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# MODEL PAM

## Dependent Variable: LOG(KURS)

Method: Least Squares
Date: 11/25/11 Time: 07:47
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LOG(JUB)
INF
SBI
LOG(M)
LOG(KURS(-1))

1.079153
0.195185
0.023269
0.001037
-0.043998
0.660238

1.735799
0.162696
0.005128
0.003122
0.189197
0.142512

0.621704
1.199694
4.537399
0.332070
-0.232552
4.632863

0.5398
0.2415
0.0001
0.7426
0.8180
0.0001

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

0.896873
0.876248
0.120297
0.361786
24.99858
43.48414
0.000000

## Mean dependent var

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

9.010214
0.341964
-1.225715
-0.948169
-1.135242
2.477398

Dalam penelitian ini dperoleh nilai koeffisien log(kurs(-1)) sebesar 0.660238 = 1- i , 1 0.660 =
0.340 kemudian dari probabilitasnya dilihat dan hasilnya 0.0001 berarti model PAM ini layak
digunakan karena memenuhi syarat yaitu koefisien = 0.340 berada dianrtara 0 < < 1 dan
probabilitasnya juga signifikan
Kemudian di uji asumsi klasiknya mulai dari normalitas data
UJI NORMALITAS
8

Series: Residuals
Sample 1997Q2 2004Q4
Observations 31

7
6
5
4
3

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

-1.92e-15
-0.001801
0.303320
-0.210156
0.109816
0.562864
3.370467

Jarque-Bera
Probability

1.814157
0.403702

2
1
0
-0.2

-0.1

0.0

0.1

0.2

0.3

Hasil prob 0.403702 dan nini lebih besar dai level signifikasni 0.05 jadi Ho di terima artinya distribusi
Ut normal

UJI OTOKORELASI
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared

2.860922
8.699858

Prob. F(3,22)
Prob. Chi-Square(3)

0.0601
0.0336

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/25/11 Time: 08:00
Sample: 1997Q2 2004Q4
Included observations: 31
Presample missing value lagged residuals set to zero.
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LOG(JUB)
INF
SBI
LOG(M)
LOG(KURS(-1))
RESID(-1)
RESID(-2)
RESID(-3)

-1.417070
-0.381019
0.009934
-0.006773
0.301559
0.365423
-0.716693
-0.112923
0.350837

1.662947
0.222054
0.006342
0.004090
0.207609
0.210605
0.306295
0.250217
0.201906

-0.852144
-1.715883
1.566325
-1.656159
1.452535
1.735113
-2.339875
-0.451298
1.737625

0.4033
0.1002
0.1315
0.1119
0.1605
0.0967
0.0288
0.6562
0.0963

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

0.280641
0.019055
0.108765
0.260254
30.10419
1.072846
0.416595

## Mean dependent var

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

-1.92E-15
0.109816
-1.361561
-0.945242
-1.225851
2.203707

nilai prob 0.036 < 0.05 jadi Ho ditolak jadi terdapat masalh otokorelasi
UJI HETEROSKEDASTISITAS
Heteroskedasticity Test: White
F-statistic
Obs*R-squared
Scaled explained SS

3.485787
27.11118
20.89820

Prob. F(20,10)
Prob. Chi-Square(20)
Prob. Chi-Square(20)

0.0234
0.1322
0.4031

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/25/11 Time: 08:02
Sample: 1997Q2 2004Q4
Included observations: 31
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LOG(JUB)

54.17451
0.928117

22.22293
5.572194

2.437775
0.166562

0.0350
0.8710

(LOG(JUB))^2
(LOG(JUB))*INF
(LOG(JUB))*SBI
(LOG(JUB))*(LOG(M))
(LOG(JUB))*(LOG(KURS(-1)))
INF
INF^2
INF*SBI
INF*(LOG(M))
INF*(LOG(KURS(-1)))
SBI
SBI^2
SBI*(LOG(M))
SBI*(LOG(KURS(-1)))
LOG(M)
(LOG(M))^2
(LOG(M))*(LOG(KURS(-1)))
LOG(KURS(-1))
(LOG(KURS(-1)))^2
R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.078781
-0.041432
0.003817
0.128910
-0.435140
-0.224317
0.000719
-0.000407
0.033444
0.045864
-0.131263
-3.56E-05
0.011438
-0.001503
-10.75814
0.354701
0.273081
-1.985216
0.250130
0.874554
0.623663
0.011205
0.001256
112.7826
3.485787
0.023366

0.234738
0.029730
0.013437
0.212404
0.563566
0.225024
0.000365
0.000385
0.032938
0.024121
0.136941
9.13E-05
0.009309
0.008198
5.389234
0.215471
0.234055
3.915390
0.335620

0.335611
-1.393619
0.284049
0.606911
-0.772119
-0.996858
1.970509
-1.055668
1.015348
1.901373
-0.958537
-0.389459
1.228775
-0.183320
-1.996228
1.646163
1.166739
-0.507029
0.745278

## Mean dependent var

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

0.7441
0.1936
0.7822
0.5574
0.4579
0.3423
0.0771
0.3160
0.3339
0.0864
0.3604
0.7051
0.2473
0.8582
0.0739
0.1308
0.2704
0.6231
0.4733
0.011671
0.018265
-5.921457
-4.950047
-5.604802
2.993128

Hasil pengolahan di dapat sebesar 0.1322 > 0.05 berarti Ho diterima ahtinya tidak terdapat masalah
heteroskedastisitas
UJI SPESIFIKASI MODEL
Ramsey RESET Test
Equation: UNTITLED
Specification: LOG(KURS) C LOG(JUB) INF SBI LOG(M) LOG(KURS(-1))
Omitted Variables: Powers of fitted values from 2 to 3

F-statistic
Likelihood ratio

Value
7.798519
16.04812

df
(2, 23)
2

Probability
0.0026
0.0003

Sum of Sq.
0.146198
0.361786
0.215589
0.215589

df
2
25
23
23

Mean
Squares
0.073099
0.014471
0.009373
0.009373

Value
24.99858
33.02264

df
25
23

F-test summary:

Test SSR
Restricted SSR
Unrestricted SSR
Unrestricted SSR
LR test summary:
Restricted LogL
Unrestricted LogL

## Unrestricted Test Equation:

Dependent Variable: LOG(KURS)
Method: Least Squares

## Date: 11/25/11 Time: 08:04

Sample: 1997Q2 2004Q4
Included observations: 31
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LOG(JUB)
INF
SBI
LOG(M)
LOG(KURS(-1))
FITTED^2
FITTED^3

-727.3340
77.41260
9.227198
0.409380
-17.41438
261.7943
-45.07784
1.709767

207.6711
22.29163
2.659104
0.117090
5.037630
75.46415
13.12962
0.502185

-3.502336
3.472721
3.470040
3.496298
-3.456860
3.469121
-3.433294
3.404655

0.0019
0.0021
0.0021
0.0019
0.0021
0.0021
0.0023
0.0024

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

0.938547
0.919844
0.096816
0.215589
33.02264
50.18126
0.000000

## Mean dependent var

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

9.010214
0.341964
-1.614364
-1.244303
-1.493733
2.446384

Nilai probabilitas didapat sebesar 0.0026 < 0.05 vberarti Ho ditolak berati model tidak linier
Karena tidak lolos uji asumsi klasik maka tidak bisa dilakukan etimasi lagi.

MODEL ECM
Dependent Variable: DLOG(KURS)
Method: Least Squares
Date: 11/25/11 Time: 08:18
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
DLOG(JUB)
D(INF)
D(SBI)
DLOG(M)
LOG(JUB(-1))
INF(-1)
SBI(-1)
LOG(M(-1))
ECT

2.433337
0.522865
0.016091
0.004869
-0.109549
-0.163571
-0.242602
-0.261429
-0.396500
0.259914

2.081451
0.441664
0.006396
0.006329
0.279535
0.078836
0.155121
0.151430
0.326534
0.153775

1.169058
1.183854
2.515787
0.769198
-0.391897
-2.074835
-1.563950
-1.726400
-1.214268
1.690221

0.2555
0.2497
0.0201
0.4503
0.6991
0.0505
0.1328
0.0990
0.2381
0.1058

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

0.770765
0.672521
0.119153
0.298148
27.99729
7.845437
0.000053

## Mean dependent var

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

0.043562
0.208216
-1.161116
-0.698539
-1.010327
2.551629

Hasil ect memenuhi tapi probabilitas tidak signifikan sehingga model ecm gugur sehingga validitas
pengaruh tidak valid, dan tidak bisa dilakukan untuk uji janka panjang.
UJI STASIONERITAS
Null Hypothesis: LKURS has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on AIC, maxlag=3)

## Augmented Dickey-Fuller test statistic

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

t-Statistic

Prob.*

1.028510
-2.641672
-1.952066
-1.610400

0.9163

## Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LKURS)
Method: Least Squares
Date: 11/25/11 Time: 08:35
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LKURS(-1)

0.004306

0.004187

1.028510

0.3119

R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

-0.009629
-0.009629
0.209216
1.313142
5.017159
1.479996

## Mean dependent var

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

0.043562
0.208216
-0.259172
-0.212914
-0.244093

Hasil koef positif jadi data explosif dan prob 0.9163 berarti tidak stasioner
DENGAN INTERCEPT
Null Hypothesis: LKURS has a unit root
Exogenous: Constant
Lag Length: 3 (Automatic - based on AIC, maxlag=3)

## Augmented Dickey-Fuller test statistic

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

t-Statistic

Prob.*

-6.340742
-3.689194
-2.971853
-2.625121

0.0000

## Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LKURS)
Method: Least Squares
Date: 11/25/11 Time: 08:38
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LKURS(-1)
D(LKURS(-1))
D(LKURS(-2))
D(LKURS(-3))
C

-0.860507
0.264270
0.125166
0.167443
7.816957

0.135711
0.122852
0.125902
0.125199
1.230132

-6.340742
2.151124
0.994155
1.337414
6.354567

0.0000
0.0422
0.3305
0.1942
0.0000

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

0.654441
0.594343
0.130575
0.392147
20.02623
10.88968
0.000042

## Mean dependent var

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

0.024889
0.205013
-1.073302
-0.835409
-1.000576
2.131445

Nilai Koef Lkurs negatif jadi bisa dipakai kemudian kita lihat probabilitasnya 0.000 < 0.05 berarti
signifikan artinya data stasioner kemudian di lihat AIC nya -1.073302
DENGAN INTERCEPT DAN TREND
Null Hypothesis: LKURS has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic - based on AIC, maxlag=3)

## Augmented Dickey-Fuller test statistic

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

t-Statistic

Prob.*

-6.331740
-4.323979
-3.580623
-3.225334

0.0001

## Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LKURS)
Method: Least Squares
Date: 11/25/11 Time: 08:41
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LKURS(-1)
D(LKURS(-1))
D(LKURS(-2))
D(LKURS(-3))
C
@TREND(1997Q1)

-0.912116
0.301208
0.157500
0.217695
8.213626
0.003825

0.144055
0.127528
0.129342
0.133775
1.284227
0.003643

-6.331740
2.361902
1.217704
1.627313
6.395773
1.049975

0.0000
0.0274
0.2362
0.1179
0.0000
0.3051

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

0.670931
0.596142
0.130285
0.373434
20.71078
8.971039
0.000092

## Mean dependent var

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

0.024889
0.205013
-1.050770
-0.765297
-0.963498
2.177936

Nilai Koef Lkurs negatif jadi bisa dipakai kemudian kita lihat probabilitasnya 0.0001 < 0.05 berarti
signifikan artinya data stasioner kemudian di lihat AIC nya -1.050770 (minimum)
Bandingkan model yang stationer 1 dan stasioner model ke 2 lihat AIC mana yang minimum
UJI KOINTEGRASI
Date: 11/25/11 Time: 08:48
Series: LKURS LJUB INF SBI LM
Sample: 1997Q1 2004Q4
Included observations: 32
Null hypothesis: Series are not cointegrated
Cointegrating equation deterministics: C @TREND
Automatic lags specification based on Akaike criterion (maxlag=3)

Dependent
LKURS
LJUB
INF
SBI
LM

tau-statistic
-6.019980
-6.759919
-3.842042
-3.574734
-3.415270

Prob.*
0.0132
0.0030
0.4023
0.5201
0.5945

z-statistic
-33.32026
-37.41526
-20.55904
-18.62133
-25.90377

Prob.*
0.0145
0.0026
0.3851
0.5066
0.1274

## *MacKinnon (1996) p-values.

Intermediate Results:
Rho - 1
Rho S.E.
Residual variance
Long-run residual variance
Number of lags
Number of observations
Number of stochastic trends**

LKURS
-1.074847
0.178547
0.013217
0.013217
0
31
5

LJUB
-1.206944
0.178544
0.001204
0.001204
0
31
5

INF
-0.663195
0.172615
19.68978
19.68978
0
31
5

SBI
-0.600688
0.168037
49.98476
49.98476
0
31
5

LM
-0.601551
0.176136
0.010865
0.022385
1
30
5

## **Number of stochastic trends in asymptotic distribution

diantara semua variabel hanya variabel lkurs dan ljub saja yang bisa dijadikan variabel dependent.