EKONOMETRIKA II

= (
1
,
2
)
y continuous / diskrit
y dikotomi (limited dependent varian (y1 / y0)









Kombinasi diskrit-dikotomi
Sistem Persamaan (2 atau lebih persamaan)
= (
1
,
2
) = (
1
,
2
)

1
= (
3
, ) = (
1
,
2
)
= (
1
,
2
) = (
1
,
2
)

1
= (
3
,
4
) = (
3
,
4
)
Time Series
ata Series : Yt|t 1,2,......
Yt a T lain-lain

I

= o
0
+ o
1
+o
2
+o
3
+ irregularity
White noise : e bisa diterima
1. Stasioner
2. No serial correlation
CLS
y
x
y
x
roblL/loglL
y
x
LoblL
slmulLan
recurslve
Su8
unrelaLed
?L a 1
nama ulfle Lfrlza
kelas AC
nlM 0810210094
. Constant varian

= (
1
,
2
, .)

= o
0
+ o
1
I
1
+ b
1

1
+ b
2

2
+

lLe nolse
AuLoregresl movlng average
O erapa lag unLuk A8 dan MA ?
dlagnose penenLuan lag compuLasl
Menggunakan correlogram unLuk mellaL auLo korelasl (MA) parslal auLokorelasl (A8)

ACl (MA) ACl (A8)








ACl CC8 (

,
1
) =
co (
t
,
t-1)
S
t
.S
t-1
=
co (
t
,
t-1)
u
t

AlC ln (
LSS
1
) =
2]
1

SS (c
2
)
Non stasioner

= y
1
+

a
L
1
drlfL
sLasloner SLasloner lL Lrend drlfL

= o
0
+ o
1

3
+b
1

3
+

= o
0
+ o
1

3
+o
2

+b
1

3
+

A8 (3)
A8 (3)
A8 y dl masa lampau
MA dr error
Cor (xy)
co (x,)
S
x
.S
j

y = non sLasloner
y < sLasloner
D|ckeyIu||er

1
= y
1

1
+

= (y )
1
+

= [
1
+

Po 0 non stasioner
H1: =0 stasioner
Augmented Dickey Fuller (ADF)
?L Lldak sLasloner

= [
1
+ y
1

1
+ y
2

2
+ .+y
k

k
+

Po 0 non sLasloner
P1 0 sLasloner
lla Po dlLerlma berarLl ?L Lldak sLasloner

= (

) - o sosonr -

l (1)

= [
1

+y
1

1
+y
2

2
++ y
z

z
+

= (

) - sosonr -

l (2)

= [
1

+y
1

1
+y
2

2
++ y
z

z
+

Menerlma P1
!lka y l (0)
A8MA (pq)

= y
1

1
+ y
2

2
+ +y
p

p
+0
1

1
+0
2

2
+ + 0
q

q
+

A8lMA (p1q)
? l(2) I

l(0)
A8lMA (p2q)
atau |eb|h var|abe|

1
,
2
unlvarlaLe analysls
MulLlvarlaLe analysls

1
= (
2
)

1
= o
0
+o
1

2
+

wblte oolse

1
I(0)

I(0)
1
I(1)

I(1)

2
I(0)
2
I(0)

1
I(1)

I(0)

2
I(1)

I(=0) sporious regression problem

1
I(2)

I(0)

2
I(2)

I(1)

I(2)

1
I(1)

I(=0)

2
I(2)

- I()

= [
0
+ [
1

jangka panjang
(

[
0
[
1

) =

stasioner kombinasi linear
bila

dan

berhubungan disebut kointegrasi

= o
0
+ o
1

1
+o
2

+ o
3

1
+

jangka pendek

= [
0
+ [
1

CLS [
0
+[
1

unit root test

= I(0) non cointegrasi

0 l(0) bercolnLegrasl
lla ada 3 varlabel (
1
,
2
,
3
) dlllaL

(l(0) aLau l(1)) apaka sLasloner//Lldak blla l0colnLegrasl

l(0) l(1) l(1)

l(0)
l(1) l(0) l(1)

l(0)
l(0) l(0) l(1)

l(0)
l(0) l(1) l(0) l(0)

l(0)
(1 [
0
[
1
) colnLegrasl vecLor 0

operaslonal
l(0)

= o
0
+ o
1

1
+ o
2

2
+ o
3

3
+

l(0)

1
,
2
berkolnLegrasl ?
l(1) l(1) l(0)

1
= [
0
+ [
1

2
+

regres CLS

1
= , + ,
2
+

t (2,4) I(0)
0

= o
0
+ I + o
3

3
+

agalmana mengganLl o
1

1
+ o
2

2
men[adl Cl ?
o
1

1
+o
2

2
7
1
, ,
2

Lrror correcLlon
o
1

1
+o
2

2
(
1
, ,
2
)
!adl

= o
0
+ (
1
, ,
2
) +o
3

3
+

= o
0
+ o
1

1
+ o
2

2
+ o
3

3
+

= o
0
+ o
1

1
+o
1

11
+o
2

2
+ o
2

22
+o
3

3
+

1
=
1

11

1
=
1
+
11
[angka pan[ang

= o
0
+ o
1

1
+o
2

2
+ o
3

3
+(
11
, ,
21
) +

LCM

1

sama lnLegraslnya dg 1
, (x)
Lebl darl 1 varlabel

= o
0
+ o
1

1
+o
2

1
+ o
3

2
+

- I()

1
- I()

2
- I()
l(0) l(0) l(1) l(1) l(0)

= o
0
+ o
1

1
+o
2

1
+ o
3

2
+

+
1
= o
0
+o
1

1
+ o
2

1
+ o
3

2
+

= o
0
+ o
1

1

1
+ o
2

1
+ o
3

2
+

= o
0
+ (o
1
)
1
+ o
2

1
+ o
3

2
+

= o
0
+ (o
1
)
1
+ o
2
(
1
+
11
) + o
3

2
+

= o
0
+ (o
1
)
1
+ +o
2

11
+o
2

1
+ o
3

2
+

l(0) l(1) l(1) l(0) l(0)
ColnLegrasl ?

1
= [
0
+ [
1

11
+

(o
1
)
1
+ +o
2

11
7
1
[
0
[
1

11
+

7 y(
1
[
0
[
1

11
)
!adl

= o
0
+y(
1
[
0
[
1

11
) + o
2

1
+ o
3

2
+

= o
0
+ o
2

1
+o
3

2
+ y
1
+

= o
0
+ o
2

1
+o
3

2
+ y
1
+