1.

Identifikasi model
a. Cek kestasioneran data
- metode grafik
SERIES02
148

144

140

136

132

128

124
5 10 15 20 25 30 35
Berdasarkan grafik di atas terdapat dugaan bahwa data tidak stasioner pada nilai
tengah.
- Metode Korelogram

Berdasarkan korelogram di atas ada indikasi bahwa data berbentuk eksponensial dan tidak
stasioner
- Unit Root Test
Augmented Dickey Fuller

Null Hypothesis: SERIES02 has a unit root

Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 1.304628 0.9981
Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SERIES02)
Method: Least Squares
Date: 12/21/16 Time: 22:19
Sample (adjusted): 4 36
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

SERIES02(-1) 0.030622 0.023472 1.304628 0.2023

D(SERIES02(-1)) 0.491596 0.158941 3.092941 0.0044
D(SERIES02(-2)) -0.546860 0.165635 -3.301589 0.0026
C -3.449905 3.105328 -1.110963 0.2757

R-squared 0.368666 Mean dependent var 0.628485

Adjusted R-squared 0.303356 S.D. dependent var 0.900767
S.E. of regression 0.751827 Akaike info criterion 2.380593
Sum squared resid 16.39209 Schwarz criterion 2.561988
Log likelihood -35.27978 Hannan-Quinn criter. 2.441627
F-statistic 5.644833 Durbin-Watson stat 2.263239
Prob(F-statistic) 0.003577

Uji Hipotesis Augmented Dickey Fuller

1. 𝐻0 : 𝜎 = 0(𝑁𝑜𝑛 − 𝑆𝑡𝑎𝑠𝑖𝑜𝑛𝑒𝑟)
𝐻1 : 𝜎 ≠ 0(𝑆𝑡𝑎𝑠𝑖𝑜𝑛𝑒𝑟)
2. 𝛼 = 0,05
3. Statistik hitung
P − value = 0,9981
4. Keputusan
P − value = 0,9981 > α = 0,05 maka gagal tolak Ho
5. Kesimpulan
Dengan tingkat signifikansi 5% berdasarkan sampel yang ada dapat
dikatakan bahwa cukup bukti data tersebut tidak stasioner
Berdasarkan 3 uji stasioneritas didapatkan kesimpulan bahwa data ihk tidak stasioner
pada level sehingga perlu dilakukan proses diferensiasi. Proses diferensiasi stokastik akan
mengubah data runtun waktu yang tadinya tidak stasioner menjadi data runtun waktu yang
stasioner dan memiliki rata-rata serta varians yang konstan antar periodenya.
Langkah pertama untuk menstasionerkan data adalah dengan menurunkan data
dengan memilih menu Quick  Generate Series lalu masukkan persamaan “dihk=d(ihk) ,
lalu akan muncul folder “dkoperasi”. Folder dwages ini merupakan data hasil penurunan
yang akan digunakan untuk melihat grafik turunan pertamanya sebagai penentu bentuk
persamaan yang akan digunakan pada proses menstasionerkan data.
Langkah selanjutnya adalah mengecek kembali data yang telah diturunkan dengan 3
metode yang telah dijelaskan.
 - Metode grafik
DIHK
5

-1
5 10 15 20 25 30 35
Grafik sudah stasioner pada rerata

- Metode korelogram

- Unit root test

-
Null Hypothesis: D(IHK) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.333765 0.0001

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IHK,2)
Method: Least Squares
Date: 12/22/16 Time: 01:07
Sample (adjusted): 4 36
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(IHK(-1)) -0.943623 0.176915 -5.333765 0.0000

D(IHK(-1),2) 0.474645 0.157929 3.005439 0.0053
C 0.595534 0.168879 3.526404 0.0014

R-squared 0.486736 Mean dependent var 0.036364

Adjusted R-squared 0.452518 S.D. dependent var 1.027913
S.E. of regression 0.760574 Akaike info criterion 2.377020
Sum squared resid 17.35417 Schwarz criterion 2.513067
Log likelihood -36.22084 Hannan-Quinn criter. 2.422796
F-statistic 14.22471 Durbin-Watson stat 2.134820
Prob(F-statistic) 0.000045

Untuk melihat nilai p dan q maka bisa dilihat dari korelogram:

Pengajuan model:

ARIMA(2,1,0)

ARIMA(0,1,3)

ARIMA(2,1,3)

ARIMA(2,1,1)

2. Estimasi parameter
a. ARIMA(2,1,0)
Dependent Variable: DIHK
Method: Least Squares
Date: 12/20/16 Time: 15:20
Sample (adjusted): 4 36
Included observations: 33 after adjustments
Convergence achieved after 3 iterations

Variable Coefficient Std. Error t-Statistic Prob.

C 0.631115 0.140495 4.492075 0.0001

AR(1) 0.531022 0.157857 3.363946 0.0021
AR(2) -0.474645 0.157929 -3.005439 0.0053

R-squared 0.331612 Mean dependent var 0.628485

Adjusted R-squared 0.287053 S.D. dependent var 0.900767
S.E. of regression 0.760574 Akaike info criterion 2.377020
Sum squared resid 17.35417 Schwarz criterion 2.513067
Log likelihood -36.22084 Hannan-Quinn criter. 2.422796
F-statistic 7.442065 Durbin-Watson stat 2.134820
Prob(F-statistic) 0.002374

Inverted AR Roots .27-.64i .27+.64i

Heteroskedasticity Test: ARCH

F-statistic 0.045073 Prob. F(1,30) 0.8333

Obs*R-squared 0.048006 Prob. Chi-Square(1) 0.8266

*tidak ada efek ARCH

b. arima(0,1,3)

Dependent Variable: DIHK

Method: Least Squares
Date: 12/20/16 Time: 15:23
Sample (adjusted): 2 36
Included observations: 35 after adjustments
Convergence achieved after 7 iterations
MA Backcast: -1 1

Variable Coefficient Std. Error t-Statistic Prob.

C 0.614292 0.093707 6.555431 0.0000

MA(3) -0.388651 0.179038 -2.170772 0.0372

R-squared 0.135056 Mean dependent var 0.586857

Adjusted R-squared 0.108846 S.D. dependent var 0.893522
S.E. of regression 0.843493 Akaike info criterion 2.552915
Sum squared resid 23.47886 Schwarz criterion 2.641792
Log likelihood -42.67602 Hannan-Quinn criter. 2.583596
F-statistic 5.152764 Durbin-Watson stat 1.350326
Prob(F-statistic) 0.029868

Inverted MA Roots .73 -.36+.63i -.36-.63i

Heteroskedasticity Test: ARCH

F-statistic 0.042640 Prob. F(1,32) 0.8377

Obs*R-squared 0.045245 Prob. Chi-Square(1) 0.8316

*Tidak ada efek ARCH

c. arima(2,1,3)

Dependent Variable: DIHK

Method: Least Squares
Date: 12/20/16 Time: 15:23
Sample (adjusted): 4 36
Included observations: 33 after adjustments
Convergence achieved after 7 iterations
MA Backcast: 1 3

Variable Coefficient Std. Error t-Statistic Prob.

C 0.639073 0.089915 7.107539 0.0000

AR(2) -0.173917 0.182009 -0.955541 0.3469
MA(3) -0.324346 0.195921 -1.655496 0.1082

R-squared 0.167764 Mean dependent var 0.628485

Adjusted R-squared 0.112282 S.D. dependent var 0.900767
S.E. of regression 0.848692 Akaike info criterion 2.596268
Sum squared resid 21.60835 Schwarz criterion 2.732314
Log likelihood -39.83841 Hannan-Quinn criter. 2.642043
F-statistic 3.023743 Durbin-Watson stat 1.271841
Prob(F-statistic) 0.063635

Inverted MA Roots .69 -.34+.60i -.34-.60i

Heteroskedasticity Test: ARCH

F-statistic 0.049261 Prob. F(1,30) 0.8259

Obs*R-squared 0.052459 Prob. Chi-Square(1) 0.8188

*Tidak ada efek ARCH

d. ARIMA(2,1,1)

Dependent Variable: DIHK

Method: Least Squares
Date: 12/22/16 Time: 01:18
Sample (adjusted): 4 36
Included observations: 33 after adjustments
Convergence achieved after 8 iterations
MA Backcast: 3

Variable Coefficient Std. Error t-Statistic Prob.

C 0.623948 0.170505 3.659422 0.0010

AR(2) -0.209860 0.186178 -1.127200 0.2686
MA(1) 0.487612 0.166656 2.925855 0.0065
R-squared 0.258871 Mean dependent var 0.628485
Adjusted R-squared 0.209463 S.D. dependent var 0.900767
S.E. of regression 0.800892 Akaike info criterion 2.480326
Sum squared resid 19.24283 Schwarz criterion 2.616372
Log likelihood -37.92538 Hannan-Quinn criter. 2.526102
F-statistic 5.239399 Durbin-Watson stat 1.964829
Prob(F-statistic) 0.011179

Inverted MA Roots -.49

Heteroskedasticity Test: ARCH

F-statistic 1.19E-05 Prob. F(1,30) 0.9973

Obs*R-squared 1.27E-05 Prob. Chi-Square(1) 0.9972

*Tidak ada efek ARCH

e. MA(1) MA(2)

Dependent Variable: DIHK

Method: Least Squares
Date: 12/22/16 Time: 12:15
Sample (adjusted): 2 36
Included observations: 35 after adjustments
Convergence achieved after 79 iterations
MA Backcast: OFF (Roots of MA process too large)

Variable Coefficient Std. Error t-Statistic Prob.

C 0.570161 0.038662 14.74742 0.0000

MA(1) 0.958712 0.239977 3.995014 0.0004
MA(2) -0.669785 0.240975 -2.779480 0.0090

R-squared 0.612485 Mean dependent var 0.586857

Adjusted R-squared 0.588265 S.D. dependent var 0.893522
S.E. of regression 0.573342 Akaike info criterion 1.807148
Sum squared resid 10.51908 Schwarz criterion 1.940464
Log likelihood -28.62510 Hannan-Quinn criter. 1.853169
F-statistic 25.28871 Durbin-Watson stat 1.446639
Prob(F-statistic) 0.000000

Inverted MA Roots .47 -1.43

Estimated MA process is noninvertible

Heteroskedasticity Test: ARCH

F-statistic 8.005496 Prob. F(1,32) 0.0080

Obs*R-squared 6.803737 Prob. Chi-Square(1) 0.0091

Karena tidak ada efek ARCH pada setiap model terpilih yang diajukan sehingga model ARCH dan GARCH tidak
bisa menjadi pilihan. Akan tetapi bisa menggunakan model ARIMA yang telah dipelajari sebelumya
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