Lampiran error correction model
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Lampiran error correction model Document Transcript

  • 1. Lampiran C Error Correction Model 1. Kemampuan Mengontrol Besaran (aggregate) Moneter Konvensional Dependent Variable: D(GM1) Method: Least Squares Date: 09/19/03 Time: 20:54 Sample(adjusted): 1997:2 2003:1 Included observations: 24 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GMB) 0.599533 0.045820 13.08446 0.0000 U_GM1_LAG -1.205080 0.215142 -5.601317 0.0000 C 0.159117 0.883993 0.179998 0.8589 R-squared 0.895708 Mean dependent var -0.200177 Adjusted R-squared 0.885776 S.D. dependent var 12.80777 S.E. of regression 4.328653 Akaike info criterion 5.884858 Sum squared resid 393.4819 Schwarz criterion 6.032115 Log likelihood -67.61830 F-statistic 90.17913 Durbin-Watson stat 2.077024 Prob(F-statistic) 0.000000 Dependent Variable: D(GM2) Method: Least Squares Date: 09/19/03 Time: 20:56 Sample(adjusted): 1997:2 2003:1 Included observations: 24 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GMB) 0.211704 0.061936 3.418098 0.0026 U_GM2_LAG -0.900833 0.206101 -4.370827 0.0003 C 0.012093 1.206014 0.010027 0.9921 R-squared 0.561653 Mean dependent var -0.116909 Adjusted R-squared 0.519906 S.D. dependent var 8.523818 S.E. of regression 5.906053 Akaike info criterion 6.506301 Sum squared resid 732.5106 Schwarz criterion 6.653558 Log likelihood -75.07561 F-statistic 13.45364 Durbin-Watson stat 1.889035 Prob(F-statistic) 0.000173 Islamic Dependent Variable: D(GM1ISL) Method: Least Squares Date: 09/19/03 Time: 20:12 Sample(adjusted): 1997:2 2003:1 Included observations: 24 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GMBISL) 0.997102 0.008353 119.3734 0.0000 U_GM1ISL_LAG -1.049184 0.223656 -4.691067 0.0001 C -0.009333 0.154560 -0.060382 0.9524 R-squared 0.998573 Mean dependent var -0.578532 Adjusted R-squared 0.998437 S.D. dependent var 19.12956 S.E. of regression 0.756347 Akaike info criterion 2.395836 Sum squared resid 12.01328 Schwarz criterion 2.543092 Log likelihood -25.75003 F-statistic 7345.906 Durbin-Watson stat 1.959303 Prob(F-statistic) 0.000000
  • 2. Dependent Variable: D(GM2ISL) Method: Least Squares Date: 09/19/03 Time: 20:16 Sample(adjusted): 1997:2 2003:1 Included observations: 24 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GMBISL) 0.841264 0.053949 15.59362 0.0000 U_GM2ISL_LAG -0.871312 0.221046 -3.941760 0.0007 C -0.046023 0.987050 -0.046627 0.9633 R-squared 0.920731 Mean dependent var -0.546897 Adjusted R-squared 0.913182 S.D. dependent var 16.40170 S.E. of regression 4.832756 Akaike info criterion 6.105180 Sum squared resid 490.4662 Schwarz criterion 6.252436 Log likelihood -70.26215 F-statistic 121.9604 Durbin-Watson stat 1.965158 Prob(F-statistic) 0.000000 2. Keterkaitan antara besaran (aggregate) moneter dan tujuan utama darikebijakan moneter. Konvensional Dependent Variable: D(GCPI) Method: Least Squares Date: 09/19/03 Time: 19:57 Sample(adjusted): 1998:1 2003:1 Included observations: 21 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GM1) 0.430070 0.104565 4.112948 0.0009 D(GM1_1) 0.508331 0.108789 4.672616 0.0003 D(GM1_2) 0.295159 0.111365 2.650378 0.0182 D(GM1_3) 0.293295 0.096873 3.027631 0.0085 U_GM1_LAG -1.123675 0.254740 -4.411072 0.0005 C 0.020936 0.931389 0.022478 0.9824 R-squared 0.754795 Mean dependent var -0.154015 Adjusted R-squared 0.673060 S.D. dependent var 7.424196 S.E. of regression 4.245058 Akaike info criterion 5.964344 Sum squared resid 270.3077 Schwarz criterion 6.262779 Log likelihood -56.62561 F-statistic 9.234652 Durbin-Watson stat 1.702061 Prob(F-statistic) 0.000356 Dependent Variable: D(GCPI) Method: Least Squares Date: 09/19/03 Time: 20:00 Sample(adjusted): 1998:1 2003:1 Included observations: 21 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GM2) 0.559431 0.114622 4.880666 0.0002 D(GM2_1) 0.529015 0.115784 4.569000 0.0004 D(GM2_2) 0.258542 0.115959 2.229590 0.0415 D(GM2_3) 0.078573 0.104642 0.750876 0.4643 U_GM2_LAG -1.597262 0.229435 -6.961715 0.0000 C 0.188910 0.826052 0.228690 0.8222 R-squared 0.806403 Mean dependent var -0.154015 Adjusted R-squared 0.741871 S.D. dependent var 7.424196 S.E. of regression 3.771968 Akaike info criterion 5.728027 Sum squared resid 213.4162 Schwarz criterion 6.026462 Log likelihood -54.14429 F-statistic 12.49611 Durbin-Watson stat 1.429306 Prob(F-statistic) 0.000066 Islamic Dependent Variable: D(GCPI) Method: Least Squares
  • 3. Date: 09/19/03 Time: 20:04 Sample(adjusted): 1998:1 2003:1 Included observations: 21 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GM1ISL) 0.330890 0.074989 4.412524 0.0005 D(GM1ISL_1) 0.351575 0.084261 4.172469 0.0008 D(GM1ISL_2) 0.240512 0.083486 2.880873 0.0114 D(GM1ISL_3) 0.150606 0.074642 2.017718 0.0619 U_GM1ISL_LAG -1.160198 0.255736 -4.536705 0.0004 C 0.052662 0.976132 0.053949 0.9577 R-squared 0.729756 Mean dependent var -0.154015 Adjusted R-squared 0.639674 S.D. dependent var 7.424196 S.E. of regression 4.456532 Akaike info criterion 6.061575 Sum squared resid 297.9102 Schwarz criterion 6.360010 Log likelihood -57.64654 F-statistic 8.101068 Durbin-Watson stat 1.443524 Prob(F-statistic) 0.000708 Dependent Variable: D(GCPI) Method: Least Squares Date: 09/19/03 Time: 20:06 Sample(adjusted): 1998:1 2003:1 Included observations: 21 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GM2ISL) 0.300351 0.084120 3.570502 0.0028 D(GM2ISL_1) 0.310537 0.092395 3.360991 0.0043 D(GM2ISL_2) 0.206571 0.091694 2.252821 0.0397 D(GM2ISL_3) 0.105552 0.084026 1.256187 0.2283 U_GM2ISL_LAG -0.994111 0.256342 -3.878061 0.0015 C 0.110079 1.078960 0.102024 0.9201 R-squared 0.669844 Mean dependent var -0.154015 Adjusted R-squared 0.559791 S.D. dependent var 7.424196 S.E. of regression 4.925822 Akaike info criterion 6.261816 Sum squared resid 363.9558 Schwarz criterion 6.560251 Log likelihood -59.74906 F-statistic 6.086601 Durbin-Watson stat 1.609875 Prob(F-statistic) 0.002854 3. Instrumen Kredit Konvensional Dependent Variable: D(GCREDIT) Method: Least Squares Date: 09/20/03 Time: 07:41 Sample(adjusted): 1997:2 2003:1 Included observations: 24 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GLIQUID) 0.166219 0.144727 1.148502 0.2637 U_GCREDIT_LAG -0.628630 0.204926 -3.067597 0.0058 C -0.073983 2.645949 -0.027961 0.9780 R-squared 0.320595 Mean dependent var -0.068973 Adjusted R-squared 0.255890 S.D. dependent var 15.01829 S.E. of regression 12.95505 Akaike info criterion 8.077318 Sum squared resid 3524.502 Schwarz criterion 8.224574 Log likelihood -93.92781 F-statistic 4.954697 Durbin-Watson stat 1.999047 Prob(F-statistic) 0.017272 Islamic Dependent Variable: D(GCREDITISL) Method: Least Squares
  • 4. Date: 09/19/03 Time: 20:59 Sample(adjusted): 1997:2 2003:1 Included observations: 24 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. D(GLIQUIDISL) 0.052169 0.033103 1.575971 0.1300 U_GCREDITISL_LAG -0.854966 0.215035 -3.975939 0.0007 C 0.454579 4.336170 0.104834 0.9175 R-squared 0.450107 Mean dependent var 0.475663 Adjusted R-squared 0.397736 S.D. dependent var 27.37274 S.E. of regression 21.24279 Akaike info criterion 9.066381 Sum squared resid 9476.380 Schwarz criterion 9.213638 Log likelihood -105.7966 F-statistic 8.594622 Durbin-Watson stat 1.836703 Prob(F-statistic) 0.001875