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  • Tugas - Time Series (ECM)

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    Elza Destri Nora
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    This document provides a time series dataset and instructions for students to perform an error correction model (ECM) analysis using the STATA software. Students are asked to: (1) estimate an ECM regression model for GDP; (2) conduct unit root tests to determine stationarity; (3) test for cointegration; (4) perform an ECM regression and test for classic assumptions; and (5) interpret the ECM regression results. The dataset includes annual macroeconomic data for an unspecified country from 1986 to 2015.

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    Tugas_Time Series (ECM)

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    This document provides a time series dataset and instructions for students to perform an error correction model (ECM) analysis using the STATA software. Students are asked to: (1) estimate an ECM regression model for GDP; (2) conduct unit root tests to determine stationarity; (3) test for cointegration; (4) perform an ECM regression and test for classic assumptions; and (5) interpret the ECM regression results. The dataset includes annual macroeconomic data for an unspecified country from 1986 to 2015.

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    © All Rights Reserved
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    11 views2 pages

    Tugas - Time Series (ECM)

    Uploaded by

    Elza Destri Nora
    This document provides a time series dataset and instructions for students to perform an error correction model (ECM) analysis using the STATA software. Students are asked to: (1) estimate an ECM regression model for GDP; (2) conduct unit root tests to determine stationarity; (3) test for cointegration; (4) perform an ECM regression and test for classic assumptions; and (5) interpret the ECM regression results. The dataset includes annual macroeconomic data for an unspecified country from 1986 to 2015.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    of 2

    Tugas UAS Analisis Time Series: Error Correction Model (ECM)

    (Tugas merupakan tugas individu, diolah menggunakan aplikasi STATA dan dikerjakan pada MS.
    Word. Tugas dikumpulkan melalui platform elearning sesuai waktu yang telah ditentukan)

    Berikut ini disajikan data time series dari suatu negara:


    Year GDP Kurs GFCF LIR INF TR Trade AK IVA
    1986 2047293 1283 525768 21.49 5.83 14993 819473 69 798545
    1987 2155799 1644 554681 21.67 9.28 18827 998819 71 848963
    1988 2292815 1686 618518 22.10 8.04 21435 1083460 73 907302
    1989 2501111 1770 710782 21.70 6.42 26678 1227592 75 1053730
    1990 2726250 1843 825058 20.83 7.81 37432 1441964 76 1161956
    1991 2969644 1950 931494 25.53 9.42 39098 1628540 77 1277017
    1992 3184067 2030 964891 24.03 7.53 44500 1828528 79 1503687
    1993 3415042 2087 1028570 20.59 9.69 47344 1725393 82 1482120
    1994 3672538 2161 1170057 17.76 8.52 60958 1905206 84 1647643
    1995 3980898 2249 1333805 18.85 9.43 68017 2148036 88 1819329
    1996 4285149 2342 1527399 19.22 7.97 75810 2239622 90 2013806
    1997 4486546 2909 1658266 21.82 6.23 100506 2512192 90 2117949
    1998 3897609 10014 1110903 32.15 58.39 143627 3748962 92 1822466
    1999 3928444 7855 908769 27.66 20.49 179430 2472717 97 1858334
    2000 4121726 8422 1060872 18.46 3.72 99644 2944432 99 1967792
    2001 4271900 10261 1129749 18.55 11.50 190614 2981496 100 2021590
    2002 4464113 9311 1182784 18.95 11.88 215468 2637374 102 2107765
    2003 4677514 8577 1189885 16.94 6.59 249404 2507919 103 2186913
    2004 4912834 8939 1364599 14.12 6.24 283093 2935973 105 2273101
    2005 5192501 9705 1513165 14.05 10.45 312488 3322574 107 2380027
    2006 5478137 9159 1552460 15.98 13.11 343625 3103755 109 2486855
    2007 5825727 9141 1697210 13.86 6.41 374763 3194202 111 2604235
    2008 6176068 9699 1898942 13.60 9.78 658701 3616792 113 2701585
    2009 6461951 10390 1961482 14.50 4.81 619922 2940971 115 2798526
    2010 6864133 9090 2127841 13.25 5.13 723307 3205638 116 2936192
    2011 7287635 8770 2316359 12.40 5.36 873874 3656936 119 3122633
    2012 7727083 9387 2527729 11.80 4.28 980518 3831312 120 3288298
    2013 8156498 10461 2654375 11.66 6.41 1077310 3967106 122 3431081
    2014 8566271 11865 2775734 12.61 6.39 1145283 4116716 124 3577695
    2015 8976932 13389 2916602 12.66 6.36 1164555 3764720 127 3672596
    Download file excel disini

    Keterangan:
    GDP : Gross Domestic Product per tahun (milyar)
    Kurs : Nilai Tukar Rupiah terhadap US dollar
    GFCF : Gross Fixed Capital Formation (milyar)
    LIR : Lending interest rate (%)
    INF : Inflation, consumer prices (annual %)
    TR : Tax Revenue (milyar)
    TRADE : Total Nilai Perdagangan (milyar)
    AK : Angkatan Kerja (juta)
    IVA : Industry, value added (milyar)
    Gunakan tahapan dan prosedur yang terdapat pada Modul_TimeSeries_ECM dengan
    menggunakan Aplikasi STATA untuk menjawab pertanyaan berikut ini:
    a. Lakukanlah estimasi dengan metode ECM menggunakan persamaan regresi berikut:

    GDPt = 0 + 1KURSt + 2GFCFt + 3LIRt + 4INFt + 5TRt + 6TRADEt + 7Akt + 8IVAt + et

    b. Lakukan pengujian Akar Unit (unit root test) / Uji Stasioneritas Data untuk setiap variabel
    Augmented Dickey-Fuller Test (ADF) test! Pada level apa seluruh variabel sudah stasioner?
    c. Lakukan pengujian Kointegrasi! Jelaskan apakah terdapat kointegrasi, apa maknanya?
    d. Lakukan Regresi ECM! Lakukan pengujian asumsi klasik terhadap model regresi tersebut,
    apabila terdapat pelanggaran asumsi, lakukan koreksi!
    e. Interpretasikan Hasil Regresi ECM yang diperoleh!

    _____________

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