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120210190036
Tugas Time Series ECM menggunakan Eviews

UJI STATIONERITAS VARIABEL LFVAS LFMDS LFDCS

 Variabel LVAS, LFMDS, dan LFDCS tidak stationer pada tingkat level
 Variabel LVAS, LFMDS, dan LFDCS stationer pada turunan pertama karena
memiliki nilai P-value < 0,05
REGRESI
Dependent Variable: LFDCS
Method: Least Squares
Date: 12/10/21 Time: 01:59
Sample: 1990Q1 2011Q1
Included observations: 85

Variable Coefficient Std. Error t-Statistic Prob.  

LFMDS -0.180621 0.031080 -5.811421 0.0000

LFVAS 0.103045 0.013949 7.387263 0.0000
C 443.9845 40.66342 10.91852 0.0000

R-squared 0.489196    Mean dependent var 313.2215

Adjusted R-squared 0.476737    S.D. dependent var 14.45572
S.E. of regression 10.45683    Akaike info criterion 7.567043
Sum squared resid 8966.306    Schwarz criterion 7.653254
Log likelihood -318.5993    Hannan-Quinn criter. 7.601720
F-statistic 39.26555    Durbin-Watson stat 0.375659
Prob(F-statistic) 0.000000

Dapat dilihat pada hasil regresi OLS variabel LFVAS, LFMDS, dan LFDCS sudah
signifikan karena memiliki nilai P-value < alpha (0.0000 < 0.05).

UJI STATIONERITAS ECT

Null Hypothesis: ECT has a unit root
Exogenous: Constant
Lag Length: 8 (Automatic - based on SIC, maxlag=11)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -4.163043  0.0014

Test critical values: 1% level -3.519050
5% level -2.900137
10% level -2.587409

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

Pada uji stationeritas ECT (Error Correction Term) nilai P-value < alpha yang berarti
variabel sudah stationer pada tingkat level. (0.0014 < 0.05)
UJI KOINTEGRASI SIMPLE EQUATION REGRESI
PHILIPS-OULIARIS TEST
Date: 12/10/21 Time: 02:04
Series: LFVAS LFMDS LFDCS 
Sample: 1990Q1 2011Q1
Included observations: 85
Null hypothesis: Series are not cointegrated
Cointegrating equation deterministics: C 
Long-run variance estimate (Bartlett kernel, Newey-West fixed bandwidth)
No d.f. adjustment for variances

Dependent tau-statistic Prob.* z-statistic Prob.*

LFVAS -2.409244  0.5383 -12.91390  0.4004
LFMDS -2.462886  0.5107 -13.02360  0.3941
LFDCS -2.989909  0.2615 -12.66598  0.4148

*MacKinnon (1996) p-values.

Melalui uji kointegrasi simple equation regresi Philips-Ouliaris Test tidak terdaoat
hubungan jangka Panjang (kointegrasi) dalam variabel karena P-value > alpha.

ECM

Dependent Variable: D(LFVAS)

Method: Least Squares
Date: 12/10/21 Time: 02:04
Sample (adjusted): 1990Q2 2011Q1
Included observations: 84 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

D(LFMDS) 1.042500 0.111429 9.355757 0.0000

D(LFDCS) -0.051468 0.550652 -0.093467 0.9258
ECT(-1) -0.052286 0.039317 -1.329864 0.1873
C 6.678809 2.391263 2.793005 0.0065

R-squared 0.574466    Mean dependent var 11.95595

Adjusted R-squared 0.558508    S.D. dependent var 32.05803
S.E. of regression 21.30091    Akaike info criterion 9.001825
Sum squared resid 36298.30    Schwarz criterion 9.117578
Log likelihood -374.0766    Hannan-Quinn criter. 9.048356
F-statistic 35.99965    Durbin-Watson stat 1.906257
Prob(F-statistic) 0.000000

Pada hasil pengujian ECM (Error Correction Mode) dapat dilihat ECT memiliki nilai
negative (-0.052286) dan P-value < alpha (0.0000 < 0.05) yang berarti sudah lolos
dari ECM.