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132
LAMPIRAN
133
Lampiran 1. Summary Johansen Test
Series: LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) Exogenous series: LOG(ERM) LOG(ERI) Warning: Rank Test critical values derived assuming no exogenous series Lags interval: 1 to 2 Data Trend:
None
Rank or
No Intercept No. of CEs No Trend
None
Linear
Linear
Quadratic
Intercept
Intercept
Intercept
Intercept
No Trend
No Trend
Trend
Trend
Selected (5% level) Number of Cointegrating Relations by Model (columns) Trace Max-Eig
2 1
2 2
1 1
2 2
2 2
Log Likelihood by Rank (rows) and Model (columns) 0 1 2 3 4
741.2087 764.3555 772.5832 776.2033 778.7208
741.2087 772.0706 785.5819 790.3752 792.9177
748.9662 779.3720 788.0431 792.7140 792.9177
748.9662 779.3722 793.1918 800.8059 801.4922
749.3963 779.7563 793.3954 800.8158 801.4922
Akaike Information Criteria by Rank (rows) and Model (columns) 0 1 2 3 4
-13.63863 -13.92991 -13.93429 -13.85006 -13.74463
-13.63863 -14.05905 -14.14581 -14.06491 -13.94072
-13.71089 -14.14177 -14.15468 -14.09065 -13.94072
-13.71089 -14.12254 -14.21523* -14.18858 -14.02870
-13.64224 -14.07224 -14.18068 -14.16953 -14.02870
Schwarz Criteria by Rank (rows) and Model (columns) 0 1 2 3 4
-12.82497 -12.91284 -12.71381 -12.42616 -12.11731
-12.82497 -13.01655 -12.87446 -12.56472 -12.21170
-12.79552 -13.02299* -12.83248 -12.56504 -12.21170
-12.79552 -12.97833 -12.84218 -12.58668 -12.19796
-12.62516 -12.85175 -12.75678 -12.54222 -12.19796
134
Lampiran 2 . Johansen Test
Series: LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) Exogenous series: LOG(ERM) LOG(ERI) Warning: Critical values assume no exogenous series Lags interval (in first differences): 1 to 2 Unrestricted Cointegration Rank Test Hypothesized No. of CE(s)
None ** At most 1 At most 2 At most 3
Eigenvalue
Trace Statistic
5 Percent Critical Value
1 Percent Critical Value
0.442743 0.153590 0.085909 0.003909
87.90307 27.09134 9.749163 0.407368
47.21 29.68 15.41 3.76
54.46 35.65 20.04 6.65
Keterangan: *(**) denotes rejection of the hypothesis at the 5%(1%) level Trace test indicates 1 cointegrating equation(s) at both 5% and 1% levels
Hypothesized No. of CE(s)
Eigenvalue
Max-Eigen Statistic
5 Percent Critical Value
1 Percent Critical Value
None ** At most 1 At most 2 At most 3
0.442743 0.153590 0.085909 0.003909
60.81172 17.34218 9.341795 0.407368
27.07 20.97 14.07 3.76
32.24 25.52 18.63 6.65
Keterangan: *(**) denotes rejection of the hypothesis at the 5%(1%) level Max-eigenvalue test indicates 1 cointegrating equation(s) at both 5% and 1% levels
135
Lampiran 3. Analisis VECM
Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 LOG(ROT(-1)) 1.000000 LOG(MAL(-1))
-0.470431 (0.07295) [-6.44847]***
LOG(IND(-1))
-0.322001 (0.06861) [-4.69293]***
LOG(KED(-1))
0.024471 (0.05236) [ 0.46740]
C Error Correction: CointEq1
-0.190225 D(LOG(ROT)) D(LOG(MAL)) D(LOG(IND)) D(LOG(KED)) -1.109477 -0.760734 -0.565715 -0.581993 (0.18496) (0.20811) (0.24709) (0.17636) [-5.99832]*** [-3.65545]*** [-2.28955]** [-3.30007]***
D(LOG(ROT(-1)))
1.200721 (0.24248) [ 4.95180]***
1.456611 (0.27282) [ 5.33903]***
0.866946 (0.32392) [ 2.67642]***
0.771990 (0.23120) [ 3.33909]***
D(LOG(ROT(-2)))
0.628976 (0.28763) [ 2.18674]**
0.666526 (0.32362) [ 2.05957]**
0.388945 (0.38423) [ 1.01226]
0.284995 (0.27425) [ 1.03919]
D(LOG(MAL(-1)))
-1.126856 (0.23848) [-4.72515]***
-1.430649 (0.26832) [-5.33185]***
-1.077897 (0.31857) [-3.38351]***
-0.858081 (0.22738) [-3.77373]***
D(LOG(MAL(-2)))
-0.564704 (0.24795) [-2.27749]**
-0.633973 (0.27898) [-2.27250]
-0.341484 (0.33122) [-1.03097]
-0.117517 (0.23641) [-0.49709]
D(LOG(IND(-1)))
0.116101 (0.15039) [ 0.77201]
0.292779 (0.16921) [ 1.73032]*
0.188397 (0.20089) [ 0.93779]
0.160325 (0.14339) [ 1.11811]
D(LOG(IND(-2)))
-0.049170 (0.14526)
-0.012438 (0.16343)
-0.165939 (0.19404)
-0.076768 (0.13850)
136
Lampiran 3. Lanjutan
D(LOG(KED(-1)))
0.227498 (0.14710) [ 1.54651]
0.288512 (0.16551) [ 1.74316]*
0.300308 (0.19651) [ 1.52822]
[-0.55428] 0.289597 (0.14026) [ 2.06473]**
D(LOG(KED(-2)))
0.072466 (0.14950) [ 0.48472]
0.088295 (0.16821) [ 0.52492]
0.292799 (0.19971) [ 1.46612]
-0.023202 (0.14254) [-0.16277]
C
2.676728 (1.04176) [ 2.56943]*
1.228372 (1.17211) [ 1.04800]
-0.948863 (1.39164) [-0.68183]
2.490763 (0.99328) [ 2.50761]***
LOG(ERM)
-1.898622 (0.34465) [-5.50878]*
-1.241689 (0.38778) [-3.20204]*
-0.891741 (0.46041) [-1.93686]*
-1.034606 (0.32862) [-3.14838]***
-0.022071 (0.09334) [-0.23645] R-squared 0.485909 Adj. R-squared 0.424441 Sum sq. resids 0.317223 S.E. equation 0.058720 F-statistic 7.905137 Log likelihood 153.6425 Akaike AIC -2.723894 Schwarz SC -2.418772 Mean dependent 0.003613 S.D. dependent 0.077401 Determinant Residual Covariance Log Likelihood Log Likelihood (d.f. adjusted) Akaike Information Criteria Schwarz Criteria
0.042451 (0.10502) [ 0.40421] 0.482118 0.420197 0.401578 0.066068 7.786059 141.3811 -2.488098 -2.182976 0.002952 0.086766 5.94E-12 779.3720 753.8707 -13.49751 -12.17532
0.231605 (0.12469) [ 1.85745]* 0.215874 0.122120 0.566084 0.078442 2.302551 123.5274 -2.144758 -1.839636 0.007603 0.083720
-0.124785 (0.08900) [-1.40211] 0.346776 0.268673 0.288387 0.055988 4.439992 158.5982 -2.819197 -2.514075 0.005656 0.065469
LOG(ERI)
Keterangan: (*** ) nyata pada 1% = 2.32 (**) nyata pada 5% = 1.96 (*) nyata pada 10% = 1.64
137
Lampiran 4. Analisis Impulse Response
Bulan 1 2 3 4 5 6 7 8 9 10 Bulan 1 2 3 4 5 6 7 8 9 10 Bulan 1 2 3 4 5 6 7 8 9 10 Bulan 1 2 3 4 5
Response of LOG(ROT): LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) 0.058720 0.067191 0.050050 0.036220 0.038692 0.043850 0.045724 0.045641 0.045390 0.045168
0.000000 -0.009453 -0.004005 0.018926 0.028811 0.027300 0.023481 0.022214 0.022541 0.023071
0.000000 0.018529 0.029038 0.032767 0.036137 0.037820 0.037101 0.036184 0.036118 0.036455
0.000000 0.008139 0.011839 0.013171 0.014368 0.016430 0.018471 0.019133 0.018736 0.018347
Response of LOG(MAL): LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) 0.060137 0.082967 0.065767 0.049252 0.050800 0.056381 0.058331 0.058200 0.058015 0.057890
0.027360 0.006025 0.006321 0.029244 0.041856 0.041167 0.037278 0.035873 0.036180 0.036661
0.000000 0.021228 0.032244 0.034706 0.038307 0.040789 0.040347 0.039322 0.039161 0.039486
0.000000 0.010964 0.016973 0.018906 0.019476 0.021053 0.023290 0.024254 0.023929 0.023502
Response of LOG(IND): LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) 0.067226 0.071974 0.057455 0.052318 0.056126 0.058656 0.058613 0.058258 0.058382 0.058482
0.015454 -0.001341 0.001666 0.016504 0.022009 0.020504 0.018891 0.019047 0.019467 0.019549
0.037349 0.052403 0.052174 0.053585 0.056902 0.058445 0.058164 0.057757 0.057827 0.058034
0.000000 0.011637 0.024037 0.025565 0.024352 0.025535 0.027146 0.027543 0.027296 0.027169
Response of LOG(KED): LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) 0.038278 0.048214 0.038832 0.033542 0.034881
-0.001088 -0.012000 -0.004150 0.008347 0.013448
0.004239 0.018394 0.022616 0.025149 0.028610
0.040623 0.051809 0.052555 0.053850 0.054754
138
Lampiran 4. Lanjutan
6 7 8 9 10
0.036387 0.037011 0.037360 0.037504 0.037415
0.013654 0.012722 0.012242 0.012159 0.012256
0.029975 0.029671 0.029332 0.029328 0.029445
0.056015 0.057345 0.057823 0.057717 0.057594
Cholesky Ordering: LOG(ROT) LOG(MAL) LOG(IND) LOG(KED)
Lampiran 5. Analisis Variance Decomposition Period 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Period 1 2 3 4 5 6 7
Variance Decomposition of LOG(ROT): S.E. LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) 0.058720 0.091987 0.109389 0.121997 0.136831 0.151957 0.165683 0.178052 0.189543 0.200411 0.210747 0.220619 0.230084 0.239182 0.247943 0.256401 0.264587 0.272528 0.280245 0.287755
100.0000 94.10377 87.47824 79.14619 70.91172 65.82364 62.98573 61.10894 59.65899 58.44357 57.40306 56.52092 55.78366 55.16670 54.64124 54.18431 53.78139 53.42353 53.10419 52.81786
0.000000 1.056146 0.880874 3.114985 6.909648 8.830123 9.436187 9.727111 9.997752 10.26806 10.51751 10.73640 10.91958 11.06882 11.19255 11.29957 11.39481 11.48013 11.55644 11.62477
0.000000 4.057253 9.915901 15.18644 19.04712 21.63813 23.21606 24.23220 25.01426 25.68361 26.25624 26.73259 27.12573 27.45517 27.73741 27.98346 28.20031 28.39273 28.56435 28.71819
0.000000 0.782835 1.724990 2.552381 3.131508 3.708107 4.362030 4.931749 5.329004 5.604757 5.823182 6.010088 6.171019 6.309301 6.428792 6.532659 6.623481 6.703607 6.775018 6.839169
Variance Decomposition of LOG(MAL): S.E. LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) 0.066068 0.108883 0.132471 0.149638 0.169029 0.188550 0.206188
82.85082 88.56486 84.48072 77.04217 69.41195 64.72438 62.12779
17.14918 6.620194 4.700202 7.502968 12.01209 14.42051 15.32760
0.000000 3.800982 8.492420 12.03507 14.56822 16.38758 17.53283
0.000000 1.013968 2.326662 3.419799 4.007746 4.467537 5.011776
139
Lampiran 5. Lanjutan
8 9 10 11 12 13 14 15 16 17 18 19 20 Period 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Period 1 2 3 4
0.222086 0.236861 0.250818 0.264066 0.276696 0.288791 0.300409 0.311593 0.322383 0.332822 0.342944 0.352777 0.362343
60.41902 59.11566 58.04649 57.14200 56.37529 55.73283 55.19562 54.73968 54.34459 53.99705 53.68889 53.41424 53.16828
15.82079 16.24183 16.62089 16.95162 17.23721 17.47803 17.67673 17.84241 17.98524 18.11155 18.22417 18.32469 18.41464
18.24755 18.77557 19.22245 19.60568 19.92484 20.18795 20.40802 20.59609 20.75951 20.90314 21.03036 21.14372 21.24523
5.512642 5.866941 6.110169 6.300695 6.462660 6.601186 6.719626 6.821825 6.910659 6.988259 7.056582 7.117349 7.171856
Variance Decomposition of LOG(IND): S.E. LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) 0.078442 0.119233 0.144293 0.165393 0.186602 0.206759 0.225081 0.241894 0.257661 0.272576 0.286720 0.300194 0.313095 0.325493 0.337437 0.348969 0.360132 0.370960 0.381480 0.391719
73.44798 68.22669 62.44170 57.53205 54.24417 52.23161 50.85539 49.83201 49.05401 48.43586 47.92249 47.49092 47.12933 46.82446 46.56311 46.33556 46.13541 45.95809 45.80002 45.65826
3.881429 1.692567 1.169054 1.885553 2.872372 3.323050 3.508456 3.657727 3.794602 3.905067 3.994669 4.071990 4.138475 4.194137 4.241018 4.281655 4.317590 4.349556 4.378066 4.403616
22.67059 29.12816 32.96369 35.58600 37.25524 38.33574 39.02623 39.49080 39.84246 40.13464 40.38097 40.58518 40.75413 40.89629 41.01832 41.12462 41.21816 41.30106 41.37499 41.44126
0.000000 0.952576 3.425556 4.996401 5.628220 6.109598 6.609926 7.019470 7.308928 7.524426 7.701862 7.851909 7.978061 8.085116 8.177549 8.258161 8.328848 8.391289 8.446929 8.496864
Variance Decomposition of LOG(KED): S.E. LOG(ROT) LOG(MAL) LOG(IND) LOG(KED) 0.055988 0.092875 0.115864 0.134727
46.74284 43.93575 39.46342 35.38443
0.037787 1.683256 1.209830 1.278575
0.573300 4.130661 6.464335 8.265158
52.64607 50.25033 52.86241 55.07184
140
Lampiran 5. Lanjutan
5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
0.152858 0.170036 0.186045 0.200903 0.214728 0.227688 0.239943 0.251610 0.262771 0.273484 0.283796 0.293744 0.303366 0.312690 0.321745 0.330552
32.69567 31.00271 29.85439 29.05976 28.48895 28.03814 27.65956 27.34051 27.07454 26.85192 26.66241 26.49827 26.35436 26.22714 26.11391 26.01259
1.767287 2.073066 2.199232 2.257279 2.296634 2.332366 2.368149 2.402566 2.432487 2.456753 2.476474 2.493257 2.508086 2.521356 2.533240 2.543882
9.923862 11.12764 11.83850 12.28371 12.61848 12.89515 13.12708 13.32050 13.48160 13.61674 13.73170 13.83109 13.91825 13.99538 14.06405 14.12550
55.61319 55.79658 56.10789 56.39925 56.59593 56.73434 56.84521 56.93643 57.01138 57.07458 57.12942 57.17738 57.21930 57.25613 57.28879 57.31804
Cholesky Ordering: LOG(ROT) LOG(MAL) LOG(IND) LOG(KED)
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