1. Lampiran B
Uji Kointegrasi :
1. Kemampuan Mengontrol Besaran (aggregate) Moneter
Konvensional
ADF Test Statistic
-5.914531
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6649
-1.9559
-1.6231
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM1)
Method: Least Squares
Date: 10/24/03 Time: 14:22
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM1(-1)
-1.193570
0.201803 -5.914531
R-squared
0.603225 Mean dependent var
Adjusted R-squared
0.603225 S.D. dependent var
S.E. of regression
4.145590 Akaike info criterion
Sum squared resid
395.2761 Schwarz criterion
Log likelihood
-67.67289 Durbin-Watson stat
ADF Test Statistic
-4.586980
1% Critical Value*
5% Critical Value
10% Critical Value
Prob.
0.0000
0.101177
6.581339
5.722741
5.771827
2.058889
-2.6649
-1.9559
-1.6231
*MacKinnon critical values
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM2)
Method: Least Squares
Date: 10/24/03 Time: 14:24
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM2(-1)
-0.954047
0.207990 -4.586980
R-squared
0.477735 Mean dependent var
Adjusted R-squared
0.477735 S.D. dependent var
S.E. of regression
6.028590 Akaike info criterion
Sum squared resid
835.9096 Schwarz criterion
Log likelihood
-76.66012 Durbin-Watson stat
Prob.
0.0001
0.046279
8.342004
6.471677
6.520763
1.993555

2. Islamic
ADF Test Statistic
-4.977219
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6649
-1.9559
-1.6231
*MacKinnon critical values
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM1ISL)
Method: Least Squares
Date: 10/24/03 Time: 14:25
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM1ISL(-1)
-1.053546
0.211674 -4.977219
R-squared
0.517825 Mean dependent var
Adjusted R-squared
0.517825 S.D. dependent var
S.E. of regression
0.723054 Akaike info criterion
Sum squared resid
12.02456 Schwarz criterion
Log likelihood
-25.76130 Durbin-Watson stat
ADF Test Statistic
-4.240461
1% Critical Value*
5% Critical Value
10% Critical Value
Prob.
0.0000
-0.039651
1.041282
2.230108
2.279194
1.962687
-2.6649
-1.9559
-1.6231
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM2ISL)
Method: Least Squares
Date: 10/24/03 Time: 14:25
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM2ISL(-1)
-0.878444
0.207158 -4.240461
R-squared
0.438655 Mean dependent var
Adjusted R-squared
0.438655 S.D. dependent var
S.E. of regression
4.620883 Akaike info criterion
Sum squared resid
491.1089 Schwarz criterion
Log likelihood
-70.27787 Durbin-Watson stat
Prob.
0.0003
-0.087073
6.167510
5.939823
5.988908
1.972285

3. 2. Keterkaitan antara besaran (aggregate) moneter dan tujuan utama
darikebijakan moneter.
Konvensional
ADF Test Statistic
-5.059436
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6819
-1.9583
-1.6242
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM1)
Method: Least Squares
Date: 10/24/03 Time: 14:27
Sample(adjusted): 1998:1 2003:1
Included observations: 21 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM1(-1)
-1.123641
0.222088 -5.059436
R-squared
0.561290 Mean dependent var
Adjusted R-squared
0.561290 S.D. dependent var
S.E. of regression
3.701796 Akaike info criterion
Sum squared resid
274.0658 Schwarz criterion
Log likelihood
-56.77059 Durbin-Watson stat
ADF Test Statistic
Prob.
0.0001
0.079638
5.588864
5.501961
5.551700
1.677333
-7.751888
1% Critical Value*
-2.6819
5% Critical Value
-1.9583
10% Critical Value
-1.6242
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM2)
Method: Least Squares
Date: 10/24/03 Time: 14:28
Sample(adjusted): 1998:1 2003:1
Included observations: 21 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM2(-1)
-1.492747
0.192566 -7.751888
R-squared
0.750221 Mean dependent var
Adjusted R-squared
0.750221 S.D. dependent var
S.E. of regression
3.442664 Akaike info criterion
Sum squared resid
237.0387 Schwarz criterion
Log likelihood
-55.24657 Durbin-Watson stat
Prob.
0.0000
0.109123
6.888368
5.356816
5.406555
1.181220

4. Islamic
ADF Test Statistic
-5.249041
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6819
-1.9583
-1.6242
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM1ISL)
Method: Least Squares
Date: 10/24/03 Time: 14:29
Sample(adjusted): 1998:1 2003:1
Included observations: 21 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM1ISL(-1)
-1.160362
0.221062 -5.249041
R-squared
0.579153 Mean dependent var
Adjusted R-squared
0.579153 S.D. dependent var
S.E. of regression
3.865053 Akaike info criterion
Sum squared resid
298.7727 Schwarz criterion
Log likelihood
-57.67690 Durbin-Watson stat
ADF Test Statistic
-4.471417
1% Critical Value*
5% Critical Value
10% Critical Value
Prob.
0.0000
0.144178
5.957901
5.588276
5.638015
1.441724
-2.6819
-1.9583
-1.6242
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM2ISL)
Method: Least Squares
Date: 10/24/03 Time: 14:29
Sample(adjusted): 1998:1 2003:1
Included observations: 21 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM2ISL(-1)
-0.993632
0.222219 -4.471417
R-squared
0.499817 Mean dependent var
Adjusted R-squared
0.499817 S.D. dependent var
S.E. of regression
4.271325 Akaike info criterion
Sum squared resid
364.8844 Schwarz criterion
Log likelihood
-59.77582 Durbin-Watson stat
Prob.
0.0002
0.084523
6.039460
5.788173
5.837913
1.607418

5. 3. Instrumen Kredit
Konvensional
ADF Test Statistic
-2.374158
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6649
-1.9559
-1.6231
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U)
Method: Least Squares
Date: 10/24/03 Time: 14:30
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U(-1)
-0.396502
0.167007 -2.374158
R-squared
0.196819 Mean dependent var
Adjusted R-squared
0.196819 S.D. dependent var
S.E. of regression
8.099615 Akaike info criterion
Sum squared resid
1508.887 Schwarz criterion
Log likelihood
-83.74741 Durbin-Watson stat
Prob.
0.0263
0.036139
9.037696
7.062284
7.111369
1.962843
Islamic
ADF Test Statistic
-4.536454
1% Critical Value*
-2.6649
5% Critical Value
-1.9559
10% Critical Value
-1.6231
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U)
Method: Least Squares
Date: 10/24/03 Time: 14:31
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U(-1)
-0.942442
0.207749 -4.536454
R-squared
0.472211 Mean dependent var
Adjusted R-squared
0.472211 S.D. dependent var
S.E. of regression
15.49646 Akaike info criterion
Sum squared resid
5523.228 Schwarz criterion
Log likelihood
-99.31849 Durbin-Watson stat
Prob.
0.0001
0.117077
21.33057
8.359874
8.408960
1.915607

6. 3. Instrumen Kredit
Konvensional
ADF Test Statistic
-2.374158
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6649
-1.9559
-1.6231
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U)
Method: Least Squares
Date: 10/24/03 Time: 14:30
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U(-1)
-0.396502
0.167007 -2.374158
R-squared
0.196819 Mean dependent var
Adjusted R-squared
0.196819 S.D. dependent var
S.E. of regression
8.099615 Akaike info criterion
Sum squared resid
1508.887 Schwarz criterion
Log likelihood
-83.74741 Durbin-Watson stat
Prob.
0.0263
0.036139
9.037696
7.062284
7.111369
1.962843
Islamic
ADF Test Statistic
-4.536454
1% Critical Value*
-2.6649
5% Critical Value
-1.9559
10% Critical Value
-1.6231
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U)
Method: Least Squares
Date: 10/24/03 Time: 14:31
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U(-1)
-0.942442
0.207749 -4.536454
R-squared
0.472211 Mean dependent var
Adjusted R-squared
0.472211 S.D. dependent var
S.E. of regression
15.49646 Akaike info criterion
Sum squared resid
5523.228 Schwarz criterion
Log likelihood
-99.31849 Durbin-Watson stat
Prob.
0.0001
0.117077
21.33057
8.359874
8.408960
1.915607