D(RESIDUAL(-5)) -0.028960 0.351144 -0.082472 0.9476
D(RESIDUAL(-6)) 0.207105 0.306501 0.675708 0.6217
D(RESIDUAL(-7)) 1.168301 0.504295 2.316703 0.2594
D(RESIDUAL(-8)) 0.977809 0.405609 2.410720 0.2503
D(RESIDUAL(-9)) 0.660995 0.193582 3.414546 0.1814
C 14549.41 13760.01 1.057370 0.4823
@TREND("1997") -856.9624 890.2411 -0.962618 0.5121

R-squared 0.983515 Mean dependent var 346.8581

Adjusted R-squared 0.802177 S.D. dependent var 764.5726
S.E. of regression 340.0616 Akaike info criterion 13.77734
Sum squared resid 115641.9 Schwarz criterion 14.29883
Log likelihood -77.55268 Hannan-Quinn criter. 13.67015
F-statistic 5.423651 Durbin-Watson stat 3.215783
Prob(F-statistic) 0.324073

Hasil tersebut menunjukkan bahwa, residual sudah stasioner karena nilai Prob=0,9988>0,05
sehingga disimpulkan tidak terdapat kointegrasi pada model yang digunakan.
 3. Model Hubungan Jangka Pendek

 EXCHANGE RATE

Dependent Variable: D(IHSG)

Method: Least Squares
Date: 11/30/21 Time: 00:57
Sample (adjusted): 1998 2019
Included observations: 22 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 378.0983 98.09632 3.854358 0.0011

D(EXCHANGERATE) -0.224658 0.082603 -2.719728 0.0136
RESIDUAL 0.229809 0.078206 2.938499 0.0084

R-squared 0.553382 Mean dependent var 268.0832

Adjusted R-squared 0.506370 S.D. dependent var 616.0768
S.E. of regression 432.8485 Akaike info criterion 15.10478
Sum squared resid 3559798. Schwarz criterion 15.25355
Log likelihood -163.1525 Hannan-Quinn criter. 15.13982
F-statistic 11.77097 Durbin-Watson stat 2.335464
Prob(F-statistic) 0.000472

 Pengujian Normalitas

10
Seri es: Residual s
Sample 1998 2019
8 Obse rvations 22

Mean 2.58e-14
6
Median 143.5567
Maximum 475.6236
4 Minimum -861.4237
Std. Dev. 411.7210
Skewness -0.660408
2 Kurtosis 2.110898

0 Jarque-Bera 2.323804
-1000 -750 -500 -250 0 250 500 Probability 0.312891

 Pengujian Heteroskedastisitas
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.314156 Prob. F(2,19) 0.7341

Obs*R-squared 0.704231 Prob. Chi-Square(2) 0.7032
Scaled explained SS 0.387025 Prob. Chi-Square(2) 0.8241

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 11/30/21 Time: 09:13
Sample: 1998 2019
Included observations: 22

Variable Coefficient Std. Error t-Statistic Prob.

C 340.4420 46.41038 7.335471 0.0000

D(EXCHANGERATE) 0.030959 0.039080 0.792188 0.4380
RESIDUAL 0.010326 0.037000 0.279078 0.7832

R-squared 0.032011 Mean dependent var 352.6940

Adjusted R-squared -0.069883 S.D. dependent var 197.9840
S.E. of regression 204.7851 Akaike info criterion 13.60792
Sum squared resid 796801.5 Schwarz criterion 13.75670
Log likelihood -146.6872 Hannan-Quinn criter. 13.64297
F-statistic 0.314156 Durbin-Watson stat 1.873302
Prob(F-statistic) 0.734127

 Pengujian Autokorelasi
Breusch-Godfrey Serial Correlation LM Test:
Null hypothesis: No serial correlation at up to 2 lags

F-statistic 4.445215 Prob. F(2,17) 0.0280

Obs*R-squared 7.554508 Prob. Chi-Square(2) 0.0229

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/30/21 Time: 09:24
Sample: 1998 2019
Included observations: 22
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

C 61.93986 87.01151 0.711858 0.4862

D(EXCHANGERATE) -0.056609 0.075554 -0.749245 0.4640
RESIDUAL -0.081168 0.072375 -1.121490 0.2777
RESID(-1) -0.521916 0.233550 -2.234710 0.0392
RESID(-2) -0.667607 0.248914 -2.682076 0.0158

R-squared 0.343387 Mean dependent var 2.58E-14

Adjusted R-squared 0.188889 S.D. dependent var 411.7210
S.E. of regression 370.8028 Akaike info criterion 14.86593
Sum squared resid 2337411. Schwarz criterion 15.11390
Log likelihood -158.5253 Hannan-Quinn criter. 14.92435
F-statistic 2.222607 Durbin-Watson stat 2.058922
Prob(F-statistic) 0.109720

 Pengujian Multikolinieritas

Variance Inflation Factors

Date: 11/30/21 Time: 09:34
Sample: 1997 2019
Included observations: 22

Coefficient Uncentered Centered

Variable Variance VIF VIF

C 9622.888 1.129943 NA
D(EXCHANGERATE) 0.006823 1.254251 1.113692
RESIDUAL 0.006116 1.117137 1.113692

 Pengujian Linieritas
Ramsey RESET Test
Equation: UNTITLED
Omitted Variables: Squares of fitted values
Specification: D(IHSG) C D(EXCHANGERATE) RESIDUAL

Value df Probability
t-statistic 0.306758 18 0.7625
F-statistic 0.094100 (1, 18) 0.7625
Likelihood ratio 0.114712 1 0.7348

F-test summary:
Sum of Sq. df Mean Squares
Test SSR 18513.12 1 18513.12
Restricted SSR 3559798. 19 187357.8
Unrestricted SSR 3541285. 18 196738.0

LR test summary:
Value
Restricted LogL -163.1525
Unrestricted LogL -163.0952

Unrestricted Test Equation:

Dependent Variable: D(IHSG)
Method: Least Squares
Date: 11/30/21 Time: 09:36
Sample: 1998 2019
Included observations: 22

Variable Coefficient Std. Error t-Statistic Prob.

C 430.9538 199.4825 2.160359 0.0445

D(EXCHANGERATE) -0.234407 0.090415 -2.592564 0.0184
RESIDUAL 0.247058 0.097899 2.523591 0.0212
FITTED^2 -0.000175 0.000569 -0.306758 0.7625

R-squared 0.555705 Mean dependent var 268.0832

Adjusted R-squared 0.481655 S.D. dependent var 616.0768
S.E. of regression 443.5516 Akaike info criterion 15.19047
Sum squared resid 3541285. Schwarz criterion 15.38884
Log likelihood -163.0952 Hannan-Quinn criter. 15.23720
F-statistic 7.504529 Durbin-Watson stat 2.354163
Prob(F-statistic) 0.001841

 MONEY SUPPLY
Dependent Variable: D(IHSG)
Method: Least Squares
Date: 12/01/21 Time: 20:23
Sample (adjusted): 1998 2019
Included observations: 22 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 169.2049 145.6308 1.161876 0.2597

D(MONEYSUPPLY) 0.000362 0.000370 0.978079 0.3403
RESIDUAL 0.679714 0.197864 3.435262 0.0028

R-squared 0.400794 Mean dependent var 268.0832

Adjusted R-squared 0.337719 S.D. dependent var 616.0768
S.E. of regression 501.3671 Akaike info criterion 15.39868
Sum squared resid 4776011. Schwarz criterion 15.54746
Log likelihood -166.3855 Hannan-Quinn criter. 15.43373
F-statistic 6.354309 Durbin-Watson stat 2.180525
Prob(F-statistic) 0.007709

 Pengujian Normalitas

9
Series: Residuals
8 Sample 1998 2019
7 Observations 22

6 Mean 3.11e-14
Median 59.85615
5
Maximum 793.9642
4 Minimum -1149.659
Std. Dev. 476.8953
3 Skewness -0.376030
2 Kurtosis 3.089548

1 Jarque-Bera 0.525812
0 Probability 0.768814
-1000 -500 0 500 1000

 Pengujian Heteroskedastisitas
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 1.325524 Prob. F(2,19) 0.2891

Obs*R-squared 2.693776 Prob. Chi-Square(2) 0.2600
Scaled explained SS 2.575466 Prob. Chi-Square(2) 0.2759

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 12/01/21 Time: 20:27
Sample: 1998 2019
Included observations: 22

Variable Coefficient Std. Error t-Statistic Prob.

C 292.7694 86.52726 3.383551 0.0031

D(MONEYSUPPLY) 0.000254 0.000220 1.155112 0.2624
RESIDUAL -0.133894 0.117562 -1.138922 0.2689

R-squared 0.122444 Mean dependent var 360.2230

Adjusted R-squared 0.030070 S.D. dependent var 302.4722
S.E. of regression 297.8898 Akaike info criterion 14.35745
Sum squared resid 1686028. Schwarz criterion 14.50623
Log likelihood -154.9319 Hannan-Quinn criter. 14.39250
F-statistic 1.325524 Durbin-Watson stat 1.390688
Prob(F-statistic) 0.289141

 Pengujian Autokorelasi
Breusch-Godfrey Serial Correlation LM Test:
Null hypothesis: No serial correlation at up to 2 lags

F-statistic 0.405705 Prob. F(2,17) 0.6728

Obs*R-squared 1.002224 Prob. Chi-Square(2) 0.6059

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 12/01/21 Time: 20:28
Sample: 1998 2019
Included observations: 22
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

C 45.43639 158.6488 0.286396 0.7780

D(MONEYSUPPLY) -0.000162 0.000422 -0.383500 0.7061
RESIDUAL -0.023200 0.206207 -0.112507 0.9117
RESID(-1) -0.138589 0.247010 -0.561067 0.5821
RESID(-2) -0.207735 0.260321 -0.797998 0.4359

R-squared 0.045556 Mean dependent var 3.11E-14

Adjusted R-squared -0.179019 S.D. dependent var 476.8953
S.E. of regression 517.8256 Akaike info criterion 15.53387
Sum squared resid 4558437. Schwarz criterion 15.78183
Log likelihood -165.8726 Hannan-Quinn criter. 15.59228
F-statistic 0.202853 Durbin-Watson stat 2.000255
Prob(F-statistic) 0.933311

 Pengujian Multikolinieritas

Variance Inflation Factors

Date: 12/01/21 Time: 20:30
Sample: 1997 2019
Included observations: 22

Coefficient Uncentered Centered

Variable Variance VIF VIF

C 21208.33 1.856168 NA
D(MONEYSUPPLY) 1.37E-07 1.856109 1.000055
RESIDUAL 0.039150 1.000089 1.000055

 Pengujian Linieritas
Ramsey RESET Test
Equation: UNTITLED
Omitted Variables: Squares of fitted values
Specification: D(IHSG) C D(MONEYSUPPLY) RESIDUAL

Value df Probability
t-statistic 1.110206 18 0.2815
F-statistic 1.232557 (1, 18) 0.2815
Likelihood ratio 1.457120 1 0.2274

F-test summary:
Sum of Sq. df Mean Squares
Test SSR 306080.2 1 306080.2
Restricted SSR 4776011. 19 251369.0
Unrestricted SSR 4469931. 18 248329.5

LR test summary:
Value
Restricted LogL -166.3855
Unrestricted LogL -165.6569

Unrestricted Test Equation:

Dependent Variable: D(IHSG)
Method: Least Squares
Date: 12/01/21 Time: 20:31
Sample: 1998 2019
Included observations: 22

Variable Coefficient Std. Error t-Statistic Prob.

C 313.4650 194.5155 1.611517 0.1245

D(MONEYSUPPLY) 0.000587 0.000420 1.397813 0.1792
RESIDUAL 1.145598 0.463435 2.471970 0.0236
FITTED^2 -0.000949 0.000854 -1.110206 0.2815

R-squared 0.439195 Mean dependent var 268.0832

Adjusted R-squared 0.345728 S.D. dependent var 616.0768
S.E. of regression 498.3267 Akaike info criterion 15.42335
Sum squared resid 4469931. Schwarz criterion 15.62173
Log likelihood -165.6569 Hannan-Quinn criter. 15.47008
F-statistic 4.698909 Durbin-Watson stat 2.109103
Prob(F-statistic) 0.013590

 GDPgrowth
Dependent Variable: D(IHSG)
Method: Least Squares
Date: 12/01/21 Time: 20:35
Sample (adjusted): 1998 2019
Included observations: 22 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 265.3376 107.9247 2.458543 0.0237

D(GDPGROWTH) 16.72688 21.99740 0.760403 0.4563
RESIDUAL 0.696863 0.201250 3.462664 0.0026

R-squared 0.389212 Mean dependent var 268.0832

Adjusted R-squared 0.324918 S.D. dependent var 616.0768
S.E. of regression 506.1894 Akaike info criterion 15.41782
Sum squared resid 4868327. Schwarz criterion 15.56660
Log likelihood -166.5960 Hannan-Quinn criter. 15.45287
F-statistic 6.053672 Durbin-Watson stat 2.241975
Prob(F-statistic) 0.009246

 Pengujian Normalitas

10
Series: Residuals
Sample 1998 2019
8 Observations 22

Mean 5.43e-14
6 Median 53.21982
Maximum 925.3880
Minimum -1138.603
4 Std. Dev. 481.4822
Skewness -0.083531
Kurtosis 3.259753
2
Jarque-Bera 0.087433
Probability 0.957226
0
-1000 -500 0 500 1000

 Pengujian Heteroskedastisitas
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.592903 Prob. F(2,19) 0.5626

Obs*R-squared 1.292380 Prob. Chi-Square(2) 0.5240
Scaled explained SS 1.269874 Prob. Chi-Square(2) 0.5300

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 12/01/21 Time: 20:38
Sample: 1998 2019
Included observations: 22

Variable Coefficient Std. Error t-Statistic Prob.

C 360.8578 67.32481 5.359954 0.0000

D(GDPGROWTH) -4.796883 13.72226 -0.349569 0.7305
RESIDUAL -0.133844 0.125543 -1.066127 0.2997

R-squared 0.058745 Mean dependent var 360.2789

Adjusted R-squared -0.040335 S.D. dependent var 309.5855
S.E. of regression 315.7674 Akaike info criterion 14.47401
Sum squared resid 1894472. Schwarz criterion 14.62279
Log likelihood -156.2141 Hannan-Quinn criter. 14.50906
F-statistic 0.592903 Durbin-Watson stat 1.166052
Prob(F-statistic) 0.562628

 Pengujian Autokorelasi
Breusch-Godfrey Serial Correlation LM Test:
Null hypothesis: No serial correlation at up to 2 lags

F-statistic 0.558335 Prob. F(2,17) 0.5823

Obs*R-squared 1.356029 Prob. Chi-Square(2) 0.5076

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 12/01/21 Time: 20:40
Sample: 1998 2019
Included observations: 22
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

C 3.355304 110.6082 0.030335 0.9762

D(GDPGROWTH) -0.699154 22.55757 -0.030994 0.9756
RESIDUAL -0.021634 0.207799 -0.104108 0.9183
RESID(-1) -0.150711 0.236852 -0.636309 0.5330
RESID(-2) -0.223020 0.244361 -0.912665 0.3742

R-squared 0.061638 Mean dependent var 5.43E-14

Adjusted R-squared -0.159153 S.D. dependent var 481.4822
S.E. of regression 518.3829 Akaike info criterion 15.53602
Sum squared resid 4568254. Schwarz criterion 15.78399
Log likelihood -165.8962 Hannan-Quinn criter. 15.59443
F-statistic 0.279167 Durbin-Watson stat 1.992259
Prob(F-statistic) 0.887385

 Pengujian Multikolinieritas

Variance Inflation Factors

Date: 12/01/21 Time: 20:43
Sample: 1997 2019
Included observations: 22

Coefficient Uncentered Centered

Variable Variance VIF VIF

C 11647.74 1.000088 NA
D(GDPGROWTH) 483.8856 1.015008 1.014963
RESIDUAL 0.040502 1.014998 1.014963

 Pengujian Linieritas
Ramsey RESET Test
Equation: UNTITLED
Omitted Variables: Squares of fitted values
Specification: D(IHSG) C D(GDPGROWTH) RESIDUAL

Value df Probability
t-statistic 1.013902 18 0.3241
F-statistic 1.027998 (1, 18) 0.3241
Likelihood ratio 1.221874 1 0.2690

F-test summary:
Sum of Sq. df Mean Squares
Test SSR 263014.0 1 263014.0
Restricted SSR 4868327. 19 256227.7
Unrestricted SSR 4605313. 18 255850.7

LR test summary:
Value
Restricted LogL -166.5960
Unrestricted LogL -165.9851

Unrestricted Test Equation:

Dependent Variable: D(IHSG)
Method: Least Squares
Date: 12/01/21 Time: 20:44
Sample: 1998 2019
Included observations: 22

Variable Coefficient Std. Error t-Statistic Prob.

C 440.6813 203.8104 2.162212 0.0443

D(GDPGROWTH) 27.27553 24.31907 1.121570 0.2768
RESIDUAL 1.100583 0.446087 2.467195 0.0239
FITTED^2 -0.000831 0.000820 -1.013902 0.3241

R-squared 0.422210 Mean dependent var 268.0832

Adjusted R-squared 0.325912 S.D. dependent var 616.0768
S.E. of regression 505.8169 Akaike info criterion 15.45319
Sum squared resid 4605313. Schwarz criterion 15.65156
Log likelihood -165.9851 Hannan-Quinn criter. 15.49992
F-statistic 4.384395 Durbin-Watson stat 2.150721
Prob(F-statistic) 0.017497
 4. Model Hubungan Jangka Panjang

 EXCHANGE RATE

Dependent Variable: IHSG

Method: Least Squares
Date: 11/30/21 Time: 14:42
Sample: 1997 2019
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

C -4544.310 1202.871 -3.777886 0.0011

EXCHANGERATE 0.713294 0.113940 6.260251 0.0000

R-squared 0.651109 Mean dependent var 2786.441

Adjusted R-squared 0.634495 S.D. dependent var 2181.960
S.E. of regression 1319.147 Akaike info criterion 17.29030
Sum squared resid 36543152 Schwarz criterion 17.38904
Log likelihood -196.8385 Hannan-Quinn criter. 17.31513
F-statistic 39.19074 Durbin-Watson stat 1.005236
Prob(F-statistic) 0.000003

 MONEY SUPPLY
Dependent Variable: IHSG
Method: Least Squares
Date: 12/01/21 Time: 20:18
Sample: 1997 2019
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

C 97.48584 189.2329 0.515163 0.6118

MONEYSUPPLY 0.001051 5.86E-05 17.92451 0.0000

R-squared 0.938648 Mean dependent var 2786.441

Adjusted R-squared 0.935727 S.D. dependent var 2181.960
S.E. of regression 553.1747 Akaike info criterion 15.55217
Sum squared resid 6426047. Schwarz criterion 15.65090
Log likelihood -176.8499 Hannan-Quinn criter. 15.57700
F-statistic 321.2881 Durbin-Watson stat 1.344902
Prob(F-statistic) 0.000000

 GDPgrowth
Dependent Variable: IHSG
Method: Least Squares
Date: 12/01/21 Time: 20:19
Sample: 1997 2019
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

C 2021.538 655.0069 3.086286 0.0056

GDPGROWTH 179.5693 113.8410 1.577369 0.1297

R-squared 0.105930 Mean dependent var 2786.441

Adjusted R-squared 0.063355 S.D. dependent var 2181.960
S.E. of regression 2111.710 Akaike info criterion 18.23133
Sum squared resid 93645722 Schwarz criterion 18.33006
Log likelihood -207.6602 Hannan-Quinn criter. 18.25616
F-statistic 2.488094 Durbin-Watson stat 0.270914
Prob(F-statistic) 0.129656