Nama : Naomi Angelica

Nim : 01021382025163

1. Data M2

M2 tingkat level

Null Hypothesis: M2 has a unit root

Exogenous: Constant
Lag Length: 3 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 3.467075 1.0000

Test critical values: 1% level -3.562669
5% level -2.918778
10% level -2.597285

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(M2)
Method: Least Squares
Date: 03/02/23 Time: 21:12
Sample (adjusted): 1991Q1 2003Q4
Included observations: 52 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

M2(-1) 0.063068 0.018191 3.467075 0.0011

D(M2(-1)) -0.406718 0.144895 -2.806974 0.0073
D(M2(-2)) -0.238924 0.155242 -1.539037 0.1305
D(M2(-3)) -0.429977 0.146421 -2.936572 0.0051
C 1800.455 1631.199 1.103762 0.2753

R-squared 0.285578 Mean dependent var 3845.769

Adjusted R-squared 0.224777 S.D. dependent var 7200.658
S.E. of regression 6339.947 Akaike info criterion 20.43834
Sum squared resid 1.89E+09 Schwarz criterion 20.62596
Log likelihood -526.3968 Hannan-Quinn criter. 20.51027
F-statistic 4.696871 Durbin-Watson stat 1.852517
Prob(F-statistic) 0.002851

M2 tingkat 1st difference

Null Hypothesis: D(M2) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -8.591288 0.0000

Test critical values: 1% level -3.557472
5% level -2.916566
10% level -2.596116

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(M2,2)
Method: Least Squares
Date: 03/02/23 Time: 21:16
Sample (adjusted): 1990Q3 2003Q4
Included observations: 54 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(M2(-1)) -1.203081 0.140035 -8.591288 0.0000

C 4412.087 1069.946 4.123654 0.0001

R-squared 0.586679 Mean dependent var 280.7963

Adjusted R-squared 0.578731 S.D. dependent var 10821.38
S.E. of regression 7023.647 Akaike info criterion 20.58829
Sum squared resid 2.57E+09 Schwarz criterion 20.66195
Log likelihood -553.8837 Hannan-Quinn criter. 20.61670
F-statistic 73.81023 Durbin-Watson stat 1.891855
Prob(F-statistic) 0.000000

2. Data GDP

Tingkat level
Null Hypothesis: GDP has a unit root
Exogenous: Constant
Lag Length: 4 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.751613 0.3998

Test critical values: 1% level -3.565430
5% level -2.919952
10% level -2.597905

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(GDP)
Method: Least Squares
Date: 03/02/23 Time: 21:26
Sample (adjusted): 1991Q2 2003Q4
Included observations: 51 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

GDP(-1) -0.056689 0.032364 -1.751613 0.0867

D(GDP(-1)) 0.101067 0.124672 0.810667 0.4218
D(GDP(-2)) -0.006991 0.122589 -0.057027 0.9548
D(GDP(-3)) -0.221206 0.121570 -1.819574 0.0755
D(GDP(-4)) 0.510235 0.125299 4.072155 0.0002
C 5876.893 3102.068 1.894508 0.0646

R-squared 0.351505 Mean dependent var 825.7980

Adjusted R-squared 0.279450 S.D. dependent var 3260.691
S.E. of regression 2767.845 Akaike info criterion 18.79966
Sum squared resid 3.45E+08 Schwarz criterion 19.02693
Log likelihood -473.3912 Hannan-Quinn criter. 18.88650
F-statistic 4.878286 Durbin-Watson stat 1.704889
Prob(F-statistic) 0.001193

Tingkat 1st difference

Null Hypothesis: D(GDP) has a unit root
Exogenous: Constant
Lag Length: 4 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.881340 0.0547

Test critical values: 1% level -3.568308
5% level -2.921175
10% level -2.598551

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(GDP,2)
Method: Least Squares
Date: 03/02/23 Time: 21:26
Sample (adjusted): 1991Q3 2003Q4
Included observations: 50 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(GDP(-1)) -0.798916 0.277272 -2.881340 0.0061

D(GDP(-1),2) 0.045123 0.268783 0.167878 0.8674
D(GDP(-2),2) -0.024384 0.219561 -0.111058 0.9121
D(GDP(-3),2) -0.258037 0.179416 -1.438209 0.1574
D(GDP(-4),2) 0.304679 0.146542 2.079121 0.0435
C 654.3140 457.8059 1.429239 0.1600

R-squared 0.682160 Mean dependent var -95.87200

Adjusted R-squared 0.646042 S.D. dependent var 4632.831
S.E. of regression 2756.272 Akaike info criterion 18.79331
Sum squared resid 3.34E+08 Schwarz criterion 19.02276
Log likelihood -463.8328 Hannan-Quinn criter. 18.88069
F-statistic 18.88693 Durbin-Watson stat 2.045081
Prob(F-statistic) 0.000000

Tingkat 2nd difference

Null Hypothesis: D(GDP,2) has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -11.55399 0.0000

Test critical values: 1% level -3.565430
5% level -2.919952
10% level -2.597905

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(GDP,3)
Method: Least Squares
Date: 03/02/23 Time: 21:27
Sample (adjusted): 1991Q2 2003Q4
Included observations: 51 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(GDP(-1),2) -3.049994 0.263978 -11.55399 0.0000

D(GDP(-1),3) 1.314187 0.199089 6.600993 0.0000
D(GDP(-2),3) 0.699925 0.107241 6.526680 0.0000
C -30.14373 413.4113 -0.072915 0.9422

R-squared 0.865494 Mean dependent var -166.7353

Adjusted R-squared 0.856909 S.D. dependent var 7803.313
S.E. of regression 2951.790 Akaike info criterion 18.89340
Sum squared resid 4.10E+08 Schwarz criterion 19.04491
Log likelihood -477.7816 Hannan-Quinn criter. 18.95129
F-statistic 100.8092 Durbin-Watson stat 1.762542
Prob(F-statistic) 0.000000

3. Data R

Tingkat level
Null Hypothesis: R has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.840141 0.0594

Test critical values: 1% level -3.557472
5% level -2.916566
10% level -2.596116

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(R)
Method: Least Squares
Date: 03/02/23 Time: 21:28
Sample (adjusted): 1990Q3 2003Q4
Included observations: 54 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

R(-1) -0.165436 0.058249 -2.840141 0.0065

D(R(-1)) 0.530987 0.121560 4.368108 0.0001
C 3.020720 1.192005 2.534151 0.0144

R-squared 0.302135 Mean dependent var -0.166667

Adjusted R-squared 0.274767 S.D. dependent var 3.948776
S.E. of regression 3.362801 Akaike info criterion 5.317378
Sum squared resid 576.7300 Schwarz criterion 5.427877
Log likelihood -140.5692 Hannan-Quinn criter. 5.359993
F-statistic 11.04000 Durbin-Watson stat 2.161781
Prob(F-statistic) 0.000104

Tingkat 1st difference

Null Hypothesis: D(R) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.499835 0.0006

Test critical values: 1% level -3.557472
5% level -2.916566
10% level -2.596116

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(R,2)
Method: Least Squares
Date: 03/02/23 Time: 21:28
Sample (adjusted): 1990Q3 2003Q4
Included observations: 54 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(R(-1)) -0.561619 0.124809 -4.499835 0.0000

C -0.104969 0.488039 -0.215083 0.8305

R-squared 0.280262 Mean dependent var -0.025926

Adjusted R-squared 0.266421 S.D. dependent var 4.184526
S.E. of regression 3.584014 Akaike info criterion 5.427178
Sum squared resid 667.9483 Schwarz criterion 5.500844
Log likelihood -144.5338 Hannan-Quinn criter. 5.455588
F-statistic 20.24852 Durbin-Watson stat 1.988362
Prob(F-statistic) 0.000039

Tingkat 2nd difference

Null Hypothesis: D(R) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.499835 0.0006

Test critical values: 1% level -3.557472
5% level -2.916566
10% level -2.596116

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(R,2)
Method: Least Squares
Date: 03/02/23 Time: 21:28
Sample (adjusted): 1990Q3 2003Q4
Included observations: 54 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(R(-1)) -0.561619 0.124809 -4.499835 0.0000

C -0.104969 0.488039 -0.215083 0.8305

R-squared 0.280262 Mean dependent var -0.025926

Adjusted R-squared 0.266421 S.D. dependent var 4.184526
S.E. of regression 3.584014 Akaike info criterion 5.427178
Sum squared resid 667.9483 Schwarz criterion 5.500844
Log likelihood -144.5338 Hannan-Quinn criter. 5.455588
F-statistic 20.24852 Durbin-Watson stat 1.988362
Prob(F-statistic) 0.000039

Tingkat 3rd difference

Null Hypothesis: D(R,2) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -9.552616 0.0000

Test critical values: 1% level -3.560019
5% level -2.917650
10% level -2.596689

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(R,3)
Method: Least Squares
Date: 03/02/23 Time: 21:28
Sample (adjusted): 1990Q4 2003Q4
Included observations: 53 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(R(-1),2) -1.281005 0.134100 -9.552616 0.0000

C -0.087074 0.560475 -0.155357 0.8772

R-squared 0.641482 Mean dependent var -0.016981

Adjusted R-squared 0.634453 S.D. dependent var 6.748155
S.E. of regression 4.079968 Akaike info criterion 5.687061
Sum squared resid 848.9532 Schwarz criterion 5.761412
Log likelihood -148.7071 Hannan-Quinn criter. 5.715653
F-statistic 91.25247 Durbin-Watson stat 2.030931
Prob(F-statistic) 0.000000

Uji Kointegrasi
Date: 03/02/23 Time: 21:30
Sample (adjusted): 1990Q3 2003Q4
Included observations: 54 after adjustments
Trend assumption: No deterministic trend
Series: M2 GDP R
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.486012 53.68674 24.27596 0.0000

At most 1 * 0.272080 17.74681 12.32090 0.0056
At most 2 0.011019 0.598344 4.129906 0.5006

Trace test indicates 2 cointegrating eqn(s) 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 Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.486012 35.93994 17.79730 0.0000

At most 1 * 0.272080 17.14846 11.22480 0.0041
At most 2 0.011019 0.598344 4.129906 0.5006

Max-eigenvalue test indicates 2 cointegrating eqn(s) 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):

M2 GDP R
1.95E-06 2.15E-05 -0.050255
-1.47E-05 3.32E-05 -0.106275
1.62E-05 -9.58E-06 -0.045750

Unrestricted Adjustment Coefficients (alpha):

D(M2) 4018.290 -970.5002 466.2468

D(GDP) 929.7678 104.6768 -313.0151
D(R) -0.147438 1.608722 0.116019

1 Cointegrating Equation(s): Log likelihood -1190.583

Normalized cointegrating coefficients (standard error in parentheses)

M2 GDP R
1.000000 11.00597 -25747.93
(2.24198) (9072.30)

Adjustment coefficients (standard error in parentheses)

D(M2) 0.007843
(0.00175)
D(GDP) 0.001815
(0.00087)
D(R) -2.88E-07
(9.1E-07)

2 Cointegrating Equation(s): Log likelihood -1182.009

Normalized cointegrating coefficients (standard error in parentheses)

M2 GDP R
1.000000 0.000000 1613.795
(1003.90)
0.000000 1.000000 -2486.080
(316.621)

Adjustment coefficients (standard error in parentheses)

D(M2) 0.022111 0.054094
(0.01315) (0.03507)
D(GDP) 0.000276 0.023448
(0.00658) (0.01754)
D(R) -2.39E-05 5.02E-05
(6.0E-06) (1.6E-05)