Null Hypothesis: IHK has a unit root

Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=13)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

0.946660
-3.466580
-2.877363
-2.575284

0.9959

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 21:42
Sample (adjusted): 4 184
Included observations: 181 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

IHK(-1)
D(IHK(-1))
D(IHK(-2))
C

0.001756
0.300755
-0.215184
0.275155

0.001855
0.073403
0.073485
0.146388

0.946660
4.097327
-2.928291
1.879628

0.3451
0.0001
0.0039
0.0618

R-squared
Adjusted R-squared

0.109594
0.094503

Mean dependent var

S.D. dependent var

0.445974
0.604407

S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.575139
58.54895
-154.6865
7.261924
0.000127

Akaike info criterion

Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

1.753442
1.824127
1.782099
2.007632

Null Hypothesis: D(IHK) has a unit root

Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=13)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-10.11466
-3.466580
-2.877363
-2.575284

0.0000

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(IHK,2)
Method: Least Squares
Date: 06/02/15 Time: 21:44
Sample (adjusted): 4 184
Included observations: 181 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(IHK(-1))
D(IHK(-1),2)
C

-0.901845
0.208136
0.402328

0.089162
0.073085
0.058144

-10.11466
2.847860
6.919447

0.0000
0.0049
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.402247
0.395530
0.574971
58.84539
-155.1436
59.89088
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.003329
0.739535
1.747443
1.800456
1.768936
2.004924

Januari2000
Juli2000
Januari2001
Juli2001
Januari2002
Juli2002
Januari2003
Juli2003
Januari2004
Juli2004
Januari2005
Juli2005
Januari2006
Juli2006
Januari2007
Juli2007
Januari2008
Juli2008
Januari2009
Juli2009
Januari2010
Juli2010
Januari2011
Juli2011
Januari2012
Juli2012
Januari2013
Juli2013
Januari2014
Juli2014
Januari2015

D(IHK)

-1

Date: 06/02/15 Time: 21:46

Sample: 1 184
Included observations: 183
Autocorrelation

Partial Correlation
1
2
3
4
5
6
7
8
9
1...
1...
1...
1...
1...
1...
1...
1...
1...
1...
2...
2...
2...
2...
2...
2...
2...
2...
2...
2...
3...
3...
3...
3...
3...
3...
3...

AC

PAC

Q-Stat

Prob

0.256
-0.13...
-0.09...
-0.03...
0.058
0.080
0.039
-0.17...
-0.13...
-0.04...
0.110
0.131
-0.05...
-0.09...
-0.10...
0.020
0.099
-0.00...
-0.08...
-0.14...
-0.07...
-0.02...
0.103
0.090
-0.00...
0.006
-0.05...
-0.04...
0.032
0.071
0.056
0.060
-0.03...
-0.00...
0.150
0.108

0.256
-0.20...
-0.00...
-0.03...
0.064
0.036
0.023
-0.18...
-0.01...
-0.06...
0.117
0.035
-0.07...
-0.01...
-0.06...
0.032
0.031
-0.07...
-0.02...
-0.08...
-0.02...
-0.05...
0.063
0.026
0.038
0.039
-0.06...
-0.08...
0.021
0.028
0.079
0.096
-0.06...
0.052
0.111
0.022

12.197
15.335
17.189
17.431
18.076
19.287
19.575
25.229
28.702
29.159
31.538
34.932
35.483
37.145
39.177
39.261
41.248
41.248
42.583
46.941
48.050
48.152
50.398
52.121
52.121
52.130
52.710
53.154
53.374
54.494
55.199
56.017
56.251
56.260
61.395
64.074

0.000
0.000
0.001
0.002
0.003
0.004
0.007
0.001
0.001
0.001
0.001
0.000
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.002
0.002
0.003
0.004
0.004
0.005
0.005
0.007
0.010
0.004
0.003

Dlilihat dr corelogram nya

-

NO

Pada partial c. Terdapat spike pada1,2,8 maka model AR yang diajukan

adalah AR 1, AR 2, dan AR 8
Pada autocorre terdp spike 1, 8 maka model MA yang diajukan adalah MA
1, MA 8

MODEL
C

1
2
3

(0,1,1)
(0,1,8)
(0,1,20)

0.0000
0.0000
0.0000

P VALUE
AR
-

R2-adj

AIC

SBC

0.088039
0.027621
0.029022

1.746888
1.811038
1.809596

1.781965
1.846114
1.844672

MA
0.0000
0.0175
0.0032

4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19

(0,1,35)
(1,1,0)
(1,1,1)
(1,1,8)
(1,1,20)
(1,1,35)
(2,1,0)
(2,1,1)
(2,1,8)
(2,1,20)
(2,1,35)
(8,1,0)
(8,1,1)
(8,1,8)
(8,1,20)
(8,1,20)

0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

0.0005
0.1457
0.0006
0.0014
0.0009
0.0808
0.1329
0.0676
0.0400
0.0716
0.0144
0.0133
0.6635
0.0258
0.0441

0.0015

0.0002
0.0215
0.0168
0.0060

0.0001
0.0167
0.0011
0.0017

0.0000
0.8849
0.0071
0.0233

0.034086
0.060550
0.089027
0.085112
0.078057
0.086717
0.011444
0.091476
0.039597
0.045893
0.044510
0.028531
0.112253
0.023101
0.052533
0.046814

Digit pertama menunjukan AR (auto-regression)

Digit kedua menunjukan different (tadi different pertama)
Digit ketiga menunjukan MA (moving average)

MODEL ARIMA(0,1,1)
Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:14
Sample (adjusted): 2 184
Included observations: 183 after adjustments
Convergence achieved after 6 iterations
MA Backcast: 1
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
MA(1)

0.440133
0.352737

0.057577
0.069553

7.644210
5.071504

0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.093050
0.088039
0.576414
60.13786
-157.8403
18.57004
0.000027

Inverted MA Roots

-.35

MODEL ARIMA (0,1,8)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:18
Sample (adjusted): 2 184

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.440304
0.603596
1.746888
1.781965
1.761107
2.060439

1.804367
1.779559
1.754196
1.758485
1.766166
1.756728
1.830340
1.751363
1.806894
1.800317
1.801767
1.840690
1.756199
1.851895
1.821304
1.827321

1.839443
1.814768
1.807009
1.811298
1.818980
1.809542
1.865683
1.804377
1.859908
1.853331
1.854780
1.876859
1.810452
1.906149
1.875558
1.881575

Included observations: 183 after adjustments

Convergence achieved after 6 iterations
MA Backcast: -6 1
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
MA(8)

0.441022
-0.188967

0.036092
0.078769

12.21954
-2.398993

0.0000
0.0175

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots

0.032963
0.027621
0.595202
64.12208
-163.7099
6.169770
0.013904
.81
-.00+.81i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.57-.57i
-.57+.57i

.57-.57i
-.57-.57i

0.440304
0.603596
1.811038
1.846114
1.825256
1.489084

.00-.81i
-.81

MODEL ARIMA (0,1,20)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/19/15 Time: 22:28
Sample (adjusted): 2 184
Included observations: 183 after adjustments
Convergence achieved after 6 iterations
MA Backcast: -18 1
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
MA(20)

0.443015
-0.236829

0.034877
0.079202

12.70228
-2.990203

0.0000
0.0032

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots

0.034357
0.029022
0.594773
64.02968
-163.5780
6.439881
0.012002
.93
.75+.55i
.29-.88i
-.29-.88i
-.75+.55i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.88+.29i
.55-.75i
.00-.93i
-.55+.75i
-.88-.29i

MODEL ARIMA (0,1,35)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/19/15 Time: 22:32
Sample (adjusted): 2 184
Included observations: 183 after adjustments
Convergence achieved after 7 iterations

.88-.29i
.55+.75i
-.00+.93i
-.55-.75i
-.88+.29i

0.440304
0.603596
1.809596
1.844672
1.823814
1.532866

.75-.55i
.29+.88i
-.29+.88i
-.75-.55i
-.93

MA Backcast: -33 1
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
MA(35)

0.446413
0.274028

0.054154
0.084995

8.243416
3.224066

0.0000
0.0015

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots

0.039393
0.034086
0.593220
63.69576
-163.0996
7.422520
0.007073
.96-.09i
.87+.42i
.67+.70i
.38-.89i
.04-.96i
-.30+.92i
-.60+.75i
-.83-.49i
-.95+.17i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.96+.09i
.87-.42i
.67-.70i
.38+.89i
.04+.96i
-.30-.92i
-.60-.75i
-.83+.49i
-.95-.17i

.93+.26i
.78-.57i
.53-.80i
.21-.94i
-.13+.95i
-.46-.85i
-.73+.63i
-.90+.34i
-.96

0.440304
0.603596
1.804367
1.839443
1.818585
1.512324

.93-.26i
.78+.57i
.53+.80i
.21+.94i
-.13-.95i
-.46+.85i
-.73-.63i
-.90-.34i

MODEL ARIMA (1,1,0)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:22
Sample (adjusted): 3 184
Included observations: 182 after adjustments
Convergence achieved after 3 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)

0.443338
0.256067

0.058378
0.071951

7.594214
3.558931

0.0000
0.0005

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.065741
0.060550
0.585890
61.78810
-159.9399
12.66599
0.000476

Inverted AR Roots

.26

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

Model ARIMA (1,1,1)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:26
Sample (adjusted): 3 184
Included observations: 182 after adjustments

0.442575
0.604476
1.779559
1.814768
1.793832
1.895399

Convergence achieved after 7 iterations

MA Backcast: 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)
MA(1)

0.442280
-0.276112
0.596022

0.053430
0.188956
0.158096

8.277673
-1.461255
3.769999

0.0000
0.1457
0.0002

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.099093
0.089027
0.576942
59.58231
-156.6319
9.844330
0.000088

Inverted AR Roots
Inverted MA Roots

-.28
-.60

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.442575
0.604476
1.754196
1.807009
1.775606
2.006245

Model ARIMA (1,1,8)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:32
Sample (adjusted): 3 184
Included observations: 182 after adjustments
Convergence achieved after 7 iterations
MA Backcast: -5 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)
MA(8)

0.443371
0.253771
-0.184229

0.047368
0.072325
0.079441

9.360177
3.508763
-2.319066

0.0000
0.0006
0.0215

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots

0.095221
0.085112
0.578181
59.83840
-157.0221
9.419166
0.000129
.25
.81
-.00-.81i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.57-.57i
-.57-.57i

MODEL ARIMA (1,1,20)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/19/15 Time: 22:39
Sample (adjusted): 3 184
Included observations: 182 after adjustments
Convergence achieved after 7 iterations
MA Backcast: -17 2

.57-.57i
-.57+.57i

0.442575
0.604476
1.758485
1.811298
1.779895
1.893911

.00+.81i
-.81

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)
MA(20)

0.445416
0.236813
-0.195403

0.046727
0.072788
0.080934

9.532275
3.253478
-2.414359

0.0000
0.0014
0.0168

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots

0.088244
0.078057
0.580405
60.29981
-157.7211
8.662254
0.000257
.24
.92
.75+.54i
.28-.88i
-.28-.88i
-.75+.54i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.88+.28i
.54+.75i
.00-.92i
-.54+.75i
-.88-.28i

.88-.28i
.54-.75i
-.00+.92i
-.54-.75i
-.88+.28i

0.442575
0.604476
1.766166
1.818980
1.787576
1.900227

.75-.54i
.28+.88i
-.28+.88i
-.75-.54i
-.92

MODEL ARIMA (1,1,35)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/19/15 Time: 22:46
Sample (adjusted): 3 184
Included observations: 182 after adjustments
Convergence achieved after 6 iterations
MA Backcast: -32 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)
MA(35)

0.448972
0.244748
0.241113

0.068302
0.072430
0.086678

6.573335
3.379099
2.781699

0.0000
0.0009
0.0060

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots

0.096809
0.086717
0.577673
59.73339
-156.8623
9.593076
0.000110
.24
.96+.09i
.87-.42i
.66-.69i
.38+.88i
.04-.96i
-.30+.91i
-.60+.75i
-.82+.49i
-.94+.17i

Model ARIMA (2,1,0)

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.96-.09i
.87+.42i
.66+.69i
.38-.88i
.04+.96i
-.30-.91i
-.60-.75i
-.82-.49i
-.94-.17i

.93+.26i
.78+.56i
.53+.80i
.21-.94i
-.13-.95i
-.45+.85i
-.72-.63i
-.90-.34i
-.96

0.442575
0.604476
1.756728
1.809542
1.778138
1.899845

.93-.26i
.78-.56i
.53-.80i
.21+.94i
-.13+.95i
-.45-.85i
-.72+.63i
-.90+.34i

Dependent Variable: D(IHK)

Method: Least Squares
Date: 06/02/15 Time: 22:37
Sample (adjusted): 4 184
Included observations: 181 after adjustments
Convergence achieved after 3 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(2)

0.445482
-0.129650

0.039542
0.073831

11.26614
-1.756044

0.0000
0.0808

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.016936
0.011444
0.600939
64.64175
-163.6458
3.083692
0.080791

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.445974
0.604407
1.830340
1.865683
1.844669
1.436149

Model ARIMA (2,1,1)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:42
Sample (adjusted): 4 184
Included observations: 181 after adjustments
Convergence achieved after 5 iterations
MA Backcast: 3
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(2)
MA(1)

0.445245
-0.116598
0.306814

0.050065
0.077242
0.074229

8.893371
-1.509516
4.133324

0.0000
0.1329
0.0001

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.101570
0.091476
0.576100
59.07656
-155.4984
10.06174
0.000072

Inverted MA Roots

-.31

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.445974
0.604407
1.751363
1.804377
1.772856
1.998704

Model ARIMA (2,1,8)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:49
Sample (adjusted): 4 184
Included observations: 181 after adjustments
Convergence achieved after 6 iterations
MA Backcast: -4 3
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(2)
MA(8)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots

0.444868
-0.136062
-0.191271
0.050269
0.039597
0.592319
62.44993
-160.5239
4.710699
0.010150
.81
-.00-.81i

0.031714
0.074002
0.079160

14.02744
-1.838622
-2.416268

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.58-.58i
-.58-.58i

.58-.58i
-.58+.58i

0.0000
0.0676
0.0167
0.445974
0.604407
1.806894
1.859908
1.828387
1.430844

.00+.81i
-.81

MODEL ARIMA (2,1,20)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/19/15 Time: 22:51
Sample (adjusted): 4 184
Included observations: 181 after adjustments
Convergence achieved after 6 iterations
MA Backcast: -16 3
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(2)
MA(20)

0.446698
-0.153313
-0.261239

0.029414
0.074106
0.078928

15.18662
-2.068844
-3.309821

0.0000
0.0400
0.0011

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots

0.056494
0.045893
0.590375
62.04054
-159.9287
5.329070
0.005653
.94
.76-.55i
.29-.89i
-.29-.89i
-.76-.55i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.89+.29i
.55+.76i
.00-.94i
-.55+.76i
-.89-.29i

.89-.29i
.55-.76i
-.00+.94i
-.55-.76i
-.89+.29i

0.445974
0.604407
1.800317
1.853331
1.821810
1.473998

.76+.55i
.29+.89i
-.29+.89i
-.76+.55i
-.94

MODEL ARIMA (2,1,35)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/19/15 Time: 22:54
Sample (adjusted): 4 184
Included observations: 181 after adjustments
Convergence achieved after 7 iterations
MA Backcast: -31 3
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(2)
MA(35)

0.451545
-0.134216
0.270191

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots

0.055126
0.044510
0.590803
62.13052
-160.0599
5.192462
0.006431
.96+.09i
.87+.42i
.67+.70i
.38+.89i
.04-.96i
-.30+.92i
-.60+.75i
-.83-.49i
-.95+.17i

0.047683
0.074058
0.084907

9.469629
-1.812294
3.182177

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.96-.09i
.87-.42i
.67-.70i
.38-.89i
.04+.96i
-.30-.92i
-.60-.75i
-.83+.49i
-.95-.17i

.93+.26i
.78-.57i
.53-.80i
.21+.94i
-.13-.95i
-.46+.85i
-.73+.63i
-.90+.34i
-.96

0.0000
0.0716
0.0017
0.445974
0.604407
1.801767
1.854780
1.823259
1.459996

.93-.26i
.78+.57i
.53+.80i
.21-.94i
-.13+.95i
-.46-.85i
-.73-.63i
-.90-.34i

Model ARIMA (8,1,0)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:54
Sample (adjusted): 10 184
Included observations: 175 after adjustments
Convergence achieved after 3 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(8)

0.449406
-0.197006

0.038162
0.079699

11.77628
-2.471876

0.0000
0.0144

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots

0.034114
0.028531
0.603943
63.10130
-159.0603
6.110171
0.014408
.75-.31i
-.31+.75i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.75+.31i
-.31-.75i

Model ARIMA (8,1,1)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 22:58
Sample (adjusted): 10 184
Included observations: 175 after adjustments

.31+.75i
-.75-.31i

0.453234
0.612748
1.840690
1.876859
1.855361
1.501390

.31-.75i
-.75+.31i

Convergence achieved after 6 iterations

MA Backcast: 9
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(8)
MA(1)

0.449349
-0.199982
0.357684

0.049339
0.079945
0.071415

9.107362
-2.501502
5.008537

0.0000
0.0133
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots

0.122457
0.112253
0.577333
57.32988
-150.6674
12.00085
0.000013
.76-.31i
-.31+.76i
-.36

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.76+.31i
-.31-.76i

.31+.76i
-.76-.31i

0.453234
0.612748
1.756199
1.810452
1.778206
2.076123

.31-.76i
-.76+.31i

Model ARIMA (8,1,8)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/02/15 Time: 23:04
Sample (adjusted): 10 184
Included observations: 175 after adjustments
Convergence achieved after 54 iterations
MA Backcast: 2 9
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(8)
MA(8)

0.449923
-0.149002
-0.050347

0.038038
0.341902
0.347197

11.82829
-0.435804
-0.145010

0.0000
0.6635
0.8849

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots

0.034329
0.023101
0.605629
63.08723
-159.0408
3.057280
0.049579
.73+.30i
-.30+.73i
.69
-.00-.69i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.73-.30i
-.30-.73i
.49+.49i
-.49+.49i

MODEL ARIMA (8,1,20)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/19/15 Time: 22:57
Sample (adjusted): 10 184
Included observations: 175 after adjustments
Convergence achieved after 6 iterations

.30-.73i
-.73-.30i
.49-.49i
-.49-.49i

0.453234
0.612748
1.851895
1.906149
1.873902
1.501573

.30+.73i
-.73+.30i
-.00+.69i
-.69

MA Backcast: -10 9
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(8)
MA(20)

0.449695
-0.182620
-0.225355

0.030698
0.081193
0.082663

14.64908
-2.249222
-2.726183

0.0000
0.0258
0.0071

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots

0.063423
0.052533
0.596436
61.18654
-156.3641
5.823738
0.003571
.75+.31i
-.31-.75i
.93
.75-.55i
.29+.88i
-.29+.88i
-.75-.55i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.75-.31i
-.31+.75i
.88+.29i
.55-.75i
.00-.93i
-.55-.75i
-.88-.29i

.31-.75i
-.75-.31i
.88-.29i
.55+.75i
.00+.93i
-.55+.75i
-.88+.29i

0.453234
0.612748
1.821304
1.875558
1.843311
1.551204

.31+.75i
-.75+.31i
.75+.55i
.29-.88i
-.29-.88i
-.75+.55i
-.93

MODEL ARIMA (8,1,35)

Dependent Variable: D(IHK)
Method: Least Squares
Date: 06/19/15 Time: 23:02
Sample (adjusted): 10 184
Included observations: 175 after adjustments
Convergence achieved after 6 iterations
MA Backcast: -25 9
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(8)
MA(35)

0.452925
-0.163109
0.206931

0.045720
0.080420
0.090374

9.906475
-2.028209
2.289722

0.0000
0.0441
0.0233

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots

0.057770
0.046814
0.598233
61.55583
-156.8906
5.272864
0.005991
.74+.31i
-.31+.74i
.95+.09i
.86-.41i
.66+.69i
.38-.88i
.04+.96i
-.30-.91i
-.60-.75i
-.82+.49i
-.94+.17i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.74-.31i
-.31-.74i
.95-.09i
.86+.41i
.66-.69i
.38+.88i
.04-.96i
-.30+.91i
-.60+.75i
-.82-.49i
-.94-.17i

.31-.74i
-.74-.31i
.92+.25i
.77+.56i
.53+.80i
.21-.93i
-.13-.95i
-.45+.84i
-.72+.63i
-.90-.34i
-.96

0.453234
0.612748
1.827321
1.881575
1.849328
1.505471

.31+.74i
-.74+.31i
.92-.25i
.77-.56i
.53-.80i
.21+.93i
-.13+.95i
-.45-.84i
-.72-.63i
-.90+.34i