Nama : Tiessa Padella

Nim : 12103073
Kelas : 5C Ekonomi Syariah
Mata kuliah : Ekonometrika Lanjutan
Tugas : UTS Ekonometrika Lanjutan
M1 (Uang Beredar Sempit)
a. Grafik

M1
8.50

8.45

8.40

8.35

8.30

8.25

8.20
2021Ags

2022Ags

2023Ags
2021Des

2022Des
2022Mar

2023Mar
2021Apr

2022Apr

2023Apr
2021Mei

2022Mei

2023Mei
2021Jul

2022Jul

2023Jul
2021Nov

2022Nov
2021Okt

2022Okt
2022Jan

2023Jan
2021Jun

2022Jun

2023Jun
2021Sep

2022Feb

2022Sep

2023Feb

2023Sep
b. Correlogram
Date: 11/08/23 Time: 14:01
Sample: 1 30
Included observations: 30
Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.853 0.853 24.086 0.000

2 0.744 0.060 43.064 0.000
3 0.628 -0.073 57.087 0.000
4 0.538 0.022 67.785 0.000
5 0.431 -0.103 74.926 0.000
6 0.333 -0.054 79.368 0.000
7 0.223 -0.106 81.445 0.000
8 0.135 -0.020 82.246 0.000
9 0.100 0.141 82.707 0.000
10 0.011 -0.224 82.713 0.000
11 -0.068 -0.074 82.948 0.000
12 -0.121 0.052 83.728 0.000
 c. Uji roost test
 Dickey -Fuller GLS (DF GLS)
Null Hypothesis: M1 has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic

Elliott-Rothenberg-Stock DF-GLS test statistic -0.852120

Test critical values: 1% level -2.647120
5% level -1.952910
10% level -1.610011

*MacKinnon (1996)

DF-GLS Test Equation on GLS Detrended Residuals

Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 11/08/23 Time: 14:03
Sample (adjusted): 2 30
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

GLSRESID(-1) -0.048237 0.056608 -0.852120 0.4014

R-squared -0.075656 Mean dependent var 0.007650

Adjusted R-squared -0.075656 S.D. dependent var 0.024195
S.E. of regression 0.025093 Akaike info criterion -4.498542
Sum squared resid 0.017631 Schwarz criterion -4.451394
Log likelihood 66.22886 Hannan-Quinn criter. -4.483776
Durbin-Watson stat 2.328678

Hasil output uji roost test dengan metode Dickey -Fuller GLS (DF GLS) menunjukan
data tidak stationer karena nilai probabilitas sebesar -0.852120 > 0.05. maka harus
dilakukan dengan metode lain yaitu Augmented Dickey-Fuller (ADF).
  Augmented Dickey-Fuller (ADF)
Null Hypothesis: M1 has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.323250 0.1720

Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(M1)
Method: Least Squares
Date: 11/08/23 Time: 14:09
Sample (adjusted): 3 30
Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

M1(-1) -0.142499 0.061336 -2.323250 0.0286

D(M1(-1)) -0.333956 0.172404 -1.937054 0.0641
C 1.204818 0.514336 2.342474 0.0274

R-squared 0.259647 Mean dependent var 0.007575

Adjusted R-squared 0.200419 S.D. dependent var 0.024635
S.E. of regression 0.022029 Akaike info criterion -4.691972
Sum squared resid 0.012132 Schwarz criterion -4.549235
Log likelihood 68.68760 Hannan-Quinn criter. -4.648336
F-statistic 4.383845 Durbin-Watson stat 2.014466
Prob(F-statistic) 0.023334

Hasil diatas menunjukan bahwa nilai probabilitas atau signifikan 0.1720 > 0.05, maka
disimpulkan data tidak stationer.
Table 1. uji stationer ADF pada tingkat level
Variable ADF statistik
t-statistik Critical values prob Keterengan
5%
M1 -0.852120 -1.952910 0.1720 Tidak stationer
M2 -0.442539 -1.952910 0.3824 Tidak stationer
UK -0.471117 -1.952910 0.4743 Tidak stationer
ADNB -0.471117 -1.952910 0.4743 Tidak stationer
  Augmented Dickey-Fuller (ADF) 1st Difference
Null Hypothesis: D(M1) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.067516 0.0000

Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(M1,2)
Method: Least Squares
Date: 11/08/23 Time: 14:24
Sample (adjusted): 3 30
Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(M1(-1)) -1.316189 0.186231 -7.067516 0.0000

C 0.009931 0.004710 2.108261 0.0448

R-squared 0.657669 Mean dependent var 0.000125

Adjusted R-squared 0.644502 S.D. dependent var 0.039949
S.E. of regression 0.023819 Akaike info criterion -4.567916
Sum squared resid 0.014751 Schwarz criterion -4.472759
Log likelihood 65.95082 Hannan-Quinn criter. -4.538825
F-statistic 49.94978 Durbin-Watson stat 1.949558
Prob(F-statistic) 0.000000

Hasil diatas menunjukan nilai probabilitas sebesar 0.0000 < 0.005 artimya data tersebut
stabil.
Table 2. uji stationer ADF pada tingkat 1st Difference
Variable ADF statistik
t-statistik Critical values prob Keterengan
5%
M1 -7.067516 -2.971853 0.0000 Tidak stationer
M2 -6.247452 -2.971853 0.0000 Tidak stationer
UK -4.585100 -2.971853 0.0011 Tidak stationer
ADNB -6.354421 -2.971853 0.0000 Tidak stationer
 Model ARIMA
a. Model AR
Dependent Variable: D(M1)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 14:35
Sample: 2 30
Included observations: 29
Convergence achieved after 12 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.007587 0.003460 2.192510 0.0375

AR(1) -0.305772 0.155392 -1.967749 0.0598
SIGMASQ 0.000509 0.000130 3.902877 0.0006

R-squared 0.099684 Mean dependent var 0.007650

Adjusted R-squared 0.030429 S.D. dependent var 0.024195
S.E. of regression 0.023824 Akaike info criterion -4.535167
Sum squared resid 0.014757 Schwarz criterion -4.393723
Log likelihood 68.75992 Hannan-Quinn criter. -4.490868
F-statistic 1.439379 Durbin-Watson stat 1.983928
Prob(F-statistic) 0.255348

Inverted AR Roots -.31

 White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 1.07E+24 Prob. F(9,19) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(9) 0.0006
Scaled explained SS 27.14255 Prob. Chi-Square(9) 0.0013

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 14:50
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000509 3.64E-13 1.40E+09 0.0000

GRADF_01^2 -4.31E-16 1.09E-16 -3.973516 0.0008
GRADF_01*GRADF_02 1.16E-17 6.60E-18 1.752962 0.0957
GRADF_01*GRADF_03 -5.68E-21 7.35E-21 -0.773181 0.4489
GRADF_01 -1.61E-18 8.92E-18 -0.180234 0.8589
GRADF_02^2 -1.07E-16 1.59E-16 -0.669801 0.5110
GRADF_02*GRADF_03 4.53E-19 5.10E-19 0.888280 0.3855
GRADF_02 6.79E-16 5.18E-16 1.309236 0.2061
GRADF_03^2 -3.12E-23 1.26E-22 -0.247290 0.8073
GRADF_03 5.18E-07 3.70E-16 1.40E+09 0.0000

R-squared 1.000000 Mean dependent var 0.000509

Adjusted R-squared 1.000000 S.D. dependent var 0.000790
S.E. of regression 1.34E-15 Sum squared resid 3.44E-29
F-statistic 1.07E+24 Durbin-Watson stat 2.005384
Prob(F-statistic) 0.000000

Hasil diatas menunjukan terjadi heteroskedastisitas nilai prob. Chil-square(9) 0.0006 <
0.05, maka perlu melakukan metode lainnya.
  Glesjer
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.198616 Prob. F(1,27) 0.6594

Obs*R-squared 0.211770 Prob. Chi-Square(1) 0.6454
Scaled explained SS 0.219396 Prob. Chi-Square(1) 0.6395

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 11/08/23 Time: 14:57
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.016779 0.002944 5.698643 0.0000

D(M1) 0.052542 0.117896 0.445663 0.6594

R-squared 0.007302 Mean dependent var 0.017181

Adjusted R-squared -0.029464 S.D. dependent var 0.014876
S.E. of regression 0.015094 Akaike info criterion -5.482577
Sum squared resid 0.006151 Schwarz criterion -5.388281
Log likelihood 81.49737 Hannan-Quinn criter. -5.453045
F-statistic 0.198616 Durbin-Watson stat 1.517172
Prob(F-statistic) 0.659394

Hasil output diatas tidak terjadi heteroskedastisitas karena nilai prob. Chil-square
0.6454 > 0.05. selanjutnya uji model MA.
b. Model MA
Dependent Variable: D(M1)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 15:02
Sample: 2 30
Included observations: 29
Convergence achieved after 18 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.007585 0.003347 2.265941 0.0320

MA(1) -0.316392 0.160534 -1.970875 0.0595
SIGMASQ 0.000511 0.000124 4.122656 0.0003

R-squared 0.096202 Mean dependent var 0.007650

Adjusted R-squared 0.026679 S.D. dependent var 0.024195
S.E. of regression 0.023870 Akaike info criterion -4.531054
Sum squared resid 0.014814 Schwarz criterion -4.389610
Log likelihood 68.70029 Hannan-Quinn criter. -4.486756
F-statistic 1.383747 Durbin-Watson stat 2.019006
Prob(F-statistic) 0.268489

Inverted MA Roots .32

  White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 8.52E+23 Prob. F(9,19) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(9) 0.0006
Scaled explained SS 29.50611 Prob. Chi-Square(9) 0.0005

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 15:04
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000511 1.51E-14 3.39E+10 0.0000

GRADF_01^2 -1.23E-18 3.62E-18 -0.339734 0.7378
GRADF_01*GRADF_02 1.34E-19 8.13E-18 0.016535 0.9870
GRADF_01*GRADF_03 -9.16E-21 8.32E-21 -1.101205 0.2846
GRADF_01 -2.21E-17 9.54E-18 -2.317157 0.0318
GRADF_02^2 -3.58E-16 2.05E-16 -1.740573 0.0979
GRADF_02*GRADF_03 1.04E-18 5.14E-19 2.015166 0.0583
GRADF_02 -2.40E-15 6.58E-16 -3.654456 0.0017
GRADF_03^2 -1.65E-22 2.14E-22 -0.771029 0.4502
GRADF_03 5.22E-07 1.55E-17 3.37E+10 0.0000

R-squared 1.000000 Mean dependent var 0.000511

Adjusted R-squared 1.000000 S.D. dependent var 0.000827
S.E. of regression 1.58E-15 Sum squared resid 4.75E-29
F-statistic 8.52E+23 Durbin-Watson stat 2.292319
Prob(F-statistic) 0.000000

Hasil diatas menunjukan terjadi heteroskedastisitas nilai prob. Chil-square(9) 0.0006 <
0.05, maka perlu melakukan metode lainnya.
 Glesjer
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.253716 Prob. F(1,27) 0.6186

Obs*R-squared 0.269973 Prob. Chi-Square(1) 0.6033
Scaled explained SS 0.290838 Prob. Chi-Square(1) 0.5897

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 11/08/23 Time: 15:11
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.016501 0.003005 5.490571 0.0000

D(M1) 0.060612 0.120332 0.503702 0.6186

R-squared 0.009309 Mean dependent var 0.016964

Adjusted R-squared -0.027383 S.D. dependent var 0.015199
S.E. of regression 0.015406 Akaike info criterion -5.441671
Sum squared resid 0.006408 Schwarz criterion -5.347375
Log likelihood 80.90423 Hannan-Quinn criter. -5.412139
F-statistic 0.253716 Durbin-Watson stat 1.501639
Prob(F-statistic) 0.618556

Hasil output diatas tidak terjadi heteroskedastisitas karena nilai prob. Chil-square
0.6033 > 0.05. selanjutnya uji model ARIMA.
 c. Model ARIMA
Dependent Variable: D(M1)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 15:14
Sample: 2 30
Included observations: 29
Convergence achieved after 31 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.007586 0.003380 2.244286 0.0339

AR(1) 0.015871 0.739344 0.021466 0.9830
MA(1) -0.331976 0.692332 -0.479504 0.6357
SIGMASQ 0.000511 0.000130 3.927124 0.0006

R-squared 0.096239 Mean dependent var 0.007650

Adjusted R-squared -0.012213 S.D. dependent var 0.024195
S.E. of regression 0.024342 Akaike info criterion -4.462095
Sum squared resid 0.014814 Schwarz criterion -4.273503
Log likelihood 68.70038 Hannan-Quinn criter. -4.403031
F-statistic 0.887388 Durbin-Watson stat 2.021969
Prob(F-statistic) 0.461168

Inverted AR Roots .02

Inverted MA Roots .33

 White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 4.79E+23 Prob. F(14,14) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(14) 0.0105
Scaled explained SS 27.38913 Prob. Chi-Square(14) 0.0171

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 15:15
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000511 1.60E-14 3.20E+10 0.0000

GRADF_01^2 1.99E-18 3.86E-18 0.514613 0.6149
GRADF_01*GRADF_02 7.51E-17 1.27E-16 0.590304 0.5644
GRADF_01*GRADF_03 -5.69E-17 1.48E-16 -0.383466 0.7071
GRADF_01*GRADF_04 -9.15E-21 3.79E-20 -0.241694 0.8125
GRADF_01 -4.99E-18 2.28E-17 -0.219401 0.8295
GRADF_02^2 8.02E-15 1.54E-14 0.521949 0.6099
GRADF_02*GRADF_03 -1.38E-14 3.70E-14 -0.371900 0.7155
GRADF_02*GRADF_04 4.49E-19 1.04E-17 0.043218 0.9661
GRADF_02 -3.78E-15 5.40E-15 -0.698973 0.4960
GRADF_03^2 5.78E-15 2.01E-14 0.287765 0.7777
GRADF_03*GRADF_04 5.71E-19 8.59E-18 0.066448 0.9480
GRADF_03 3.39E-15 4.17E-15 0.811249 0.4308
GRADF_04^2 -2.28E-22 4.53E-22 -0.503299 0.6226
GRADF_04 5.22E-07 1.64E-17 3.19E+10 0.0000

R-squared 1.000000 Mean dependent var 0.000511

Adjusted R-squared 1.000000 S.D. dependent var 0.000829
S.E. of regression 1.69E-15 Sum squared resid 4.02E-29
F-statistic 4.79E+23 Durbin-Watson stat 2.014662
Prob(F-statistic) 0.000000

Hasil diatas tidak terjadi gejala heteroskedastisitas karena nilai prob. Chil-square
0.0105 > 0.05.
Table 3. perbandingan model yang dipilih
MODEL Sign. Asumsi R-square AIC SC;
Model Heteroskedastisitas
AR(1) Tidak Bebas 0.99684 -4.5355167 -4.393723
sign
MA(1) Tidak Bebas 0.96202 -4.531054 -4.389610
sign
ARIMA(1) Tidak Bebas 0.962309 -4.462095 --4.273503
sign
M2 (Uang Beredar)
a. Grafik

M2
9.08

9.04

9.00

8.96

8.92

8.88

8.84
2021Ags

2022Ags

2023Ags
2021Des

2022Des
2022Mar

2023Mar
2021Apr

2022Apr

2023Apr
2021Mei

2022Mei

2023Mei
2021Jul

2022Jul

2023Jul
2021Nov

2022Nov
2021Okt

2022Okt
2022Jan

2023Jan
2021Jun

2022Jun

2023Jun
2021Sep

2022Feb

2022Sep

2023Feb

2023Sep
b. Correlogram
Date: 11/08/23 Time: 15:25
Sample: 1 30
Included observations: 30
Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.875 0.875 25.329 0.000

2 0.762 -0.015 45.217 0.000
3 0.651 -0.053 60.265 0.000
4 0.549 -0.027 71.378 0.000
5 0.440 -0.090 78.820 0.000
6 0.344 -0.024 83.553 0.000
7 0.256 -0.030 86.297 0.000
8 0.183 -0.006 87.765 0.000
9 0.148 0.103 88.759 0.000
10 0.060 -0.255 88.933 0.000
11 -0.016 -0.040 88.946 0.000
12 -0.070 0.030 89.209 0.000
 c. Uji root test
 Dickey -Fuller GLS
Null Hypothesis: M2 has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic

Elliott-Rothenberg-Stock DF-GLS test statistic -0.442539

Test critical values: 1% level -2.647120
5% level -1.952910
10% level -1.610011

*MacKinnon (1996)

DF-GLS Test Equation on GLS Detrended Residuals

Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 11/08/23 Time: 15:26
Sample (adjusted): 2 30
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

GLSRESID(-1) -0.019991 0.045174 -0.442539 0.6615

R-squared -0.202901 Mean dependent var 0.006627

Adjusted R-squared -0.202901 S.D. dependent var 0.014670
S.E. of regression 0.016090 Akaike info criterion -5.387347
Sum squared resid 0.007249 Schwarz criterion -5.340199
Log likelihood 79.11654 Hannan-Quinn criter. -5.372581
Durbin-Watson stat 1.955932

Hasil output uji roost test dengan metode Dickey -Fuller GLS (DF GLS) menunjukan
data tidak stationer karena nilai probabilitas sebesar -0.442539 > 0.05. maka harus
dilakukan dengan metode lain yaitu Augmented Dickey-Fuller (ADF).
  Augmented Dickey-Fuller (ADF)
Null Hypothesis: M2 has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.780156 0.3824

Test critical values: 1% level -3.679322
5% level -2.967767
10% level -2.622989

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(M2)
Method: Least Squares
Date: 11/08/23 Time: 15:31
Sample (adjusted): 2 30
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

M2(-1) -0.078457 0.044073 -1.780156 0.0863

C 0.710200 0.395240 1.796882 0.0836

R-squared 0.105040 Mean dependent var 0.006627

Adjusted R-squared 0.071894 S.D. dependent var 0.014670
S.E. of regression 0.014133 Akaike info criterion -5.614095
Sum squared resid 0.005393 Schwarz criterion -5.519799
Log likelihood 83.40438 Hannan-Quinn criter. -5.584562
F-statistic 3.168954 Durbin-Watson stat 2.480367
Prob(F-statistic) 0.086308

Hasil diatas menunjukan bahwa nilai probabilitas atau signifikan 0.3824 > 0.05, maka
disimpulkan data tidak stationer.
Table 1. uji stationer ADF pada tingkat level
Variable ADF statistik
t-statistik Critical values prob Keterengan
5%
M1 -0.852120 -1.952910 0.1720 Tidak stationer
M2 -0.442539 -1.952910 0.3824 Tidak stationer
UK -0.471117 -1.952910 0.4743 Tidak stationer
ADNB -0.471117 -1.952910 0.4743 Tidak stationer
  Augmented Dickey-Fuller (ADF) 1st Difference
Null Hypothesis: D(M2) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.247452 0.0000

Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(M2,2)
Method: Least Squares
Date: 11/08/23 Time: 15:34
Sample (adjusted): 3 30
Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(M2(-1)) -1.200770 0.192202 -6.247452 0.0000

C 0.007974 0.003086 2.583710 0.0157

R-squared 0.600189 Mean dependent var 0.000117

Adjusted R-squared 0.584811 S.D. dependent var 0.023145
S.E. of regression 0.014913 Akaike info criterion -5.504364
Sum squared resid 0.005783 Schwarz criterion -5.409206
Log likelihood 79.06110 Hannan-Quinn criter. -5.475273
F-statistic 39.03065 Durbin-Watson stat 1.926530
Prob(F-statistic) 0.000001

Hasil diatas menunjukan nilai probabilitas sebesar 0.0000 < 0.005 artimya data tersebut
stabil.
Table 2. uji stationer ADF pada tingkat 1st Difference
Variable ADF statistik
t-statistik Critical values prob Keterengan
5%
M1 -7.067516 -2.971853 0.0000 Tidak stationer
M2 -6.247452 -2.971853 0.0000 Tidak stationer
UK -4.585100 -2.971853 0.0011 Tidak stationer
ADNB -6.354421 -2.971853 0.0000 Tidak stationer
 Model ARIMA
a. Model AR
Dependent Variable: D(M2)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 15:41
Sample: 2 30
Included observations: 29
Convergence achieved after 10 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.006619 0.003058 2.164215 0.0398

AR(1) -0.194125 0.257344 -0.754338 0.4574
SIGMASQ 0.000199 6.54E-05 3.047861 0.0052

R-squared 0.040236 Mean dependent var 0.006627

Adjusted R-squared -0.033592 S.D. dependent var 0.014670
S.E. of regression 0.014915 Akaike info criterion -5.473896
Sum squared resid 0.005784 Schwarz criterion -5.332452
Log likelihood 82.37150 Hannan-Quinn criter. -5.429598
F-statistic 0.545002 Durbin-Watson stat 1.965789
Prob(F-statistic) 0.586321

Inverted AR Roots -.19

 White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 2.24E+23 Prob. F(9,19) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(9) 0.0006
Scaled explained SS 28.93318 Prob. Chi-Square(9) 0.0007

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 15:43
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000199 9.11E-13 2.19E+08 0.0000

GRADF_01^2 -3.41E-16 1.27E-16 -2.678937 0.0148
GRADF_01*GRADF_02 1.22E-18 9.18E-18 0.133278 0.8954
GRADF_01*GRADF_03 -8.07E-22 2.65E-21 -0.304115 0.7643
GRADF_01 4.91E-18 5.69E-18 0.861812 0.3995
GRADF_02^2 5.23E-17 3.54E-16 0.147699 0.8841
GRADF_02*GRADF_03 5.03E-20 3.42E-19 0.146862 0.8848
GRADF_02 1.89E-16 6.86E-16 0.275527 0.7859
GRADF_03^2 3.37E-24 2.50E-23 0.134922 0.8941
GRADF_03 7.96E-08 3.63E-16 2.19E+08 0.0000

R-squared 1.000000 Mean dependent var 0.000199

Adjusted R-squared 1.000000 S.D. dependent var 0.000320
S.E. of regression 1.19E-15 Sum squared resid 2.70E-29
F-statistic 2.24E+23 Durbin-Watson stat 1.506659
Prob(F-statistic) 0.000000

Hasil diatas menunjukan terjadi heteroskedastisitas nilai prob. Chil-square(9) 0.0006 <
0.05, maka perlu melakukan metode lainnya.
  Glesjer
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.003119 Prob. F(1,27) 0.9559

Obs*R-squared 0.003350 Prob. Chi-Square(1) 0.9538
Scaled explained SS 0.003712 Prob. Chi-Square(1) 0.9514

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 11/08/23 Time: 15:45
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.010529 0.002005 5.252425 0.0000

D(M2) -0.007056 0.126344 -0.055850 0.9559

R-squared 0.000116 Mean dependent var 0.010482

Adjusted R-squared -0.036917 S.D. dependent var 0.009632
S.E. of regression 0.009808 Akaike info criterion -6.344770
Sum squared resid 0.002597 Schwarz criterion -6.250474
Log likelihood 93.99916 Hannan-Quinn criter. -6.315238
F-statistic 0.003119 Durbin-Watson stat 1.521325
Prob(F-statistic) 0.955873

Hasil output diatas tidak terjadi heteroskedastisitas karena nilai prob. Chil-square
0.9538 > 0.05. selanjutnya uji model MA.
b. Model MA
Dependent Variable: D(M2)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 15:47
Sample: 2 30
Included observations: 29
Convergence achieved after 18 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.006614 0.003410 1.939621 0.0633

MA(1) -0.172236 0.240584 -0.715908 0.4804
SIGMASQ 0.000201 6.06E-05 3.310677 0.0027

R-squared 0.034141 Mean dependent var 0.006627

Adjusted R-squared -0.040156 S.D. dependent var 0.014670
S.E. of regression 0.014962 Akaike info criterion -5.467852
Sum squared resid 0.005821 Schwarz criterion -5.326408
Log likelihood 82.28385 Hannan-Quinn criter. -5.423553
F-statistic 0.459523 Durbin-Watson stat 2.032566
Prob(F-statistic) 0.636617

Inverted MA Roots .17

  White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 2.47E+23 Prob. F(9,19) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(9) 0.0006
Scaled explained SS 30.11862 Prob. Chi-Square(9) 0.0004

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 15:48
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000201 3.23E-14 6.22E+09 0.0000

GRADF_01^2 -4.12E-18 4.47E-18 -0.923042 0.3676
GRADF_01*GRADF_02 1.46E-18 9.60E-18 0.151927 0.8808
GRADF_01*GRADF_03 2.45E-21 2.59E-21 0.944639 0.3567
GRADF_01 1.64E-18 5.26E-18 0.311388 0.7589
GRADF_02^2 1.28E-17 3.56E-16 0.035869 0.9718
GRADF_02*GRADF_03 -1.36E-19 1.95E-19 -0.697061 0.4942
GRADF_02 -6.98E-17 5.05E-16 -0.138133 0.8916
GRADF_03^2 2.72E-23 2.37E-23 1.150802 0.2641
GRADF_03 8.06E-08 1.30E-17 6.21E+09 0.0000

R-squared 1.000000 Mean dependent var 0.000201

Adjusted R-squared 1.000000 S.D. dependent var 0.000328
S.E. of regression 1.17E-15 Sum squared resid 2.58E-29
F-statistic 2.47E+23 Durbin-Watson stat 1.884552
Prob(F-statistic) 0.000000

Hasil diatas menunjukan terjadi heteroskedastisitas nilai prob. Chil-square(9) 0.0006 <
0.05, maka perlu melakukan metode lainnya.
 Glesjer
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.006044 Prob. F(1,27) 0.9386

Obs*R-squared 0.006490 Prob. Chi-Square(1) 0.9358
Scaled explained SS 0.007399 Prob. Chi-Square(1) 0.9315

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 11/08/23 Time: 15:50
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.010457 0.002040 5.127154 0.0000

D(M2) -0.009994 0.128551 -0.077742 0.9386

R-squared 0.000224 Mean dependent var 0.010391

Adjusted R-squared -0.036805 S.D. dependent var 0.009801
S.E. of regression 0.009979 Akaike info criterion -6.310134
Sum squared resid 0.002689 Schwarz criterion -6.215838
Log likelihood 93.49694 Hannan-Quinn criter. -6.280602
F-statistic 0.006044 Durbin-Watson stat 1.589937
Prob(F-statistic) 0.938607

Hasil output diatas tidak terjadi heteroskedastisitas karena nilai prob. Chil-square
0.9358 > 0.05. selanjutnya uji model ARIMA.
 c. Model ARIMA
Dependent Variable: D(M2)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 15:52
Sample: 2 30
Included observations: 29
Failure to improve objective (singular hessian) after 84 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.006843 0.002424 2.823221 0.0092

AR(1) -1.000000 1.214475 -0.823401 0.4181
MA(1) 0.999946 0.000727 1374.536 0.0000
SIGMASQ 0.000163 5.14E-05 3.181399 0.0039

R-squared 0.213642 Mean dependent var 0.006627

Adjusted R-squared 0.119280 S.D. dependent var 0.014670
S.E. of regression 0.013768 Akaike info criterion -5.530246
Sum squared resid 0.004739 Schwarz criterion -5.341653
Log likelihood 84.18856 Hannan-Quinn criter. -5.471181
F-statistic 2.264051 Durbin-Watson stat 1.941602
Prob(F-statistic) 0.105712

Inverted AR Roots -1.00

Inverted MA Roots -1.00

 White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 1.72E+13 Prob. F(14,14) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(14) 0.0105
Scaled explained SS 25.78041 Prob. Chi-Square(14) 0.0276

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 15:53
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000163 1.21E-09 134839.6 0.0000

GRADF_01^2 8.18E-13 1.73E-13 4.733186 0.0003
GRADF_01*GRADF_02 1.41E-11 5.43E-12 2.592973 0.0213
GRADF_01*GRADF_03 2.24E-14 7.81E-15 2.872367 0.0123
GRADF_01*GRADF_04 7.50E-16 2.97E-16 2.520571 0.0245
GRADF_01 1.02E-12 6.57E-13 1.551406 0.1431
GRADF_02^2 3.20E-09 3.16E-09 1.014111 0.3277
GRADF_02*GRADF_03 3.60E-11 1.53E-11 2.363040 0.0331
GRADF_02*GRADF_04 -2.20E-14 1.14E-13 -0.193711 0.8492
GRADF_02 6.39E-10 7.64E-10 0.835899 0.4173
GRADF_03^2 1.57E-15 4.31E-16 3.635050 0.0027
GRADF_03*GRADF_04 -9.06E-16 2.51E-16 -3.608450 0.0029
GRADF_03 -5.38E-12 5.33E-13 -10.09627 0.0000
GRADF_04^2 -1.99E-17 7.35E-18 -2.700876 0.0172
GRADF_04 5.34E-08 4.11E-13 129772.5 0.0000

R-squared 1.000000 Mean dependent var 0.000163

Adjusted R-squared 1.000000 S.D. dependent var 0.000257
S.E. of regression 8.77E-11 Akaike info criterion -43.17009
Sum squared resid 1.08E-19 Schwarz criterion -42.46287
Log likelihood 640.9663 Hannan-Quinn criter. -42.94860
F-statistic 1.72E+13 Durbin-Watson stat 2.335084
Prob(F-statistic) 0.000000

Hasil diatas tidak terjadi gejala heteroskedastisitas karena nilai prob. Chil-square
0.0105 > 0.05.
Table 3. perbandingan model yang dipilih
MODEL Sign. Asumsi R-square AIC SC
Model Heteroskedastisitas
AR(1) Tidak sign Bebas 0.99684 -4.5355167 -4.393723
MA(1) Tidak sign Bebas 0.96202 -4.531054 -4.389610
ARIMA(1) Tidak sign Bebas 0.962309 -4.462095 -4.273503
UK (UANG KUASI)
a. Grafik

UK
8.24
8.22
8.20
8.18
8.16
8.14
8.12
8.10
8.08
8.06
2021Ags

2022Ags

2023Ags
2021Des

2022Des
2022Mar

2023Mar
2021Apr

2022Apr

2023Apr
2021Mei

2022Mei

2023Mei
2021Jul

2022Jul

2023Jul
2021Nov

2022Nov
2021Okt

2022Okt
2022Jan

2023Jan
2021Jun

2022Jun

2023Jun
2021Sep

2022Feb

2022Sep

2023Feb

2023Sep
b. Correlogram
Date: 11/08/23 Time: 16:02
Sample: 1 30
Included observations: 30
Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.887 0.887 26.030 0.000

2 0.762 -0.115 45.929 0.000
3 0.654 0.011 61.118 0.000
4 0.523 -0.179 71.226 0.000
5 0.401 -0.030 77.390 0.000
6 0.305 0.021 81.102 0.000
7 0.218 -0.024 83.094 0.000
8 0.152 0.027 84.104 0.000
9 0.108 0.020 84.640 0.000
10 0.042 -0.162 84.727 0.000
11 -0.017 -0.019 84.742 0.000
12 -0.043 0.069 84.842 0.000
 c. Uji root test
 Dickey -Fuller GLS
Null Hypothesis: UK has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic

Elliott-Rothenberg-Stock DF-GLS test statistic 0.037287

Test critical values: 1% level -2.647120
5% level -1.952910
10% level -1.610011

*MacKinnon (1996)

DF-GLS Test Equation on GLS Detrended Residuals

Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 11/08/23 Time: 16:03
Sample (adjusted): 2 30
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

GLSRESID(-1) 0.001741 0.046694 0.037287 0.9705

R-squared -0.219537 Mean dependent var 0.005354

Adjusted R-squared -0.219537 S.D. dependent var 0.011628
S.E. of regression 0.012841 Akaike info criterion -5.838458
Sum squared resid 0.004617 Schwarz criterion -5.791310
Log likelihood 85.65765 Hannan-Quinn criter. -5.823692
Durbin-Watson stat 1.459514

Hasil output uji roost test dengan metode Dickey -Fuller GLS (DF GLS) menunjukan
data tidak stationer karena nilai probabilitas sebesar 0.037287 > 0.05. maka harus
dilakukan dengan metode lain yaitu Augmented Dickey-Fuller (ADF).
  Augmented Dickey-Fuller (ADF)
Null Hypothesis: UK has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.784619 0.8086

Test critical values: 1% level -3.679322
5% level -2.967767
10% level -2.622989

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(UK)
Method: Least Squares
Date: 11/08/23 Time: 16:12
Sample (adjusted): 2 30
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

UK(-1) -0.035242 0.044917 -0.784619 0.4395

C 0.292606 0.366110 0.799230 0.4311

R-squared 0.022293 Mean dependent var 0.005354

Adjusted R-squared -0.013919 S.D. dependent var 0.011628
S.E. of regression 0.011709 Akaike info criterion -5.990509
Sum squared resid 0.003701 Schwarz criterion -5.896213
Log likelihood 88.86239 Hannan-Quinn criter. -5.960977
F-statistic 0.615627 Durbin-Watson stat 1.755025
Prob(F-statistic) 0.439507

Hasil diatas menunjukan bahwa nilai probabilitas atau signifikan 0.8086 > 0.05, maka
disimpulkan data tidak stationer.
Table 1. uji stationer ADF pada tingkat level
Variable ADF statistik
t-statistik Critical values prob Keterengan
5%
M1 -0.852120 -1.952910 0.1720 Tidak stationer
M2 -0.442539 -1.952910 0.3824 Tidak stationer
UK -0.471117 -1.952910 0.4743 Tidak stationer
ADNB -0.471117 -1.952910 0.4743 Tidak stationer
  Augmented Dickey-Fuller (ADF) 1st Difference
Null Hypothesis: D(UK) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.585011 0.0011

Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(UK,2)
Method: Least Squares
Date: 11/08/23 Time: 16:15
Sample (adjusted): 3 30
Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(UK(-1)) -0.891373 0.194410 -4.585011 0.0001

C 0.004933 0.002491 1.980073 0.0584

R-squared 0.447071 Mean dependent var 0.000128

Adjusted R-squared 0.425805 S.D. dependent var 0.015784
S.E. of regression 0.011960 Akaike info criterion -5.945703
Sum squared resid 0.003719 Schwarz criterion -5.850546
Log likelihood 85.23985 Hannan-Quinn criter. -5.916613
F-statistic 21.02233 Durbin-Watson stat 1.968762
Prob(F-statistic) 0.000101

Hasil diatas menunjukan nilai probabilitas sebesar 0.0011 < 0.005 artimya data tersebut
stabil.
Table 2. uji stationer ADF pada tingkat 1st Difference
Variable ADF statistik
t-statistik Critical values prob Keterengan
5%
M1 -7.067516 -2.971853 0.0000 Tidak stationer
M2 -6.247452 -2.971853 0.0000 Tidak stationer
UK -4.585100 -2.971853 0.0011 Tidak stationer
ADNB -6.354421 -2.971853 0.0000 Tidak stationer
 Model ARIMA
a. Model AR
Dependent Variable: D(UK)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 16:21
Sample: 2 30
Included observations: 29
Convergence achieved after 24 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005332 0.002409 2.213227 0.0359

AR(1) 0.105651 0.247603 0.426694 0.6731
SIGMASQ 0.000129 3.36E-05 3.843010 0.0007

R-squared 0.011863 Mean dependent var 0.005354

Adjusted R-squared -0.064148 S.D. dependent var 0.011628
S.E. of regression 0.011995 Akaike info criterion -5.910545
Sum squared resid 0.003741 Schwarz criterion -5.769101
Log likelihood 88.70291 Hannan-Quinn criter. -5.866247
F-statistic 0.156065 Durbin-Watson stat 1.992344
Prob(F-statistic) 0.856299

Inverted AR Roots .11

 White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 4.49E+23 Prob. F(9,19) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(9) 0.0006
Scaled explained SS 27.27478 Prob. Chi-Square(9) 0.0013

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 16:22
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000129 1.46E-14 8.81E+09 0.0000

GRADF_01^2 -3.28E-18 2.36E-18 -1.389620 0.1807
GRADF_01*GRADF_02 2.22E-18 2.35E-18 0.944608 0.3567
GRADF_01*GRADF_03 -1.72E-22 3.26E-22 -0.527087 0.6042
GRADF_01 1.20E-18 1.97E-18 0.609137 0.5496
GRADF_02^2 -2.64E-17 1.77E-16 -0.149016 0.8831
GRADF_02*GRADF_03 1.26E-20 2.99E-20 0.422387 0.6775
GRADF_02 2.20E-17 2.46E-16 0.089504 0.9296
GRADF_03^2 -4.59E-24 4.75E-24 -0.965637 0.3464
GRADF_03 3.33E-08 3.77E-18 8.83E+09 0.0000

R-squared 1.000000 Mean dependent var 0.000129

Adjusted R-squared 1.000000 S.D. dependent var 0.000201
S.E. of regression 5.29E-16 Sum squared resid 5.31E-30
F-statistic 4.49E+23 Durbin-Watson stat 1.578699
Prob(F-statistic) 0.000000

Hasil diatas menunjukan terjadi heteroskedastisitas nilai prob. Chil-square(9) 0.0006 <
0.05, maka perlu melakukan metode lainnya.
  Glesjer
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.099190 Prob. F(1,27) 0.7552

Obs*R-squared 0.106148 Prob. Chi-Square(1) 0.7446
Scaled explained SS 0.097790 Prob. Chi-Square(1) 0.7545

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 11/08/23 Time: 16:23
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.008794 0.001472 5.972731 0.0000

D(UK) 0.036749 0.116685 0.314945 0.7552

R-squared 0.003660 Mean dependent var 0.008991

Adjusted R-squared -0.033241 S.D. dependent var 0.007063
S.E. of regression 0.007180 Akaike info criterion -6.968686
Sum squared resid 0.001392 Schwarz criterion -6.874389
Log likelihood 103.0459 Hannan-Quinn criter. -6.939153
F-statistic 0.099190 Durbin-Watson stat 2.304075
Prob(F-statistic) 0.755224

Hasil output diatas tidak terjadi heteroskedastisitas karena nilai prob. Chil-square
0.7446 > 0.05. selanjutnya uji model MA.
b. Model MA
Dependent Variable: D(UK)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 16:25
Sample: 2 30
Included observations: 29
Convergence achieved after 8 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005325 0.002406 2.213565 0.0358

MA(1) 0.113586 0.224046 0.506975 0.6164
SIGMASQ 0.000129 3.30E-05 3.904975 0.0006

R-squared 0.012187 Mean dependent var 0.005354

Adjusted R-squared -0.063799 S.D. dependent var 0.011628
S.E. of regression 0.011993 Akaike info criterion -5.910813
Sum squared resid 0.003740 Schwarz criterion -5.769368
Log likelihood 88.70678 Hannan-Quinn criter. -5.866514
F-statistic 0.160381 Durbin-Watson stat 1.998932
Prob(F-statistic) 0.852656

Inverted MA Roots -.11

  White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 3.27E+23 Prob. F(9,19) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(9) 0.0006
Scaled explained SS 27.18909 Prob. Chi-Square(9) 0.0013

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 16:25
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000129 1.74E-14 7.42E+09 0.0000

GRADF_01^2 -1.28E-18 2.78E-18 -0.461880 0.6494
GRADF_01*GRADF_02 2.70E-18 2.47E-18 1.090532 0.2891
GRADF_01*GRADF_03 2.44E-22 3.84E-22 0.636011 0.5324
GRADF_01 -7.87E-20 2.42E-18 -0.032458 0.9744
GRADF_02^2 1.69E-16 1.96E-16 0.865286 0.3977
GRADF_02*GRADF_03 -2.01E-20 3.18E-20 -0.632401 0.5347
GRADF_02 1.36E-18 2.81E-16 0.004823 0.9962
GRADF_03^2 -7.09E-24 5.35E-24 -1.323238 0.2015
GRADF_03 3.33E-08 4.48E-18 7.43E+09 0.0000

R-squared 1.000000 Mean dependent var 0.000129

Adjusted R-squared 1.000000 S.D. dependent var 0.000200
S.E. of regression 6.18E-16 Sum squared resid 7.26E-30
F-statistic 3.27E+23 Durbin-Watson stat 1.646329
Prob(F-statistic) 0.000000

Hasil diatas menunjukan terjadi heteroskedastisitas nilai prob. Chil-square(9) 0.0006 <
0.05, maka perlu melakukan metode lainnya.
 Glesjer
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.103703 Prob. F(1,27) 0.7499

Obs*R-squared 0.110959 Prob. Chi-Square(1) 0.7391
Scaled explained SS 0.101981 Prob. Chi-Square(1) 0.7495

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 11/08/23 Time: 16:27
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.008795 0.001470 5.981721 0.0000

D(UK) 0.037522 0.116519 0.322030 0.7499

R-squared 0.003826 Mean dependent var 0.008995

Adjusted R-squared -0.033069 S.D. dependent var 0.007054
S.E. of regression 0.007169 Akaike info criterion -6.971537
Sum squared resid 0.001388 Schwarz criterion -6.877241
Log likelihood 103.0873 Hannan-Quinn criter. -6.942005
F-statistic 0.103703 Durbin-Watson stat 2.302010
Prob(F-statistic) 0.749910

Hasil output diatas tidak terjadi heteroskedastisitas karena nilai prob. Chil-square
0.7391 > 0.05. selanjutnya uji model ARIMA.
 c. Model ARIMA
Dependent Variable: D(UK)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 16:29
Sample: 2 30
Included observations: 29
Convergence achieved after 27 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005348 0.002576 2.075988 0.0483

AR(1) 0.467892 1.367866 0.342060 0.7352
MA(1) -0.357711 1.433099 -0.249607 0.8049
SIGMASQ 0.000128 3.60E-05 3.562160 0.0015

R-squared 0.016611 Mean dependent var 0.005354

Adjusted R-squared -0.101395 S.D. dependent var 0.011628
S.E. of regression 0.012203 Akaike info criterion -5.846175
Sum squared resid 0.003723 Schwarz criterion -5.657583
Log likelihood 88.76954 Hannan-Quinn criter. -5.787110
F-statistic 0.140766 Durbin-Watson stat 2.016423
Prob(F-statistic) 0.934611

Inverted AR Roots .47

Inverted MA Roots .36

 White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 4.38E+23 Prob. F(14,14) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(14) 0.0105
Scaled explained SS 24.56139 Prob. Chi-Square(14) 0.0392

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 16:30
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000128 5.09E-15 2.52E+10 0.0000

GRADF_01^2 8.89E-19 9.25E-19 0.960552 0.3531
GRADF_01*GRADF_02 1.82E-17 2.04E-17 0.896273 0.3853
GRADF_01*GRADF_03 -2.41E-17 2.64E-17 -0.913670 0.3764
GRADF_01*GRADF_04 7.34E-22 6.93E-22 1.060010 0.3071
GRADF_01 4.33E-18 1.90E-18 2.279968 0.0388
GRADF_02^2 3.92E-15 7.70E-15 0.509392 0.6184
GRADF_02*GRADF_03 -9.81E-15 1.77E-14 -0.553336 0.5888
GRADF_02*GRADF_04 6.70E-19 4.45E-19 1.505803 0.1543
GRADF_02 -3.20E-16 1.36E-15 -0.235615 0.8171
GRADF_03^2 5.52E-15 1.05E-14 0.525738 0.6073
GRADF_03*GRADF_04 -6.84E-19 4.57E-19 -1.496553 0.1567
GRADF_03 6.50E-16 1.42E-15 0.459145 0.6532
GRADF_04^2 -6.08E-24 6.44E-24 -0.944733 0.3608
GRADF_04 3.30E-08 1.30E-18 2.54E+10 0.0000

R-squared 1.000000 Mean dependent var 0.000128

Adjusted R-squared 1.000000 S.D. dependent var 0.000197
S.E. of regression 4.22E-16 Sum squared resid 2.49E-30
F-statistic 4.38E+23 Durbin-Watson stat 1.424931
Prob(F-statistic) 0.000000

Hasil diatas tidak terjadi gejala heteroskedastisitas karena nilai prob. Chil-square
0.0105 > 0.05.
Table 3. perbandingan model yang dipilih
MODEL Sign. Asumsi R-square AIC SC;
Model Heteroskedastisitas
AR(1) Tidak sign Bebas 0.99684 -4.5355167 -4.393723
MA(1) Tidak sign Bebas 0.96202 -4.531054 -4.389610
ARIMA(1) Tidak sign Bebas 0.962309 -4.462095 -4.273503
ADNB (Aktiva Dalam Negeri Bersih)
a. Grafik

ADNB
8.85

8.80

8.75

8.70

8.65

8.60

8.55
2021Ags

2022Ags

2023Ags
2021Des

2022Des
2022Mar

2023Mar
2021Apr

2022Apr

2023Apr
2021Mei

2022Mei

2023Mei
2021Jul

2022Jul

2023Jul
2021Nov

2022Nov
2021Okt

2022Okt
2022Jan

2023Jan
2021Jun

2022Jun

2023Jun
2021Sep

2022Feb

2022Sep

2023Feb

2023Sep
b. Correlogram
Date: 11/08/23 Time: 16:47
Sample: 1 30
Included observations: 30
Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.879 0.879 25.564 0.000

2 0.765 -0.032 45.627 0.000
3 0.650 -0.068 60.654 0.000
4 0.543 -0.034 71.552 0.000
5 0.433 -0.082 78.762 0.000
6 0.331 -0.046 83.132 0.000
7 0.246 0.006 85.656 0.000
8 0.166 -0.047 86.857 0.000
9 0.129 0.121 87.616 0.000
10 0.043 -0.257 87.703 0.000
11 -0.037 -0.060 87.772 0.000
12 -0.096 0.026 88.264 0.000
 c. Uji root test
Null Hypothesis: ADNB has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic

Elliott-Rothenberg-Stock DF-GLS test statistic -0.471117

Test critical values: 1% level -2.647120
5% level -1.952910
10% level -1.610011

*MacKinnon (1996)

DF-GLS Test Equation on GLS Detrended Residuals

Dependent Variable: D(GLSRESID)
Method: Least Squares
Date: 11/08/23 Time: 16:48
Sample (adjusted): 2 30
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

GLSRESID(-1) -0.022609 0.047990 -0.471117 0.6412

R-squared -0.161735 Mean dependent var 0.007843

Adjusted R-squared -0.161735 S.D. dependent var 0.019305
S.E. of regression 0.020808 Akaike info criterion -4.873108
Sum squared resid 0.012123 Schwarz criterion -4.825960
Log likelihood 71.66007 Hannan-Quinn criter. -4.858342
Durbin-Watson stat 2.035427

Hasil output uji roost test dengan metode Dickey -Fuller GLS (DF GLS) menunjukan
data tidak stationer karena nilai probabilitas sebesar -0.471117 > 0.05. maka harus
dilakukan dengan metode lain yaitu Augmented Dickey-Fuller (ADF).
  Augmented Dickey-Fuller (ADF)
Null Hypothesis: ADNB has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.590858 0.4743

Test critical values: 1% level -3.679322
5% level -2.967767
10% level -2.622989

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(ADNB)
Method: Least Squares
Date: 11/08/23 Time: 16:50
Sample (adjusted): 2 30
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

ADNB(-1) -0.075724 0.047600 -1.590858 0.1233

C 0.666897 0.414291 1.609733 0.1191

R-squared 0.085701 Mean dependent var 0.007843

Adjusted R-squared 0.051838 S.D. dependent var 0.019305
S.E. of regression 0.018798 Akaike info criterion -5.043656
Sum squared resid 0.009541 Schwarz criterion -4.949359
Log likelihood 75.13301 Hannan-Quinn criter. -5.014123
F-statistic 2.530831 Durbin-Watson stat 2.452983
Prob(F-statistic) 0.123284

Hasil diatas menunjukan bahwa nilai probabilitas atau signifikan 0.4743 > 0.05, maka
disimpulkan data tidak stationer.
Table 1. uji stationer ADF pada tingkat level
Variable ADF statistik
t-statistik Critical values prob Keterengan
5%
M1 -7.067516 -2.971853 0.0000 Tidak stationer
M2 -6.247452 -2.971853 0.0000 Tidak stationer
UK -4.585100 -2.971853 0.0011 Tidak stationer
ADNB -6.354421 -2.971853 0.0000 Tidak stationer
  Augmented Dickey-Fuller (ADF) 1st Difference
Null Hypothesis: D(ADNB) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.354421 0.0000

Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(ADNB,2)
Method: Least Squares
Date: 11/08/23 Time: 16:51
Sample (adjusted): 3 30
Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(ADNB(-1)) -1.213159 0.190916 -6.354421 0.0000

C 0.009806 0.003971 2.469314 0.0204

R-squared 0.608308 Mean dependent var 0.000394

Adjusted R-squared 0.593243 S.D. dependent var 0.030571
S.E. of regression 0.019497 Akaike info criterion -4.968349
Sum squared resid 0.009884 Schwarz criterion -4.873192
Log likelihood 71.55689 Hannan-Quinn criter. -4.939259
F-statistic 40.37866 Durbin-Watson stat 1.955461
Prob(F-statistic) 0.000001

Hasil diatas menunjukan nilai probabilitas sebesar 0.0000 < 0.005 artimya data tersebut
stabil.
Table 2. uji stationer ADF pada tingkat 1st Difference
Variable ADF statistik
t-statistik Critical values prob Keterengan
5%
M1 -7.067516 -2.971853 0.0000 Tidak stationer
M2 -6.247452 -2.971853 0.0000 Tidak stationer
UK -4.585100 -2.971853 0.0011 Tidak stationer
ADNB -6.354421 -2.971853 0.0000 Tidak stationer
 Model AREMA
 Model AR
Dependent Variable: D(ADNB)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 16:54
Sample: 2 30
Included observations: 29
Convergence achieved after 7 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.007881 0.003418 2.305956 0.0293

AR(1) -0.207604 0.194807 -1.065688 0.2964
SIGMASQ 0.000343 8.69E-05 3.952519 0.0005

R-squared 0.045725 Mean dependent var 0.007843

Adjusted R-squared -0.027681 S.D. dependent var 0.019305
S.E. of regression 0.019570 Akaike info criterion -4.930376
Sum squared resid 0.009958 Schwarz criterion -4.788931
Log likelihood 74.49045 Hannan-Quinn criter. -4.886077
F-statistic 0.622901 Durbin-Watson stat 1.973596
Prob(F-statistic) 0.544200

Inverted AR Roots -.21

 White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 2.46E+24 Prob. F(9,19) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(9) 0.0006
Scaled explained SS 32.02788 Prob. Chi-Square(9) 0.0002

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 16:54
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000343 9.36E-15 3.67E+10 0.0000

GRADF_01^2 -8.77E-18 2.21E-18 -3.975687 0.0008
GRADF_01*GRADF_02 -5.72E-18 4.32E-18 -1.324795 0.2010
GRADF_01*GRADF_03 -1.39E-21 3.01E-21 -0.459592 0.6510
GRADF_01 2.37E-18 4.23E-18 0.561102 0.5813
GRADF_02^2 4.35E-17 9.84E-17 0.442002 0.6635
GRADF_02*GRADF_03 9.22E-21 3.40E-19 0.027128 0.9786
GRADF_02 -2.17E-16 2.53E-16 -0.857241 0.4020
GRADF_03^2 9.28E-24 3.03E-23 0.306066 0.7629
GRADF_03 2.36E-07 6.45E-18 3.65E+10 0.0000

R-squared 1.000000 Mean dependent var 0.000343

Adjusted R-squared 1.000000 S.D. dependent var 0.000579
S.E. of regression 6.51E-16 Sum squared resid 8.05E-30
F-statistic 2.46E+24 Durbin-Watson stat 1.460257
Prob(F-statistic) 0.000000

Hasil diatas menunjukan terjadi heteroskedastisitas nilai prob. Chil-square(9) 0.0006 <
0.05, maka perlu melakukan metode lainnya.
  Glesjer
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.459179 Prob. F(1,27) 0.5038

Obs*R-squared 0.484945 Prob. Chi-Square(1) 0.4862
Scaled explained SS 0.529567 Prob. Chi-Square(1) 0.4668

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 11/08/23 Time: 16:56
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.013176 0.002546 5.175481 0.0000

D(ADNB) 0.084041 0.124022 0.677628 0.5038

R-squared 0.016722 Mean dependent var 0.013835

Adjusted R-squared -0.019695 S.D. dependent var 0.012546
S.E. of regression 0.012669 Akaike info criterion -5.832807
Sum squared resid 0.004334 Schwarz criterion -5.738510
Log likelihood 86.57569 Hannan-Quinn criter. -5.803274
F-statistic 0.459179 Durbin-Watson stat 1.522983
Prob(F-statistic) 0.503774

Hasil output diatas tidak terjadi heteroskedastisitas karena nilai prob. Chil-square
0.4862 > 0.05. selanjutnya uji model MA.
b. model MA
Dependent Variable: D(ADNB)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 17:02
Sample: 2 30
Included observations: 29
Convergence achieved after 16 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.007885 0.003492 2.257648 0.0326

MA(1) -0.201772 0.183977 -1.096724 0.2828
SIGMASQ 0.000345 8.02E-05 4.296794 0.0002

R-squared 0.042267 Mean dependent var 0.007843

Adjusted R-squared -0.031405 S.D. dependent var 0.019305
S.E. of regression 0.019606 Akaike info criterion -4.926845
Sum squared resid 0.009994 Schwarz criterion -4.785401
Log likelihood 74.43925 Hannan-Quinn criter. -4.882546
F-statistic 0.573719 Durbin-Watson stat 2.008332
Prob(F-statistic) 0.570399

Inverted MA Roots .20

  White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 1.20E+24 Prob. F(9,19) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(9) 0.0006
Scaled explained SS 33.71667 Prob. Chi-Square(9) 0.0001

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 17:04
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000345 1.21E-14 2.84E+10 0.0000

GRADF_01^2 8.07E-18 2.66E-18 3.032862 0.0068
GRADF_01*GRADF_02 5.34E-19 6.96E-18 0.076793 0.9396
GRADF_01*GRADF_03 -4.12E-21 3.60E-21 -1.145126 0.2664
GRADF_01 -1.80E-18 5.66E-18 -0.318728 0.7534
GRADF_02^2 -1.13E-16 1.36E-16 -0.825602 0.4193
GRADF_02*GRADF_03 2.65E-19 2.76E-19 0.957978 0.3501
GRADF_02 -3.67E-16 4.10E-16 -0.896025 0.3815
GRADF_03^2 -2.69E-23 6.91E-23 -0.389674 0.7011
GRADF_03 2.38E-07 8.40E-18 2.83E+10 0.0000

R-squared 1.000000 Mean dependent var 0.000345

Adjusted R-squared 1.000000 S.D. dependent var 0.000597
S.E. of regression 9.59E-16 Sum squared resid 1.75E-29
F-statistic 1.20E+24 Durbin-Watson stat 2.410652
Prob(F-statistic) 0.000000

Hasil diatas menunjukan terjadi heteroskedastisitas nilai prob. Chil-square(9) 0.0006 <
0.05, maka perlu melakukan metode lainnya.

 Glesjer
Heteroskedasticity Test: Glejser
Null hypothesis: Homoskedasticity

F-statistic 0.479042 Prob. F(1,27) 0.4948

Obs*R-squared 0.505557 Prob. Chi-Square(1) 0.4771
Scaled explained SS 0.565545 Prob. Chi-Square(1) 0.4520

Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 11/08/23 Time: 17:05
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.013042 0.002580 5.054489 0.0000

D(ADNB) 0.087006 0.125708 0.692129 0.4948

R-squared 0.017433 Mean dependent var 0.013725

Adjusted R-squared -0.018958 S.D. dependent var 0.012721
S.E. of regression 0.012841 Akaike info criterion -5.805807
Sum squared resid 0.004452 Schwarz criterion -5.711511
Log likelihood 86.18420 Hannan-Quinn criter. -5.776275
F-statistic 0.479042 Durbin-Watson stat 1.545361
Prob(F-statistic) 0.494766

Hasil output diatas tidak terjadi heteroskedastisitas karena nilai prob. Chil-square
0.4771 > 0.05. selanjutnya uji model ARIMA.
 d. model ARIMA
Dependent Variable: D(ADNB)
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 11/08/23 Time: 17:09
Sample: 2 30
Included observations: 29
Convergence achieved after 19 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.007924 0.003185 2.488059 0.0199

AR(1) 0.404078 1.147604 0.352106 0.7277
MA(1) -0.598615 1.008278 -0.593700 0.5580
SIGMASQ 0.000343 7.87E-05 4.361334 0.0002

R-squared 0.046514 Mean dependent var 0.007843

Adjusted R-squared -0.067904 S.D. dependent var 0.019305
S.E. of regression 0.019950 Akaike info criterion -4.861408
Sum squared resid 0.009950 Schwarz criterion -4.672816
Log likelihood 74.49042 Hannan-Quinn criter. -4.802344
F-statistic 0.406527 Durbin-Watson stat 2.062937
Prob(F-statistic) 0.749625

Inverted AR Roots .40

Inverted MA Roots .60

 White
Heteroskedasticity Test: White
Null hypothesis: Homoskedasticity

F-statistic 4.27E+23 Prob. F(14,14) 0.0000

Obs*R-squared 29.00000 Prob. Chi-Square(14) 0.0105
Scaled explained SS 33.80078 Prob. Chi-Square(14) 0.0022

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/08/23 Time: 17:11
Sample: 2 30
Included observations: 29

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000343 9.21E-15 3.72E+10 0.0000

GRADF_01^2 2.12E-18 1.48E-18 1.427123 0.1755
GRADF_01*GRADF_02 -3.11E-18 3.85E-17 -0.080869 0.9367
GRADF_01*GRADF_03 2.49E-17 3.69E-17 0.674279 0.5111
GRADF_01*GRADF_04 -2.49E-21 8.56E-21 -0.290665 0.7756
GRADF_01 -7.48E-18 1.03E-17 -0.725640 0.4800
GRADF_02^2 -1.03E-14 8.35E-15 -1.239517 0.2355
GRADF_02*GRADF_03 2.03E-14 1.68E-14 1.205793 0.2479
GRADF_02*GRADF_04 6.54E-18 5.03E-18 1.301301 0.2142
GRADF_02 2.67E-15 4.23E-15 0.631744 0.5377
GRADF_03^2 -1.01E-14 8.73E-15 -1.156531 0.2668
GRADF_03*GRADF_04 -5.10E-18 4.07E-18 -1.254434 0.2302
GRADF_03 -1.95E-15 3.36E-15 -0.581865 0.5699
GRADF_04^2 -1.10E-22 1.08E-22 -1.019866 0.3251
GRADF_04 2.35E-07 6.39E-18 3.69E+10 0.0000

R-squared 1.000000 Mean dependent var 0.000343

Adjusted R-squared 1.000000 S.D. dependent var 0.000618
S.E. of regression 1.34E-15 Sum squared resid 2.51E-29
F-statistic 4.27E+23 Durbin-Watson stat 2.076027
Prob(F-statistic) 0.000000

Hasil diatas tidak terjadi gejala heteroskedastisitas karena nilai prob. Chil-square
0.0105 > 0.05.
Table 3. perbandingan model yang dipilih
MODEL Sign. Asumsi R-square AIC SC;
Model Heteroskedastisitas
AR(1) Tidak sign Bebas 0.99684 -4.5355167 -4.393723
MA(1) Tidak sign Bebas 0.96202 -4.531054 -4.389610
ARIMA(1) Tidak sign Bebas 0.962309 -4.462095 -4.273503

Kesimpulan
Nilai M1,M2,UK,dan ADNB. Memiliki nilai ada yang signifikan dan juga tidak ada
signifikan. Ada yang terjadi heteroskedastisitas dan juga tidak ada yang terjadi
heteroskedastisitas.