Outline Tugas

1. Latar Belakang & Identifikasi Masakah (OR: Introduction)

2. Abstract (ringkas 2-3 paragraf)
i.
Objectives
ii.
Var & Data
iii. Uji apa saja yang sudah dilakukan
iv.
Model yang dipakai dan alasan
v.
Findings
3. Analisis Dampak
i.
Stationerity (table ringkasan, tunjukkan mana 1(0) dan mana I(1) +
Appendix
ii.
Lag optimum + Tabel
iii. Stability + Tabel or Graph
iv.
Uji Kointegrasi + Tabel
v.
Analisis Hub jangka panjang (table ringkasan) + Appendix
vi.
Analisis factor adjustment variable utama (ringkasan) + Appendix
vii. Analisis Granger Causality (ringkasan)+ Appendix
Dibuatkan tabel
1. UJI STATIONERITAS
LDILD
7

2
25

50

75

100

125

150

175

UJI STATIONER VARIABEL DILD PADA TINGKAT LEVEL

Null Hypothesis: LDILD has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)

Augmented Dickey-Fuller test statistic

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

t-Statistic

Prob.*

-0.414640
-3.467633
-2.877823
-2.575530

0.9028

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LDILD)
Method: Least Squares
Date: 11/19/16 Time: 12:22
Sample (adjusted): 2 177
Included observations: 176 after adjustments
Variable

Coefficient

LDILD(-1)
C

-0.004940
0.005639

R-squared
0.000987
Adjusted R-squared -0.004754
S.E. of regression
0.177156
Sum squared resid
5.460858
Log likelihood
55.88009
F-statistic
0.171926
Prob(F-statistic)
0.678916

Std. Error

t-Statistic

0.011914 -0.414640
0.062362 0.090427
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

Prob.
0.6789
0.9281
-0.019619
0.176736
-0.612274
-0.576246
-0.597661
1.841456

Dengan signifikan 0.9028 > 0.05 Ho diterima. Artinya variable DILD memiliki unit root (artinya
tidak stationer)

UJI STATIONER VARIABEL DILD PADA TINGKAT 1ST DIFFERENCE

Null Hypothesis: D(LDILD) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

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

-12.19395
-3.467851
-2.877919
-2.575581

0.0000

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LDILD,2)
Method: Least Squares
Date: 11/19/16 Time: 12:22
Sample (adjusted): 3 177
Included observations: 175 after adjustments
Variable

Coefficient

D(LDILD(-1))
C

-0.924439
-0.018240

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

0.462219
0.459111
0.177241
5.434659
55.48481
148.6925
0.000000

Std. Error

t-Statistic

0.075811 -12.19395
0.013481 -1.352988
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

Prob.
0.0000
0.1778
-5.08E-18
0.240995
-0.611255
-0.575086
-0.596584
2.019765

Dengan signifikan 0.0000 < 0.05 Ho ditolak. Artinya variable DILD tidak memiliki unit root
(artinya stationer)

LN225
2.30
2.28
2.26

2.24
2.22
2.20
2.18
25

50

75

100

125

150

UJI STATIONER VARIABEL N225 PADA TINGKAT LEVEL

Null Hypothesis: LN225 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.*

-1.893774
-3.467851
-2.877919
-2.575581

0.3347

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LN225)
Method: Least Squares
Date: 11/19/16 Time: 12:28
Sample (adjusted): 3 177
Included observations: 175 after adjustments
Variable

Coefficient

LN225(-1)
D(LN225(-1))
C

-0.030340
0.165691
0.067797

Std. Error

t-Statistic

0.016021 -1.893774
0.074916 2.211689
0.035929 1.886972

Prob.
0.0599
0.0283
0.0608

175

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

0.043332
0.032208
0.006011
0.006215
648.1794
3.895314
0.022155

Mean dependent var

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

-0.000274
0.006110
-7.373478
-7.319225
-7.351472
1.996438

Dengan signifikan 0.3347 > 0.05 Ho diterima. Artinya variable N225 memiliki unit root (artinya
tidak stationer)

UJI STATIONER VARIABEL N225 PADA TINGKAT 1ST STATIONER

Null Hypothesis: D(LN225) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)

Augmented Dickey-Fuller test statistic

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

t-Statistic

Prob.*

-11.26769
-3.467851
-2.877919
-2.575581

0.0000

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LN225,2)
Method: Least Squares
Date: 11/19/16 Time: 12:31
Sample (adjusted): 3 177
Included observations: 175 after adjustments
Variable

Coefficient

D(LN225(-1))
C

-0.847006
-0.000239

R-squared
Adjusted R-squared
S.E. of regression

0.423258
0.419924
0.006056

Std. Error

t-Statistic

0.075171 -11.26769
0.000458 -0.521645

Prob.
0.0000
0.6026

Mean dependent var -4.32E-05

S.D. dependent var
0.007951
Akaike info criterion -7.364270

Sum squared resid

Log likelihood
F-statistic
Prob(F-statistic)

0.006344
646.3737
126.9609
0.000000

Schwarz criterion
-7.328101
Hannan-Quinn criter. -7.349599
Durbin-Watson stat
1.989776

Dengan signifikan 0.0000 < 0.05 Ho ditolak. Artinya variable N225 tidak memiliki unit root
(artinya stationer)
LIHSG
10.0
9.8
9.6
9.4
9.2
9.0
8.8
25

50

75

100

125

150

UJI STATIONER VARIABEL IHSG PADA TINGKAT LEVEL

Null Hypothesis: LIHSG has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)

Augmented Dickey-Fuller test statistic

Test critical values: 1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation

t-Statistic

Prob.*

-1.636085
-3.467633
-2.877823
-2.575530

0.4620

175

Dependent Variable: D(LIHSG)

Method: Least Squares
Date: 11/19/16 Time: 12:32
Sample (adjusted): 2 177
Included observations: 176 after adjustments
Variable

Coefficient

LIHSG(-1)
C

-0.020705
0.191579

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

0.015151
0.009491
0.040030
0.278815
317.6635
2.676774
0.103629

Std. Error

t-Statistic

0.012655 -1.636085
0.119016 1.609686
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

Prob.
0.1036
0.1093
-0.003079
0.040221
-3.587085
-3.551057
-3.572472
1.803173

Dengan signifikan 0.4620 > 0.05 Ho diterima. Artinya variable IHSG memiliki unit root (artinya
tidak stationer)

UJI STATIONER VARIABEL IHSG PADA TINGKAT 1ST STATIONER

Null Hypothesis: D(LIHSG) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)

Augmented Dickey-Fuller test statistic

Test critical values: 1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LIHSG,2)
Method: Least Squares
Date: 11/19/16 Time: 12:33
Sample (adjusted): 3 177

t-Statistic

Prob.*

-11.97804
-3.467851
-2.877919
-2.575581

0.0000

Included observations: 175 after adjustments

Variable

Coefficient

D(LIHSG(-1))
C

-0.910297
-0.002877

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

0.453351
0.450191
0.040270
0.280548
314.8179
143.4735
0.000000

Std. Error

t-Statistic

0.075997 -11.97804
0.003055 -0.941696
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

Prob.
0.0000
0.3477
0.000176
0.054309
-3.575061
-3.538892
-3.560390
1.979189

Dengan signifikan 0.0000 < 0.05 Ho ditolak. Artinya variable IHSG tidak memiliki unit root
(artinya stationer)

Kesimpulan Umum:
-

Ketiga variable yang digunakan yaitu: LDILD, LN225 dan LIHSG adalah I(1).
Jadi perlu ditest apakah ada cointegration di antara ketiga variable tersebut.

2. PENENTUAN PANJANG LAG OPTIMUM

OUTPUT VAR
Vector Autoregression Estimates
Date: 11/19/16 Time: 12:48
Sample (adjusted): 3 177
Included observations: 175 after adjustments
Standard errors in ( ) & t-statistics in [ ]
LDILD

LIHSG

LN225

LDILD(-1)

1.072868
(0.07764)
[ 13.8187]

0.055177
(0.01675)
[ 3.29347]

0.008689
(0.00256)
[ 3.40037]

LDILD(-2)

-0.091981
(0.07859)
[-1.17044]

-0.051729
(0.01696)
[-3.05041]

-0.008356
(0.00259)
[-3.23084]

LIHSG(-1)

0.129519
(0.43084)
[ 0.30062]

0.894362
(0.09297)
[ 9.61974]

-0.006328
(0.01418)
[-0.44625]

LIHSG(-2)

-0.013926
(0.42860)
[-0.03249]

0.061215
(0.09249)
[ 0.66187]

0.004356
(0.01411)
[ 0.30880]

LN225(-1)

-2.607704
(2.79784)
[-0.93204]

1.494526
(0.60374)
[ 2.47543]

1.135353
(0.09208)
[ 12.3298]

LN225(-2)

1.971290
(2.81855)
[ 0.69940]

-1.376907
(0.60821)
[-2.26386]

-0.156796
(0.09276)
[-1.69028]

0.419848
(1.14156)
[ 0.36778]

0.134144
(0.24634)
[ 0.54456]

0.064831
(0.03757)
[ 1.72558]

0.975912
0.975052
5.366410
0.178726
1134.401
56.59061
-0.566750
-0.440158
5.086103
1.131531

0.974256
0.973337
0.249887
0.038567
1059.641
324.9450
-3.633657
-3.507066
9.396001
0.236190

0.958685
0.957209
0.005813
0.005882
649.7127
654.0274
-7.394599
-7.268008
2.242079
0.028436

Determinant resid covariance (dof

adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

1.12E-09
9.89E-10
1069.297
-11.98054
-11.60077

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

VAR Lag Order Selection Criteria

Endogenous variables: LDILD LIHSG LN225
Exogenous variables: C
Date: 11/19/16 Time: 13:08

Sample: 1 177
Included observations: 173
Lag

LogL

LR

FPE

0
1
2
3
4

260.1419
1044.456
1055.532
1062.774
1069.012

NA
1532.360
21.25446*
13.64695
11.53967

1.03e-05
1.31e-09
1.28e-09*
1.31e-09
1.35e-09

AIC

Lag optimum : 2

3. UJI STABILITAS MODEL

Roots of Characteristic Polynomial
Endogenous variables: LDILD LIHSG LN225
Exogenous variables: C
Lag specification: 1 2
Date: 11/19/16 Time: 13:12

0.989006
0.960407 - 0.005975i
0.960407 + 0.005975i
0.112092 - 0.130470i
0.112092 + 0.130470i
-0.031421

Modulus
0.989006
0.960426
0.960426
0.172009
0.172009
0.031421

No root lies outside the unit circle.

VAR satisfies the stability condition.
Dari hasil di atas AR roots < 1, maka model stabil

HQ

-2.972738 -2.918057 -2.950554

-11.93591 -11.71718* -11.84717*
-11.95990* -11.57713 -11.80461
-11.93958 -11.39277 -11.71774
-11.90766 -11.19680 -11.61927

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5%
level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

Root

SC

Inverse Roots of AR Characteristic Polynomial

1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

Dari graph di atas didapatkan bahwa no root lies outside the unit circle, maka model stabil

4. UJI COINTEGRATION
Sample (adjusted): 4 177
Included observations: 174 after adjustments
Trend assumption: Linear deterministic trend (restricted)
Series: LDILD LIHSG LN225
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s) Eigenvalue
None
At most 1
At most 2

0.078688
0.026142
0.019899

Trace
Statistic

0.05
Critical Value

Prob.**

22.36702
8.106561
3.497418

42.91525
25.87211
12.51798

0.9004
0.9805
0.8129

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized
No. of CE(s) Eigenvalue
None
At most 1
At most 2

0.078688
0.026142
0.019899

Max-Eigen
0.05
Statistic
Critical Value
14.26046
4.609143
3.497418

25.82321
19.38704
12.51798

Prob.**
0.7000
0.9921
0.8129

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
LDILD
1.935114
-0.526839
0.436273

LIHSG
6.499769
8.478730
-2.533476

LN225
-25.00462
-52.04567
-23.58480

@TREND(2)
0.059631
0.000669
0.001859

Unrestricted Adjustment Coefficients (alpha):

D(LDILD)
D(LIHSG)
D(LN225)
1 Cointegrating
Equation(s):

-0.045166
-0.003274
0.000119

0.009764
-0.003896
0.000165

0.002514
0.003782
0.000801

Log
likelihood

1072.322

Normalized cointegrating coefficients (standard error in parentheses)

LDILD
LIHSG
LN225
@TREND(2)
1.000000
3.358856
-12.92153
0.030815
(1.76720)
(9.01334)
(0.00606)
Adjustment coefficients (standard error in parentheses)
D(LDILD)
-0.087401
(0.02506)
D(LIHSG)
-0.006336
(0.00567)
D(LN225)
0.000230
(0.00087)
2 Cointegrating
Equation(s):

Log
likelihood

1074.627

Normalized cointegrating coefficients (standard error in parentheses)

LDILD
1.000000

LIHSG
0.000000

0.000000

1.000000

LN225
6.367471
(7.40563)
-5.742728
(1.80030)

@TREND(2)
0.025275
(0.00418)
0.001649
(0.00101)

Adjustment coefficients (standard error in parentheses)

D(LDILD)
-0.092545
-0.210784
(0.02593)
(0.13814)
D(LIHSG)
-0.004283
-0.054314
(0.00584)
(0.03114)
D(LN225)
0.000143
0.002171
(0.00090)
(0.00479)

5. APLIKASI MODEL: VAR ATAU VECM?

Vector Autoregression Estimates
Date: 11/19/16 Time: 13:44
Sample (adjusted): 4 177
Included observations: 174 after adjustments
Standard errors in ( ) & t-statistics in [ ]
DDILD

DIHSG

DN225

DDILD(-1)

0.027657 1.024786 0.000293

(0.07771) (0.78801) (9.8E-05)
[ 0.35591] [ 1.30047] [ 3.00482]

DDILD(-2)

0.102274 0.531989 -1.54E-05

(0.07926) (0.80372) (0.00010)
[ 1.29043] [ 0.66191] [-0.15435]

DIHSG(-1)

0.007827 -0.144869 -1.62E-05

(0.00952) (0.09658) (1.2E-05)
[ 0.82181] [-1.50004] [-1.35393]

DIHSG(-2)

0.000979 -0.175057 -2.21E-05

(0.00947) (0.09606) (1.2E-05)
[ 0.10339] [-1.82243] [-1.86054]

DN225(-1)

-64.63569 2111.747 0.221477

(75.6698) (767.352) (0.09503)
[-0.85418] [ 2.75199] [ 2.33058]

DN225(-2)

49.97366 791.8596 0.137758

(76.3548) (774.297) (0.09589)
[ 0.65449] [ 1.02268] [ 1.43661]

-2.567253 -48.59103 -0.002369

(3.39497) (34.4276) (0.00426)
[-0.75619] [-1.41140] [-0.55564]

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

0.021226 0.073408 0.091299

-0.013940 0.040117 0.058652
325492.5 33472208 0.513363
44.14813 447.6968 0.055444
0.603589 2.205060 2.796485
-902.3567 -1305.439 259.9517
10.45238 15.08551 -2.907491
10.57946 15.21260 -2.780403
-3.343676 -45.42649 -0.002300
43.84359 456.9565 0.057145

Determinant resid covariance

(dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

775603.2
685711.2
-1909.810
22.19322
22.57449

6. ANALISIS HASIL ESTIMASI MODEL

GRANGER-CAUSALITY
VAR Granger Causality/Block Exogeneity Wald
Tests
Date: 11/19/16 Time: 14:10
Sample: 1 177
Included observations: 174
Dependent variable: DDILD
Excluded

Chi-sq

df

Prob.

DIHSG

0.676516

0.7130

DN225

1.113539

0.5731

All

1.847869

0.7637

Dependent variable: DIHSG

Excluded

Chi-sq

df

Prob.

DDILD
DN225

2.196126
8.867980

2
2

0.3335
0.0119

All

11.14659

0.0250

Dependent variable: DN225

Excluded

Chi-sq

df

Prob.

DDILD
DIHSG

9.030794
4.902568

2
2

0.0109
0.0862

All

12.32913

0.0151

Dari hasil uji Granger-Causality, didapatkan bahwa DN225 berpengaruh terhadap DIHSG dan
DDILD berpengaruh yerhadap DN225

Var Xi

Var Xj

Granger-Causality

DILD
DILD
DN225
DN225
IHSG
IHSG

DN225
IHSG
DILD
IHSG
DILD
DN225

Y
N
N
Y
N
N

Note:
Y = Var Xi berpengaruh terhadap Var Xj
N = Var Xi tidak berpengaruh terhadap Var Xj