Uji 1

Vector Autoregression Estimates

Date: 05/16/19 Time: 22:09
Sample (adjusted): 1983 2017
Included observations: 35 after adjustments
Standard errors in ( ) & t-statistics in [ ]

GDP INVESTASI LABOR TAX

GDP(-1) 0.167514 0.215361 -220723.0 -0.015657

(0.19772) (0.09051) (62314.0) (0.07133)
[ 0.84723] [ 2.37952] [-3.54211] [-0.21949]

GDP(-2) -0.198182 0.114838 156612.6 -0.130382

(0.25435) (0.11643) (80161.4) (0.09176)
[-0.77918] [ 0.98634] [ 1.95372] [-1.42082]

INVESTASI(-1) 0.730567 0.955063 -41908.09 -0.092017

(0.42851) (0.19615) (135050.) (0.15460)
[ 1.70491] [ 4.86907] [-0.31032] [-0.59520]

INVESTASI(-2) -0.674588 -0.178849 35711.20 0.204130

(0.39460) (0.18063) (124363.) (0.14237)
[-1.70956] [-0.99016] [ 0.28715] [ 1.43385]

LABOR(-1) 4.28E-07 2.30E-07 1.481548 -3.67E-07

(6.2E-07) (2.8E-07) (0.19517) (2.2E-07)
[ 0.69053] [ 0.81091] [ 7.59105] [-1.64310]

LABOR(-2) -4.59E-07 -2.21E-07 -0.483824 2.44E-07

(5.9E-07) (2.7E-07) (0.18581) (2.1E-07)
[-0.77860] [-0.81970] [-2.60382] [ 1.14612]

TAX(-1) -0.285094 0.145959 248292.5 0.067592

(0.57227) (0.26196) (180359.) (0.20647)
[-0.49818] [ 0.55719] [ 1.37666] [ 0.32738]

TAX(-2) 0.138288 -0.215612 -214723.0 -0.088100

(0.46036) (0.21073) (145089.) (0.16609)
[ 0.30039] [-1.02317] [-1.47994] [-0.53043]

C 7.615284 4.350926 1385953. 24.29280

(16.7704) (7.67663) (5285424) (6.05050)
[ 0.45409] [ 0.56678] [ 0.26222] [ 4.01501]

R-squared 0.229138 0.891827 0.997864 0.832618

Adj. R-squared -0.008050 0.858543 0.997207 0.781116
Sum sq. resids 318.2211 66.67836 3.16E+13 41.42158
S.E. equation 3.498467 1.601422 1102592. 1.262196
F-statistic 0.966061 26.79447 1518.319 16.16663
Log likelihood -88.29232 -60.94217 -531.4221 -52.61079
Akaike AIC 5.559561 3.996695 30.88126 3.520617
Schwarz SC 5.959508 4.396642 31.28121 3.920563
Mean dependent 5.022256 26.90131 96709637 14.00833
S.D. dependent 3.484470 4.257882 20862499 2.697858

Determinant resid covariance (dof adj.) 3.10E+13

Determinant resid covariance 9.45E+12
Log likelihood -721.5039
Akaike information criterion 43.28594
Schwarz criterion 44.88572
VAR Lag Order Selection Criteria
Endogenous variables: GDP INVESTASI LABOR TAX
Exogenous variables: C
Date: 05/16/19 Time: 22:47
Sample: 1981 2017
Included observations: 34

Lag LogL LR FPE AIC SC HQ

0 -859.2833 NA 1.33e+17 50.78137 50.96094 50.84261

1 -705.4733 262.3817 4.05e+13 42.67490 43.57276* 42.98110*
2 -688.9742 24.26338 4.10e+13 42.64554 44.26169 43.19669
3 -667.6431 26.35023* 3.36e+13* 42.33195* 44.66638 43.12806

* 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

Hasil uji panjang lag dalam VAR dengan memasukan AIC menunjukkan panjang lag optimal
adalah 3. Hasil estimasi menggunakan model VAR akan menghasilkan fungsi variance
decomposition dan fungsi impulse response yang digunakan untuk menjawab permasalahan
penelitian.
Vector Autoregression Estimates
Date: 05/16/19 Time: 22:48
Sample (adjusted): 1984 2017
Included observations: 34 after adjustments
Standard errors in ( ) & t-statistics in [ ]

GDP INVESTASI LABOR TAX

GDP(-1) 0.171323 0.238941 -248107.9 0.037999

(0.23414) (0.09030) (58101.1) (0.06811)
[ 0.73171] [ 2.64610] [-4.27028] [ 0.55792]

GDP(-2) -0.036840 0.080093 257654.8 -0.179900

(0.29932) (0.11544) (74275.0) (0.08707)
[-0.12308] [ 0.69383] [ 3.46893] [-2.06621]

GDP(-3) -0.332246 -0.061860 -64581.93 0.127418

(0.30666) (0.11827) (76095.2) (0.08920)
[-1.08345] [-0.52306] [-0.84870] [ 1.42843]

INVESTASI(-1) 0.931768 0.941014 62487.09 -0.275926

(0.48248) (0.18607) (119725.) (0.14035)
[ 1.93121] [ 5.05723] [ 0.52192] [-1.96605]

INVESTASI(-2) -1.093853 -0.168528 -133695.5 0.442324

(0.62293) (0.24024) (154578.) (0.18120)
[-1.75597] [-0.70149] [-0.86491] [ 2.44106]

INVESTASI(-3) 0.357458 0.067344 67274.00 -0.148311

(0.48009) (0.18515) (119133.) (0.13965)
[ 0.74456] [ 0.36372] [ 0.56470] [-1.06201]

LABOR(-1) 8.76E-07 3.43E-07 1.650031 -4.18E-07

(8.6E-07) (3.3E-07) (0.21240) (2.5E-07)
[ 1.02375] [ 1.03983] [ 7.76857] [-1.67799]

LABOR(-2) -2.13E-06 -4.77E-07 -0.960212 2.75E-07

(1.3E-06) (5.1E-07) (0.32767) (3.8E-07)
[-1.61139] [-0.93685] [-2.93043] [ 0.71685]

LABOR(-3) 1.16E-06 7.97E-08 0.348427 -3.02E-09

(7.2E-07) (2.8E-07) (0.17936) (2.1E-07)
[ 1.60128] [ 0.28598] [ 1.94260] [-0.01435]

TAX(-1) -0.401996 -0.026650 390031.3 0.100810

(0.71168) (0.27447) (176601.) (0.20702)
[-0.56485] [-0.09710] [ 2.20855] [ 0.48696]

TAX(-2) -0.513052 -0.452140 -347747.0 0.067064

(0.66990) (0.25836) (166234.) (0.19486)
[-0.76586] [-1.75007] [-2.09192] [ 0.34416]

TAX(-3) 0.247875 -0.165731 352537.6 -0.427484

(0.55163) (0.21274) (136886.) (0.16046)
[ 0.44935] [-0.77901] [ 2.57542] [-2.66408]

C 19.36285 17.03847 -7415939. 31.85925

(24.7350) (9.53933) (6137885) (7.19502)
[ 0.78281] [ 1.78613] [-1.20822] [ 4.42796]
R-squared 0.330375 0.933265 0.998726 0.895577
Adj. R-squared -0.052268 0.895131 0.997997 0.835907
Sum sq. resids 275.9552 41.04404 1.70E+13 23.34954
S.E. equation 3.625014 1.398026 899530.8 1.054459
F-statistic 0.863403 24.47310 1371.482 15.00877
Log likelihood -83.83984 -51.44476 -506.1800 -41.85560
Akaike AIC 5.696461 3.790868 30.54000 3.226800
Schwarz SC 6.280070 4.374476 31.12361 3.810408
Mean dependent 5.046647 26.93530 97818950 13.86673
S.D. dependent 3.533837 4.317090 20101189 2.603061

Determinant resid covariance (dof adj.) 9.19E+12

Determinant resid covariance 1.34E+12
Log likelihood -667.6431
Akaike information criterion 42.33195
Schwarz criterion 44.66638
Granger Causality Tests

Pairwise Granger Causality Tests

Date: 05/16/19 Time: 23:02
Sample: 1981 2017
Lags: 3

Null Hypothesis: Obs F-Statistic Prob.

INVESTASI does not Granger Cause GDP 34 1.07390 0.3767

GDP does not Granger Cause INVESTASI 3.43786 0.0308

LABOR does not Granger Cause GDP 34 0.86756 0.4699

GDP does not Granger Cause LABOR 5.93162 0.0030

TAX does not Granger Cause GDP 34 0.24933 0.8611

GDP does not Granger Cause TAX 2.82945 0.0572

LABOR does not Granger Cause INVESTASI 34 2.29668 0.1002

INVESTASI does not Granger Cause LABOR 1.35419 0.2778

TAX does not Granger Cause INVESTASI 34 1.69375 0.1919

INVESTASI does not Granger Cause TAX 3.13495 0.0418

TAX does not Granger Cause LABOR 34 0.49550 0.6884

LABOR does not Granger Cause TAX 7.32058 0.0010

Berdasarkan hasil uji Granger diperoleh bahwa yang memiliki hubungan kausalitas adalah yang
memiliki nilai probabilitas yang lebih kecil dari tingkat kesalahan sehingga H0 ditolak yang berarti
suatu variable akan mempengaruhi variable lain. Dari pengujian granger diatas dapat diketahui
hubungan timbal balik atau kausalitas sebagai berikut :

 Pada variable Inverstasi H0 ditolak dan H1 diterima sehingga secara statistic tidak signifikan
dan tidak mempengaruhi GDP karena probabilitas 0.3767 < 0.1. Pada variabel GDP H0
diterima dan H1 ditolak sehingga secara statistic signifikan dan mempengaruhi investasi
karena nilai probabilitas 0.0308 > 0.1.
 Pada variabel Labor H0 diterima dan H1 ditolak sehingga secara statistic tidak signifikan dan
tidak mempengaruhi GDP karena nilai probabilitas 0.4699 > 0.1. Pada variabel GDP H0
diterima dan H1 ditolak sehingga secara statistic signifikan dan mempengaruhi Labor karena
nilai probabilitas 0.0030 > 0.1.
 Pada variabel Tax H0 diterima dan H1 ditolak sehingga secara statistic tidak signifikan dan
tidak mempengaruhi GDP karena nilai probabilitas 0.8611> 0.1. Pada variable GDP H0 ditolak
dan H1 diterima sehingga secara statistic signifikan dan mempengaruhi Tax karena
probabilitas 0.0572 < 0.1.
 Pada variabel Labor H0 diterima dan H1 ditolak sehingga secara statistic tidak signifikan dan
tidak mempengaruhi Investasi karena nilai probabilitas 0.1002 > 0.1. Pada variabel Investasi
H0 diterima dan H1 ditolak sehingga secara statistic tidak signifikan dan tidak mempengaruhi
Labor karena nilai probabilitas 0.2778 > 0.1.
  Pada variabel Tax H0 diterima dan H1 ditolak sehingga secara statistic tidak signifikan dan
tidak mempengaruhi Investasi karena nilai probabilitas 0.1919> 0.1. Pada variabel Investasi
H0 diterima dan H1 ditolak sehingga secara statistic signifikan dan mempengaruhi Tax
karena nilai probabilitas 0.0418> 0.1.
 Pada variable Tax ditolak dan H1 diterima sehingga secara statistic tidak signifikan dan tidak
mempengaruhi Labor karena probabilitas 0.6884 > 0.05. Pada variabel Labor H0 diterima
dan H1 ditolak sehingga secara statistic tidak signifikan dan tidak mempengaruhi Tax karena
nilai probabilitas 0.2403> 0.05.

Respo
nse of
GDP:
Period GDP INVESTASI LABOR TAX

1 3.625014 0.000000 0.000000 0.000000

(0.43960) (0.00000) (0.00000) (0.00000)
2 1.276705 1.563498 0.956961 -0.327379
(0.81983) (0.74797) (0.56185) (0.58094)
3 -0.055664 0.175108 0.157894 -0.248800
(0.84663) (0.77637) (0.58669) (0.64109)
4 -0.064631 -0.221230 -0.019922 -0.518594
(0.83652) (0.62355) (0.51270) (0.58072)
5 -0.189758 0.227728 -0.078348 0.027982
(0.70892) (0.54969) (0.43054) (0.39524)
6 -0.060698 -0.147263 -0.078123 0.211211
(0.56931) (0.45903) (0.38916) (0.30511)
7 -0.381953 -0.056490 -0.075062 0.141707
(0.53244) (0.42973) (0.34507) (0.26772)
8 -0.193692 -0.143115 -0.139556 0.020071
(0.47442) (0.41727) (0.32748) (0.24393)
9 0.140296 0.038441 -0.022831 -0.027176
(0.42977) (0.37398) (0.30811) (0.20981)
10 0.212949 0.164647 0.104494 -0.014614
(0.36194) (0.29582) (0.27651) (0.18942)

Respo
nse of
INVEST
ASI:
Period GDP INVESTASI LABOR TAX

1 0.561484 1.280318 0.000000 0.000000

(0.22989) (0.15526) (0.00000) (0.00000)
2 1.464995 1.327811 0.292135 -0.021703
(0.40887) (0.31913) (0.21389) (0.22354)
3 1.559296 1.533150 0.787047 -0.360022
(0.61361) (0.51987) (0.37300) (0.39730)
4 1.248895 1.485388 0.942951 -0.621297
(0.78200) (0.66431) (0.49254) (0.55849)
5 1.229952 1.228720 0.853945 -0.604751
(0.86420) (0.71672) (0.53774) (0.59396)
6 1.026545 1.047035 0.707817 -0.362349
(0.87361) (0.75370) (0.53182) (0.56136)
7 0.591619 0.712474 0.451054 -0.129553
(0.83037) (0.76761) (0.49300) (0.46920)
8 0.220437 0.393439 0.186259 -0.040180
 (0.76458) (0.75880) (0.43971) (0.36391)
9 0.102854 0.262356 0.043300 -0.011774
(0.71681) (0.75132) (0.40274) (0.27986)
10 0.163723 0.268388 0.060918 -0.004696
(0.68478) (0.73753) (0.38592) (0.24046)

Respo
nse of
LABOR
:
Period GDP INVESTASI LABOR TAX

1 216310.5 345239.3 801982.1 0.000000

(152022.) (143770.) (97254.6) (0.00000)
2 -452025.4 583667.1 1076653. 317634.9
(289338.) (269173.) (196034.) (148889.)
3 -405572.8 13588.20 851618.4 352797.9
(369664.) (344971.) (264470.) (264081.)
4 -228630.0 83831.64 645288.6 463720.3
(412035.) (356639.) (280215.) (303966.)
5 161.1095 66558.11 520284.0 580356.8
(426033.) (343963.) (275679.) (289968.)
6 -29758.09 103348.2 523671.7 534322.3
(395734.) (350577.) (263148.) (235771.)
7 -110041.3 133792.7 546124.3 410012.2
(383399.) (367027.) (242699.) (202870.)
8 -20993.42 187699.3 605487.9 319669.1
(382118.) (381563.) (221894.) (181339.)
9 73269.35 279417.2 691166.0 313102.0
(386936.) (401827.) (224643.) (180013.)
10 71123.49 290901.7 725525.5 334599.7
(401144.) (423020.) (244237.) (199730.)

Respo
nse of
TAX:
Period GDP INVESTASI LABOR TAX

1 0.141950 -0.169196 -0.632366 0.814383

(0.18002) (0.17801) (0.15933) (0.09876)
2 -0.093243 -0.514566 -0.398805 0.082098
(0.24291) (0.22477) (0.16686) (0.16888)
3 -0.510970 0.047341 -0.355844 -0.076263
(0.26171) (0.23447) (0.17651) (0.18707)
4 0.290456 -0.103633 -0.108159 -0.271071
(0.28165) (0.22343) (0.17986) (0.20154)
5 0.318152 0.410325 0.234755 -0.166345
(0.26738) (0.21818) (0.16818) (0.16034)
6 0.187291 0.170781 0.211733 -0.110088
(0.25379) (0.20977) (0.18585) (0.17420)
7 0.028377 0.023468 0.057007 -0.109663
(0.24177) (0.19756) (0.17627) (0.17215)
8 -0.002170 -0.051560 -0.102752 -0.037137
(0.22714) (0.16060) (0.15455) (0.14317)
9 0.002417 -0.081262 -0.159830 0.023398
(0.18830) (0.14382) (0.14709) (0.11131)
10 -0.075202 -0.071161 -0.152843 0.020823
(0.15580) (0.12182) (0.14049) (0.10317)

Choles
ky
Orderin
 g: GDP
INVEST
ASI
LABOR
TAX
Standa
rd
Errors:
Analytic

Response to Cholesky One S.D. Innovations ± 2 S.E.

Response of GDP to GDP Response of GDP to INVESTASI Response of GDP to LABOR Response of GDP to TAX
6 6 6 6

4 4 4 4

2 2 2 2

0 0 0 0

-2 -2 -2 -2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of INVESTASI to GDP Response of INVESTASI to INVESTASI Response of INVESTASI to LABOR Response of INVESTASI to TAX
3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0

-1 -1 -1 -1

-2 -2 -2 -2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of LABOR to GDP Response of LABOR to INVESTASI Response of LABOR to LABOR Response of LABOR to TAX

1,500,000 1,500,000 1,500,000 1,500,000

1,000,000 1,000,000 1,000,000 1,000,000

500,000 500,000 500,000 500,000

0 0 0 0

-500,000 -500,000 -500,000 -500,000

-1,000,000 -1,000,000 -1,000,000 -1,000,000

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of TAX to GDP Response of TAX to INVESTASI Response of TAX to LABOR Response of TAX to TAX

1.0 1.0 1.0 1.0

0.5 0.5 0.5 0.5

0.0 0.0 0.0 0.0

-0.5 -0.5 -0.5 -0.5

-1.0 -1.0 -1.0 -1.0

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10