TUGAS 3 ASISTENSI EKONOMETRIKA II

Nama : Anita Tiara

NIM : 021002014003

SOAL 2
Pertimbangkan data pada log DPI (penghasilan pribadi) yang diperkenalkan di Bagian 21.1 (lihat
data dibawah yang merupakan data aktual). Misalkan Anda ingin menyesuaikan model ARIMA
yang cocok untuk data ini. Jelaskan langkah-langkah yang terlibat dalam melaksanakan tugas ini.
Jawab :
1. Lakukan Uji Stasioneritas

Null Hypothesis: D(DPI) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=12)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -12.04556 0.0000

Test critical values: 1% level -4.036983
5% level -3.448021
10% level -3.149135

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

Variabel DPI stasioner pada 1st difference

2. Lihat Correlogram untuk menentukan model yang akan digunakan

Date: 06/26/22 Time: 22:45

Sample: 2009M04 2019M04
Included observations: 120

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

*|. | *|. | 1 -0.090 -0.090 0.9858 0.321

*|. | *|. | 2 -0.116 -0.125 2.6521 0.266
*|. | *|. | 3 -0.129 -0.155 4.7252 0.193
*|. | *|. | 4 -0.094 -0.146 5.8368 0.212
.|. | .|. | 5 0.027 -0.043 5.9300 0.313
.|* | .|* | 6 0.128 0.077 8.0370 0.235
.|. | .|. | 7 0.010 0.003 8.0499 0.328
.|. | .|. | 8 0.011 0.031 8.0646 0.427
.|. | .|. | 9 0.024 0.069 8.1405 0.520
.|. | .|. | 10 -0.039 0.009 8.3389 0.596
.|. | .|. | 11 -0.017 0.000 8.3767 0.679
.|. | .|. | 12 -0.052 -0.058 8.7460 0.724
*|. | *|. | 13 -0.123 -0.154 10.803 0.627
.|. | *|. | 14 0.001 -0.079 10.803 0.701
.|. | .|. | 15 0.025 -0.063 10.894 0.760
.|. | .|. | 16 0.021 -0.048 10.956 0.812
.|. | .|. | 17 0.020 -0.021 11.014 0.856
.|. | .|. | 18 -0.057 -0.053 11.484 0.873
*|. | .|. | 19 -0.070 -0.053 12.187 0.877
.|. | .|. | 20 0.003 -0.012 12.188 0.909
.|. | .|. | 21 0.042 0.028 12.454 0.927
.|. | .|. | 22 0.052 0.050 12.865 0.937
.|. | .|. | 23 -0.007 -0.002 12.871 0.955
.|. | .|. | 24 -0.027 -0.008 12.985 0.966
.|. | .|. | 25 -0.018 -0.015 13.036 0.976
.|. | .|. | 26 0.038 0.012 13.255 0.982
.|. | *|. | 27 -0.058 -0.091 13.791 0.983
.|. | .|. | 28 -0.007 -0.061 13.799 0.989
.|. | .|. | 29 -0.006 -0.057 13.805 0.992
.|. | *|. | 30 -0.028 -0.086 13.932 0.995
.|. | .|. | 31 0.030 -0.043 14.078 0.996
.|. | *|. | 32 -0.019 -0.073 14.138 0.997
.|. | .|. | 33 -0.025 -0.047 14.248 0.998
.|. | .|. | 34 0.013 0.004 14.278 0.999
.|. | .|. | 35 0.005 0.014 14.282 0.999
.|. | .|. | 36 0.027 0.045 14.409 0.999
3. Lakukan Trial Error
ARIMA (1,1,1)
Dependent Variable: D(DPI)
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/26/22 Time: 22:56
Sample: 2009M05 2019M04
Included observations: 120
Convergence achieved after 62 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 25.53638 3.398247 7.514573 0.0000

AR(1) 0.857508 0.107385 7.985326 0.0000
MA(1) -0.999994 4569.813 -0.000219 0.9998
SIGMASQ 7421.428 1743658. 0.004256 0.9966

R-squared 0.070935 Mean dependent var 24.57000

Adjusted R-squared 0.046907 S.D. dependent var 89.75068
S.E. of regression 87.62043 Akaike info criterion 11.83602
Sum squared resid 890571.3 Schwarz criterion 11.92894
Log likelihood -706.1613 Hannan-Quinn criter. 11.87376
F-statistic 2.952222 Durbin-Watson stat 2.002972
Prob(F-statistic) 0.035569

Inverted AR Roots .86

Inverted MA Roots 1.00

ARIMA (1,1,2)
Dependent Variable: D(DPI)
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/26/22 Time: 22:57
Sample: 2009M05 2019M04
Included observations: 120
Convergence achieved after 6 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 24.66949 8.373511 2.946134 0.0039

AR(1) -0.134814 0.057446 -2.346812 0.0206
MA(2) -0.186936 0.063495 -2.944106 0.0039
SIGMASQ 7713.234 454.3740 16.97552 0.0000

R-squared 0.034404 Mean dependent var 24.57000

Adjusted R-squared 0.009432 S.D. dependent var 89.75068
S.E. of regression 89.32641 Akaike info criterion 11.85593
Sum squared resid 925588.1 Schwarz criterion 11.94884
Log likelihood -707.3555 Hannan-Quinn criter. 11.89366
F-statistic 1.377702 Durbin-Watson stat 1.970466
Prob(F-statistic) 0.253104

Inverted AR Roots -.13

Inverted MA Roots .43 -.43
 ARIMA (2,1,1)
Dependent Variable: D(DPI)
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/26/22 Time: 22:58
Sample: 2009M05 2019M04
Included observations: 120
Convergence achieved after 6 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 24.57122 9.020506 2.723929 0.0074

AR(2) -0.137325 0.067476 -2.035175 0.0441
MA(1) -0.128442 0.055539 -2.312663 0.0225
SIGMASQ 7754.307 445.7653 17.39549 0.0000

R-squared 0.029263 Mean dependent var 24.57000

Adjusted R-squared 0.004157 S.D. dependent var 89.75068
S.E. of regression 89.56393 Akaike info criterion 11.86104
Sum squared resid 930516.8 Schwarz criterion 11.95396
Log likelihood -707.6625 Hannan-Quinn criter. 11.89877
F-statistic 1.165594 Durbin-Watson stat 1.965874
Prob(F-statistic) 0.326004

Inverted AR Roots -.00+.37i -.00-.37i

Inverted MA Roots .13

ARIMA (2,1,2)
Dependent Variable: D(DPI)
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/26/22 Time: 23:01
Sample: 2009M05 2019M04
Included observations: 120
Convergence achieved after 13 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 24.79495 10.88415 2.278078 0.0246

AR(2) 0.158194 1.378321 0.114773 0.9088
MA(2) -0.300298 1.417128 -0.211906 0.8326
SIGMASQ 7834.616 408.9649 19.15718 0.0000

R-squared 0.019209 Mean dependent var 24.57000

Adjusted R-squared -0.006156 S.D. dependent var 89.75068
S.E. of regression 90.02653 Akaike info criterion 11.87123
Sum squared resid 940153.9 Schwarz criterion 11.96414
Log likelihood -708.2736 Hannan-Quinn criter. 11.90896
F-statistic 0.757291 Durbin-Watson stat 2.229663
Prob(F-statistic) 0.520312

Inverted AR Roots .40 -.40

Inverted MA Roots .55 -.55
 1,1,1 1,1,2 2,1,2 2,1,1
Jumlah variabel signifikan 2 4 2 4
Volatilitas (probabilita 0.9966 0.0000 0.0000 0.0000
SIGMASQ)
AIC 11.83602 11.85593 11.87123 11.86104
Schwarz 11.92894 11.94884 11.96414 11.95396
Adj R2 0.046907 0.009432 -0.006156 0.004157

MODEL TERBAIK DARI REGRESI ADALAH ARIMA (1,1,2)

SOAL 4
Pertanyaan
Lakukanlah peramalan dengan model ARIMA!
Jawab :

1. Lakukan Uji Stasioneritas

Null Hypothesis: D(GDP) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.657657 0.0000

Test critical values: 1% level -4.094550
5% level -3.475305
10% level -3.165046

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

Variabel GDP stasioner pada 1st difference

2. Lihat Correlogram untuk menentukan model yang akan digunakan

Date: 06/26/22 Time: 23:17

Sample: 1990Q1 2007Q4
Included observations: 71

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |** | . |** | 1 0.230 0.230 3.9302 0.047

. |** | . |** | 2 0.308 0.269 11.051 0.004
. |*. | .|. | 3 0.088 -0.029 11.643 0.009
. |*. | .|. | 4 0.123 0.034 12.808 0.012
.|. | .|. | 5 0.031 -0.013 12.882 0.025
. |*. | .|. | 6 0.085 0.048 13.457 0.036
.|. | .*| . | 7 -0.058 -0.096 13.730 0.056
.|. | .|. | 8 -0.010 -0.025 13.739 0.089
.|. | .|. | 9 0.015 0.070 13.757 0.131
.|. | .|. | 10 -0.007 -0.017 13.761 0.184
.*| . | .*| . | 11 -0.102 -0.126 14.668 0.198
.*| . | .*| . | 12 -0.165 -0.146 17.046 0.148
.*| . | .|. | 13 -0.127 -0.011 18.493 0.140
.*| . | .|. | 14 -0.125 -0.020 19.905 0.133
.|. | .|. | 15 -0.032 0.044 19.997 0.172
.|. | . |*. | 16 0.030 0.111 20.085 0.216
.*| . | .*| . | 17 -0.102 -0.121 21.081 0.223
.*| . | .*| . | 18 -0.112 -0.134 22.300 0.219
.|. | . |*. | 19 0.050 0.146 22.546 0.258
.|. | .|. | 20 0.002 0.048 22.546 0.312
.|. | .*| . | 21 -0.039 -0.106 22.705 0.360
.|. | .|. | 22 -0.021 -0.017 22.754 0.416
.|. | .|. | 23 -0.006 0.058 22.758 0.475
.|. | .|. | 24 0.024 -0.006 22.820 0.530
.|. | .*| . | 25 -0.009 -0.128 22.829 0.588
.|. | .|. | 26 -0.040 -0.035 23.012 0.632
.*| . | .|. | 27 -0.141 -0.061 25.354 0.555
.|. | .|. | 28 -0.023 0.033 25.418 0.605
.|. | .|. | 29 0.008 0.049 25.425 0.656
.|. | .|. | 30 0.008 -0.003 25.434 0.704
.|. | .|. | 31 -0.006 -0.020 25.439 0.748
.|. | .*| . | 32 -0.056 -0.102 25.848 0.770
3. Lakukan Trial Error
ARIMA (1,1,1)
Dependent Variable: D(GDP)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/26/22 Time: 23:19
Sample: 1990Q2 2007Q4
Included observations: 71
Convergence achieved after 32 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 62.28626 10.37282 6.004754 0.0000

AR(1) 0.790110 0.205291 3.848735 0.0003
MA(1) -0.572234 0.282693 -2.024226 0.0469
SIGMASQ 1971.676 333.6701 5.909059 0.0000

R-squared 0.103993 Mean dependent var 64.27620

Adjusted R-squared 0.063873 S.D. dependent var 47.24351
S.E. of regression 45.70983 Akaike info criterion 10.53962
Sum squared resid 139989.0 Schwarz criterion 10.66709
Log likelihood -370.1564 Hannan-Quinn criter. 10.59031
F-statistic 2.592056 Durbin-Watson stat 2.087586
Prob(F-statistic) 0.059887

Inverted AR Roots .79

Inverted MA Roots .57

ARIMA (1,1,2)
Dependent Variable: D(GDP)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/26/22 Time: 23:20
Sample: 1990Q2 2007Q4
Included observations: 71
Convergence achieved after 11 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 63.88068 8.270318 7.724090 0.0000

AR(1) 0.177080 0.112364 1.575949 0.1197
MA(2) 0.267620 0.129973 2.059038 0.0434
SIGMASQ 1936.102 350.9336 5.517003 0.0000

R-squared 0.120159 Mean dependent var 64.27620

Adjusted R-squared 0.080763 S.D. dependent var 47.24351
S.E. of regression 45.29558 Akaike info criterion 10.52176
Sum squared resid 137463.2 Schwarz criterion 10.64924
Log likelihood -369.5226 Hannan-Quinn criter. 10.57246
F-statistic 3.050042 Durbin-Watson stat 1.956354
Prob(F-statistic) 0.034483

Inverted AR Roots .18

Inverted MA Roots -.00+.52i -.00-.52i
ARIMA (2,1,1)
Dependent Variable: D(GDP)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/26/22 Time: 23:24
Sample: 1990Q2 2007Q4
Included observations: 71
Convergence achieved after 10 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 63.46916 9.098550 6.975744 0.0000

AR(2) 0.316669 0.116935 2.708071 0.0086
MA(1) 0.173596 0.111708 1.554014 0.1249
SIGMASQ 1917.138 344.7798 5.560471 0.0000

R-squared 0.128777 Mean dependent var 64.27620

Adjusted R-squared 0.089767 S.D. dependent var 47.24351
S.E. of regression 45.07321 Akaike info criterion 10.51228
Sum squared resid 136116.8 Schwarz criterion 10.63975
Log likelihood -369.1859 Hannan-Quinn criter. 10.56297
F-statistic 3.301119 Durbin-Watson stat 1.955110
Prob(F-statistic) 0.025509

Inverted AR Roots .56 -.56

Inverted MA Roots -.17

ARIMA (2,1,2)
Dependent Variable: D(GDP)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/26/22 Time: 23:22
Sample: 1990Q2 2007Q4
Included observations: 71
Convergence achieved after 27 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 63.28817 8.877785 7.128824 0.0000

AR(2) 0.478665 0.424109 1.128637 0.2631
MA(2) -0.167954 0.513289 -0.327211 0.7445
SIGMASQ 1966.769 323.3757 6.081994 0.0000

R-squared 0.106223 Mean dependent var 64.27620

Adjusted R-squared 0.066203 S.D. dependent var 47.24351
S.E. of regression 45.65291 Akaike info criterion 10.53812
Sum squared resid 139640.6 Schwarz criterion 10.66559
Log likelihood -370.1031 Hannan-Quinn criter. 10.58881
F-statistic 2.654244 Durbin-Watson stat 1.643207
Prob(F-statistic) 0.055556

Inverted AR Roots .69 -.69

Inverted MA Roots .41 -.41
 1,1,1 1,1,2 2,1,2 2,1,1
Jumlah variabel signifikan 4 3 2 3
Volatilitas (probabilita 0.0000 0.0000 0.0000 0.0000
SIGMASQ)
AIC 10.53962 10.52176 10.53812 10.51228
Schwarz 10.66709 10.64924 10.66559 10.63975
Adj R2 0.063873 0.080763 0.066203 0.089767

MODEL TERBAIK DARI REGRESI ADALAH ARIMA (2,1,1)

Hasil forecast in sample

11,900
Forecast: GDPF
Actual: GDP
11,800 Forecast sample: 2007Q1 2007Q4
Included observations: 4
11,700 Root Mean Squared Error 51.93783
Mean Absolute Error 43.61168
Mean Abs. Percent Error 0.375855
11,600 Theil Inequality Coefficient 0.002248
Bias Proportion 0.239178
11,500
Variance Proportion 0.554839
Covariance Proportion 0.205984

11,400

11,300
2007q1 2007q2 2007q3 2007q4

GDPF ± 2 S.E.
11,680

11,640

11,600

11,560

11,520

11,480

11,440

11,400
2007q1 2007q2 2007q3 2007q4

GDP GDPF

Hasil forecast mendekati pada 2007Q2.