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PR Ekonometrika

adf test

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0% found this document useful (0 votes)
18 views8 pages

PR Ekonometrika

adf test

Uploaded by

Ahmad Yani saja
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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1.

Data World Bank Pertumbuhan ekonomi Indonesia, Inflasi, dan Ekspor dari tahun 1982
s/d 2022

Tahun Pertumbuhan Inflasi (In) Ekspor (Eks) US$


Ekonomi (Y)
1982 2,25 9,44 20176590280
1983 4,4 11,8 22488286931
1984 6,84 10,45 23177770013
1985 2,46 4,72 20279853770
1986 5,77 5,82 16387068857
1987 5 9,28 18661070321
1988 5,63 8,04 21110162564
1989 7,79 6,41 24640067877
1990 7,22 7,81 28982531183
1991 6,78 9,41 33063806609
1992 6,5 7,52 38801726176
1993 6,5 9,67 42274397859
1994 7,54 8,53 46896633114
1995 8,22 9,42 53185312942
1996 7,82 7,97 58717201042
1997 4,7 6,23 60106038404
1998 -13,13 58,45 50555726235
1999 0,79 20,48 49720260590
2000 4,92 3,69 67621169166
2001 3,64 11,5 62625875834
2002 4,5 11,9 63956798805
2003 4,79 6,76 71553141045
2004 5,03 6,06 82744351781
2005 5,69 10,45 97387627566
2006 5,5 13,11 113143425288
2007 6,34 6,41 127226102177
2008 6,01 10,23 152090401422
2009 4,63 4,39 130357798591
2010 6,22 5,13 183480562961
2011 6,17 5,36 235095129136
2012 6,03 4,28 225744403268
2013 5,56 6,41 218308408831
2014 5,01 6,39 210820082828
2015 4,88 6,36 182158298805
2016 5,03 3,52 177886012744
2017 5,07 3,81 204924485910
2018 5,17 3,2 218905647885
2019 5,019 3,03 208057763662
2020 -2,06 1,92 183546577016
2021 3,7 1,56 254008548673
2022 5,31 4,21 323079953660
2. Hasil Uji Stationer

Tabel Uji Unit Root Test dengan Augmented Dickey Fuller (ADF)
Variabel Unit Root ADF Test Critical Prob ADF Keterangan
Statistic value 5%
Pertumbuhan level -4,719422 -2,936942 0,0004 Stationer
Ekonomi First Diff -6,675820 -2,941145 0,0000 Stationer
Inflasi Level -4.910955 -2,936942 0,0003 Stationer
First Diff -7,774165 -2,941145 0.0000 Stationer
Ekspor Level 0,907251 -2,941145 0,9946 Tidak Stationer
Firs Diff -4,633081 -2,941145 0,0006 Stationer
Null Hypothesis: Y has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.719422 0.0004


Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
3. Lampiran
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(Y)
Method: Least Squares
Date: 05/03/24 Time: 14:28
Sample (adjusted): 1983 2022
Included observations: 40 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

Y(-1) -0.732451 0.155199 -4.719422 0.0000


C 3.554341 0.908727 3.911340 0.0004

R-squared 0.369535 Mean dependent var 0.076500


Adjusted R-squared 0.352944 S.D. dependent var 4.180679
S.E. of regression 3.362931 Akaike info criterion 5.312209
Sum squared resid 429.7535 Schwarz criterion 5.396653
Log likelihood -104.2442 Hannan-Quinn criter. 5.342742
F-statistic 22.27295 Durbin-Watson stat 1.930876
Prob(F-statistic) 0.000032
Null Hypothesis: D(Y) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.675820 0.0000


Test critical values: 1% level -3.615588
5% level -2.941145
10% level -2.609066

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(Y,2)
Method: Least Squares
Date: 05/03/24 Time: 14:32
Sample (adjusted): 1985 2022
Included observations: 38 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(Y(-1)) -1.741807 0.260913 -6.675820 0.0000


D(Y(-1),2) 0.342722 0.163057 2.101851 0.0428
C -0.086487 0.639638 -0.135212 0.8932

R-squared 0.688432 Mean dependent var -0.021842


Adjusted R-squared 0.670628 S.D. dependent var 6.867179
S.E. of regression 3.941140 Akaike info criterion 5.656474
Sum squared resid 543.6404 Schwarz criterion 5.785757
Log likelihood -104.4730 Hannan-Quinn criter. 5.702472
F-statistic 38.66746 Durbin-Watson stat 2.070652
Prob(F-statistic) 0.000000
Null Hypothesis: IN has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.910955 0.0003


Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(IN)
Method: Least Squares
Date: 05/03/24 Time: 14:35
Sample (adjusted): 1983 2022
Included observations: 40 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

IN(-1) -0.779567 0.158740 -4.910955 0.0000


C 6.630431 1.952085 3.396590 0.0016

R-squared 0.388256 Mean dependent var -0.130750


Adjusted R-squared 0.372157 S.D. dependent var 11.04611
S.E. of regression 8.752556 Akaike info criterion 7.225275
Sum squared resid 2911.075 Schwarz criterion 7.309719
Log likelihood -142.5055 Hannan-Quinn criter. 7.255808
F-statistic 24.11748 Durbin-Watson stat 1.960265
Prob(F-statistic) 0.000018
Null Hypothesis: D(IN) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.774165 0.0000


Test critical values: 1% level -3.615588
5% level -2.941145
10% level -2.609066

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(IN,2)
Method: Least Squares
Date: 05/03/24 Time: 14:42
Sample (adjusted): 1985 2022
Included observations: 38 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(IN(-1)) -1.936739 0.249125 -7.774165 0.0000


D(IN(-1),2) 0.439992 0.151835 2.897832 0.0064
C -0.385143 1.594471 -0.241549 0.8105

R-squared 0.735496 Mean dependent var 0.105263


Adjusted R-squared 0.720381 S.D. dependent var 18.57515
S.E. of regression 9.822350 Akaike info criterion 7.482855
Sum squared resid 3376.750 Schwarz criterion 7.612138
Log likelihood -139.1742 Hannan-Quinn criter. 7.528853
F-statistic 48.66150 Durbin-Watson stat 2.186123
Prob(F-statistic) 0.000000
Null Hypothesis: EKS has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 0.907251 0.9946


Test critical values: 1% level -3.615588
5% level -2.941145
10% level -2.609066

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(EKS)
Method: Least Squares
Date: 05/03/24 Time: 14:44
Sample (adjusted): 1985 2022
Included observations: 38 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

EKS(-1) 0.041114 0.045317 0.907251 0.3707


D(EKS(-1)) 0.217617 0.177683 1.224752 0.2291
D(EKS(-2)) -0.523855 0.205476 -2.549471 0.0155
C 4.43E+09 5.71E+09 0.775600 0.4433

R-squared 0.215139 Mean dependent var 7.89E+09


Adjusted R-squared 0.145886 S.D. dependent var 2.21E+10
S.E. of regression 2.05E+10 Akaike info criterion 50.42060
Sum squared resid 1.42E+22 Schwarz criterion 50.59298
Log likelihood -953.9914 Hannan-Quinn criter. 50.48193
F-statistic 3.106586 Durbin-Watson stat 1.871014
Prob(F-statistic) 0.039241
Null Hypothesis: D(EKS) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=3)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.633081 0.0006


Test critical values: 1% level -3.615588
5% level -2.941145
10% level -2.609066

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(EKS,2)
Method: Least Squares
Date: 05/03/24 Time: 14:46
Sample (adjusted): 1985 2022
Included observations: 38 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(EKS(-1)) -1.239622 0.267559 -4.633081 0.0000


D(EKS(-1),2) 0.501038 0.203415 2.463134 0.0188
C 8.45E+09 3.58E+09 2.359712 0.0240

R-squared 0.411572 Mean dependent var 1.80E+09


Adjusted R-squared 0.377947 S.D. dependent var 2.59E+10
S.E. of regression 2.04E+10 Akaike info criterion 50.39189
Sum squared resid 1.46E+22 Schwarz criterion 50.52117
Log likelihood -954.4459 Hannan-Quinn criter. 50.43789
F-statistic 12.24024 Durbin-Watson stat 1.839101
Prob(F-statistic) 0.000093

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