UJI STASIONER

Group unit root test: Summary

Series: NAB, IHSG, INFLASI, KURS, BI7RR
Date: 07/25/23 Time: 08:05
Sample: 2017M01 2021M12
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0
Newey-West automatic bandwidth selection and Bartlett kernel
Balanced observations for each test

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* -14.1335 0.0000 5 290

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat -13.3194 0.0000 5 290
ADF - Fisher Chi-square 148.342 0.0000 5 290
PP - Fisher Chi-square 145.709 0.0000 5 290

** Probabilities for Fisher tests are computed using an asymptotic Chi

-square distribution. All other tests assume asymptotic normality.

UJI REGRESI (VAR)

Vector Autoregression Estimates
Date: 07/25/23 Time: 08:13
Sample (adjusted): 2017M04 2021M12
Included observations: 57 after adjustments
Standard errors in ( ) & t-statistics in [ ]

D(LOG(NAB)) D(LOG(IHSG)) D(INFLASI) D(LOG(KU... D(BI7RR)

D(LOG(NAB(-1))) 0.088380 0.048744 0.392891 -0.046415 0.749275

(0.21378) (0.20240) (1.18297) (0.12714) (0.59610)
[ 0.41341] [ 0.24083] [ 0.33212] [-0.36508] [ 1.25695]

D(LOG(NAB(-2))) 0.240224 0.221724 -0.930100 -0.071453 0.766373

(0.20937) (0.19822) (1.15855) (0.12451) (0.58380)
[ 1.14737] [ 1.11857] [-0.80282] [-0.57386] [ 1.31274]

D(LOG(IHSG(-1))) 0.182636 0.102038 -0.771469 -0.091891 0.733471

(0.26527) (0.25115) (1.46789) (0.15776) (0.73967)
[ 0.68849] [ 0.40628] [-0.52556] [-0.58248] [ 0.99161]

D(LOG(IHSG(-2))) 0.163794 -0.086126 2.913950 0.079799 -1.163081

(0.26302) (0.24902) (1.45544) (0.15642) (0.73340)
[ 0.62274] [-0.34586] [ 2.00211] [ 0.51015] [-1.58587]

D(INFLASI(-1)) -0.020600 -0.007531 -0.074879 0.005522 0.073271

(0.02570) (0.02433) (0.14222) (0.01529) (0.07167)
[-0.80149] [-0.30948] [-0.52649] [ 0.36129] [ 1.02239]

D(INFLASI(-2)) 0.003355 0.026141 0.028873 -0.005958 0.032858

(0.02522) (0.02388) (0.13958) (0.01500) (0.07034)
[ 0.13300] [ 1.09459] [ 0.20685] [-0.39714] [ 0.46716]

D(LOG(KURS(-1))) 0.149348 0.022301 0.211316 -0.293423 2.585521

(0.33877) (0.32073) (1.87459) (0.20147) (0.94461)
[ 0.44086] [ 0.06953] [ 0.11273] [-1.45641] [ 2.73713]

D(LOG(KURS(-2))) 0.509230 0.115549 2.592158 -0.188330 0.649550

(0.34948) (0.33087) (1.93386) (0.20784) (0.97448)
[ 1.45710] [ 0.34922] [ 1.34040] [-0.90613] [ 0.66656]

D(BI7RR(-1)) 0.022406 -0.018466 -0.120086 -0.005888 0.503750

(0.05062) (0.04793) (0.28013) (0.03011) (0.14116)
[ 0.44260] [-0.38529] [-0.42868] [-0.19557] [ 3.56868]

D(BI7RR(-2)) -0.013072 0.040186 0.496284 0.018363 -0.071275

(0.04956) (0.04692) (0.27426) (0.02948) (0.13820)
[-0.26375] [ 0.85641] [ 1.80957] [ 0.62301] [-0.51574]

C -0.000792 0.003570 -0.035616 0.002188 -0.012321

(0.00680) (0.00644) (0.03761) (0.00404) (0.01895)
[-0.11651] [ 0.55475] [-0.94689] [ 0.54129] [-0.65008]

R-squared 0.164719 0.086709 0.146667 0.094872 0.407191

Adj. R-squared -0.016863 -0.111832 -0.038840 -0.101895 0.278320
Sum sq. resids 0.107513 0.096370 3.292060 0.038025 0.835912
S.E. equation 0.048345 0.045771 0.267519 0.028751 0.134804
F-statistic 0.907131 0.436732 0.790628 0.482153 3.159669
Log likelihood 97.90645 101.0249 0.389334 127.5283 39.45556
Akaike AIC -3.049349 -3.158767 0.372304 -4.088714 -0.998441
Schwarz SC -2.655076 -2.764494 0.766577 -3.694441 -0.604168
Mean dependent 0.001944 0.002933 -0.030526 0.001206 -0.021930
S.D. dependent 0.047943 0.043408 0.262471 0.027390 0.158683

Determinant resid covariance (dof adj.) 8.99E-13

Determinant resid covariance 3.08E-13
Log likelihood 416.6778
Akaike information criterion -12.69045
Schwarz criterion -10.71909
Number of coefficients 55

UJI PANJANG LAG

VAR Lag Order Selection Criteria
Endogenous variables: D(LOG(NAB)) D(LOG(IHSG)) D(INFLASI) D(LOG(KURS)) ...
Exogenous variables: C
Date: 07/25/23 Time: 08:20
Sample: 2017M01 2021M12
Included observations: 55

Lag LogL LR FPE AIC SC HQ

0 365.9435 NA 1.37e-12* -13.12522* -12.94273* -13.05465*

1 383.6531 31.55516 1.80e-12 -12.86011 -11.76520 -12.43670
2 402.6043 30.32198 2.29e-12 -12.64016 -10.63282 -11.86390
3 430.6782 39.81392* 2.17e-12 -12.75194 -9.832178 -11.62284
4 441.1375 12.93153 4.15e-12 -12.22318 -8.391002 -10.74125

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

Pada Lag criteria menggunakan Lag 3

Vector Autoregression Estimates
Date: 07/25/23 Time: 08:48
Sample (adjusted): 2017M05 2021M12
Included observations: 56 after adjustments
Standard errors in ( ) & t-statistics in [ ]

D(LOG(NAB)) D(LOG(IHSG)) D(INFLASI) D(LOG(KU... D(BI7RR)

D(LOG(NAB(-1))) 0.114182 0.089326 -0.350771 -0.078313 0.821086

(0.23284) (0.22396) (1.27716) (0.12867) (0.61226)
[ 0.49039] [ 0.39885] [-0.27465] [-0.60864] [ 1.34106]

D(LOG(NAB(-2))) 0.332199 0.329098 -0.959649 -0.182478 0.659225

(0.21685) (0.20858) (1.18948) (0.11984) (0.57023)
[ 1.53190] [ 1.57777] [-0.80678] [-1.52273] [ 1.15607]

D(LOG(NAB(-3))) 0.074905 -0.076801 -0.059465 0.240618 1.554666

(0.22175) (0.21329) (1.21632) (0.12254) (0.58310)
[ 0.33779] [-0.36008] [-0.04889] [ 1.96359] [ 2.66623]

D(LOG(IHSG(-1))) 0.306138 0.238625 -0.078469 -0.209264 0.354266

(0.29793) (0.28657) (1.63419) (0.16464) (0.78342)
[ 1.02755] [ 0.83270] [-0.04802] [-1.27105] [ 0.45220]

D(LOG(IHSG(-2))) 0.287541 -0.021688 2.757483 0.042108 -0.930546

(0.26851) (0.25827) (1.47283) (0.14838) (0.70607)
[ 1.07087] [-0.08397] [ 1.87224] [ 0.28378] [-1.31793]

D(LOG(IHSG(-3))) -0.392898 -0.346976 1.349025 0.012357 -1.400082

(0.28839) (0.27739) (1.58187) (0.15937) (0.75834)
[-1.36238] [-1.25085] [ 0.85280] [ 0.07754] [-1.84625]

D(INFLASI(-1)) -0.013648 0.008082 -0.059060 0.000387 0.055630

(0.02706) (0.02603) (0.14843) (0.01495) (0.07116)
[-0.50433] [ 0.31049] [-0.39789] [ 0.02585] [ 0.78177]

D(INFLASI(-2)) 0.008642 0.033521 -0.035397 -0.013586 -0.017957

(0.02608) (0.02508) (0.14305) (0.01441) (0.06858)
[ 0.33136] [ 1.33631] [-0.24744] [-0.94271] [-0.26185]

D(INFLASI(-3)) 0.004158 -0.005180 -0.193235 -0.008283 -0.015945

(0.02588) (0.02489) (0.14194) (0.01430) (0.06804)
[ 0.16069] [-0.20811] [-1.36139] [-0.57926] [-0.23433]

D(LOG(KURS(-1))) 0.439867 0.292883 0.259486 -0.529303 2.446423

(0.36324) (0.34938) (1.99241) (0.20073) (0.95515)
[ 1.21096] [ 0.83829] [ 0.13024] [-2.63691] [ 2.56130]

D(LOG(KURS(-2))) 0.846330 0.361809 2.591689 -0.413755 0.956090

(0.37597) (0.36163) (2.06227) (0.20777) (0.98864)
[ 2.25104] [ 1.00048] [ 1.25671] [-1.99144] [ 0.96707]

D(LOG(KURS(-3))) 0.203791 -0.147343 1.283964 -0.112008 1.095529

(0.37170) (0.35752) (2.03883) (0.20540) (0.97740)
[ 0.54827] [-0.41212] [ 0.62975] [-0.54530] [ 1.12086]

D(BI7RR(-1)) -0.015722 -0.038354 -0.042984 0.007310 0.396115

(0.05285) (0.05083) (0.28988) (0.02920) (0.13897)
[-0.29750] [-0.75450] [-0.14828] [ 0.25029] [ 2.85038]

D(BI7RR(-2)) 0.011809 0.087670 0.557305 -0.008155 -0.204984

(0.05739) (0.05520) (0.31481) (0.03172) (0.15092)
[ 0.20576] [ 1.58812] [ 1.77032] [-0.25713] [-1.35827]

D(BI7RR(-3)) -0.024053 -0.069252 -0.224786 0.039092 0.274848

(0.05420) (0.05213) (0.29730) (0.02995) (0.14253)
[-0.44377] [-1.32835] [-0.75609] [ 1.30513] [ 1.92842]

C -0.001239 0.003014 -0.061520 0.003039 -0.013762

(0.00709) (0.00682) (0.03889) (0.00392) (0.01864)
[-0.17475] [ 0.44195] [-1.58179] [ 0.77565] [-0.73812]

R-squared 0.289399 0.200430 0.219147 0.339148 0.554045

Adj. R-squared 0.022923 -0.099409 -0.073673 0.091328 0.386811
Sum sq. resids 0.090913 0.084110 2.735277 0.027763 0.628618
S.E. equation 0.047674 0.045856 0.261499 0.026345 0.125361
F-statistic 1.086025 0.668459 0.748403 1.368526 3.313003
Log likelihood 100.3893 102.5670 5.074769 133.6031 46.24777
Akaike AIC -3.013903 -3.091678 0.390187 -4.200111 -1.080277
Schwarz SC -2.435231 -2.513006 0.968859 -3.621439 -0.501606
Mean dependent 0.002438 0.002614 -0.041071 0.001220 -0.022321
S.D. dependent 0.048230 0.043733 0.252368 0.027637 0.160091

Determinant resid covariance (dof adj.) 5.70E-13

Determinant resid covariance 1.06E-13
Log likelihood 439.2249
Akaike information criterion -12.82946
Schwarz criterion -9.936102
Number of coefficients 80
UJI STASIONER

*uji akar unit

Roots of Characteristic Polynomial
Endogenous variables: D(LOG(NAB))
D(LOG(IHSG)) D(INFLASI)
D(LOG(KURS)) D(BI7RR)
Exogenous variables: C
Lag specification: 1 3
Date: 07/25/23 Time: 08:51

Root Modulus

0.816241 0.816241
-0.264482 - 0.708612i 0.756361
-0.264482 + 0.708612i 0.756361
0.323850 - 0.652855i 0.728765
0.323850 + 0.652855i 0.728765
0.042801 - 0.711387i 0.712674
0.042801 + 0.711387i 0.712674
-0.703061 0.703061
-0.628999 - 0.146896i 0.645924
-0.628999 + 0.146896i 0.645924
0.454411 - 0.411931i 0.613332
0.454411 + 0.411931i 0.613332
0.590378 0.590378
-0.199080 - 0.332837i 0.387832
-0.199080 + 0.332837i 0.387832

No root lies outside the unit circle.

VAR satisfies the stability condition.

*uji kointegrasi (Johansen)

Date: 07/25/23 Time: 08:56
Sample (adjusted): 2017M06 2021M12
Included observations: 55 after adjustments
Trend assumption: Linear deterministic trend
Series: D(LOG(NAB)) D(LOG(IHSG)) D(INFLASI) D(LOG(KURS)) D(BI7RR)
Lags interval (in first differences): 1 to 3

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.467863 88.76784 69.81889 0.0008

At most 1 * 0.326103 54.07082 47.85613 0.0117
At most 2 * 0.314346 32.36349 29.79707 0.0248
At most 3 0.147280 11.60746 15.49471 0.1768
At most 4 0.050406 2.844660 3.841465 0.0917

Trace test indicates 3 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
*Uji Kausalitas Granger
Pairwise Granger Causality Tests
Date: 07/25/23 Time: 09:03
Sample: 2017M01 2021M12
Lags: 3

Null Hypothesis: Obs F-Statistic Prob.

KURS does not Granger Cause NAB 57 0.96818 0.4151

NAB does not Granger Cause KURS 1.39246 0.2560

INFLASI does not Granger Cause NAB 57 0.35135 0.7883

NAB does not Granger Cause INFLASI 0.98603 0.4069

IHSG does not Granger Cause NAB 57 0.28323 0.8373

NAB does not Granger Cause IHSG 0.62691 0.6010

BI7RR does not Granger Cause NAB 57 0.99401 0.4033

NAB does not Granger Cause BI7RR 3.48708 0.0224

INFLASI does not Granger Cause KURS 57 0.70110 0.5558

KURS does not Granger Cause INFLASI 1.63132 0.1939

IHSG does not Granger Cause KURS 57 1.06361 0.3729

KURS does not Granger Cause IHSG 0.44471 0.7221

BI7RR does not Granger Cause KURS 57 0.25466 0.8577

KURS does not Granger Cause BI7RR 1.36467 0.2643

IHSG does not Granger Cause INFLASI 57 1.70090 0.1788

INFLASI does not Granger Cause IHSG 0.92030 0.4379

BI7RR does not Granger Cause INFLASI 57 1.34740 0.2696

INFLASI does not Granger Cause BI7RR 0.86167 0.4672

BI7RR does not Granger Cause IHSG 57 0.57075 0.6369

IHSG does not Granger Cause BI7RR 1.43592 0.2434

Regresi Model VECM

Vector Error Correction Estimates
Date: 07/25/23 Time: 09:08
Sample (adjusted): 2017M04 2021M12
Included observations: 57 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

LOG(NAB(-1)) 1.000000

LOG(IHSG(-1)) -1.382791
(0.11841)
[-11.6783]

INFLASI(-1) -0.093321
(0.02024)
[-4.61149]

LOG(KURS(-1)) -2.771696
(0.43735)
[-6.33753]

BI7RR(-1) -0.036920
(0.01720)
[-2.14672]

C 13.31620

Error Correction: D(LOG(NAB)) D(LOG(IHSG)) D(INFLASI) D(LOG(KU... D(BI7RR)

CointEq1 -0.293980 -0.234910 1.662213 0.269936 0.537261

(0.11710) (0.11308) (0.64600) (0.06253) (0.33932)
[-2.51042] [-2.07736] [ 2.57310] [ 4.31681] [ 1.58334]

D(LOG(NAB(-1))) 0.341979 0.251386 -1.040999 -0.279273 0.285812

(0.22624) (0.21847) (1.24803) (0.12081) (0.65555)
[ 1.51158] [ 1.15069] [-0.83411] [-2.31172] [ 0.43599]

D(LOG(NAB(-2))) 0.524302 0.448722 -2.536329 -0.332297 0.247207

(0.22828) (0.22043) (1.25927) (0.12189) (0.66145)
[ 2.29679] [ 2.03564] [-2.01413] [-2.72610] [ 0.37373]

D(LOG(IHSG(-1))) 0.006363 -0.038816 0.225209 0.069965 1.055618

(0.26082) (0.25186) (1.43879) (0.13927) (0.75575)
[ 0.02440] [-0.15412] [ 0.15653] [ 0.50236] [ 1.39678]

D(LOG(IHSG(-2))) 0.033427 -0.190297 3.651064 0.199503 -0.924830

(0.25442) (0.24568) (1.40347) (0.13585) (0.73720)
[ 0.13139] [-0.77459] [ 2.60146] [ 1.46852] [-1.25453]

D(INFLASI(-1)) -0.028595 -0.013919 -0.029674 0.012863 0.087882

(0.02454) (0.02370) (0.13540) (0.01311) (0.07112)
[-1.16499] [-0.58726] [-0.21916] [ 0.98145] [ 1.23566]

D(INFLASI(-2)) -0.001092 0.022588 0.054014 -0.001875 0.040984

(0.02395) (0.02313) (0.13212) (0.01279) (0.06940)
[-0.04558] [ 0.97662] [ 0.40881] [-0.14659] [ 0.59054]

D(LOG(KURS(-1))) -0.129020 -0.200133 1.785255 -0.037822 3.094251

(0.33941) (0.32775) (1.87233) (0.18124) (0.98347)
[-0.38013] [-0.61063] [ 0.95350] [-0.20869] [ 3.14625]

D(LOG(KURS(-2))) 0.373858 0.007378 3.357577 -0.064029 0.896949

(0.33529) (0.32377) (1.84962) (0.17904) (0.97155)
[ 1.11502] [ 0.02279] [ 1.81528] [-0.35762] [ 0.92322]

D(BI7RR(-1)) 0.045490 -2.13E-05 -0.250603 -0.027083 0.461565

(0.04881) (0.04713) (0.26926) (0.02606) (0.14143)
[ 0.93196] [-0.00045] [-0.93071] [-1.03910] [ 3.26346]

D(BI7RR(-2)) 0.002776 0.052850 0.406677 0.003811 -0.100238

(0.04735) (0.04573) (0.26123) (0.02529) (0.13721)
[ 0.05862] [ 1.15576] [ 1.55680] [ 0.15073] [-0.73053]

C 0.000654 0.004726 -0.043792 0.000860 -0.014964

(0.00646) (0.00624) (0.03565) (0.00345) (0.01873)
[ 0.10123] [ 0.75728] [-1.22845] [ 0.24932] [-0.79915]

R-squared 0.267329 0.166628 0.256115 0.359930 0.438474

Adj. R-squared 0.088232 -0.037085 0.074276 0.203468 0.301212
Sum sq. resids 0.094306 0.087937 2.869823 0.026890 0.791801
S.E. equation 0.045779 0.044206 0.252535 0.024445 0.132648
F-statistic 1.492647 0.817956 1.408473 2.300438 3.194435
Log likelihood 101.6420 103.6347 4.301328 137.4036 41.00066
Akaike AIC -3.145333 -3.215254 0.270129 -4.400125 -1.017567
Schwarz SC -2.715217 -2.785138 0.700245 -3.970009 -0.587451
Mean dependent 0.001944 0.002933 -0.030526 0.001206 -0.021930
S.D. dependent 0.047943 0.043408 0.262471 0.027390 0.158683

Determinant resid covariance (dof adj.) 4.71E-13

Determinant resid covariance 1.45E-13
Log likelihood 438.2054
Akaike information criterion -13.09493
Schwarz criterion -10.76513
Number of coefficients 65
Vector Error Correction Estimates
Date: 07/25/23 Time: 21:18
Sample (adjusted): 2017M04 2021M12
Included observations: 57 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

INFLASI(-1) 1.000000

LOG(NAB(-1)) -10.71572
(2.37010)
[-4.52120]

LOG(IHSG(-1)) 14.81759
(3.19793)
[ 4.63349]

LOG(KURS(-1)) 29.70071
(2.79058)
[ 10.6432]

BI7RR(-1) 0.395626
(0.22513)
[ 1.75734]

C -142.6926

Error Correction: D(INFLASI) D(LOG(NAB)) D(LOG(IHSG)) D(LOG(KU... D(BI7RR)

CointEq1 -0.155119 0.027435 0.021922 -0.025191 -0.050138

(0.06028) (0.01093) (0.01055) (0.00584) (0.03167)
[-2.57310] [ 2.51042] [ 2.07736] [-4.31681] [-1.58334]

D(INFLASI(-1)) -0.029674 -0.028595 -0.013919 0.012863 0.087882

(0.13540) (0.02454) (0.02370) (0.01311) (0.07112)
[-0.21916] [-1.16499] [-0.58726] [ 0.98145] [ 1.23566]

D(INFLASI(-2)) 0.054014 -0.001092 0.022588 -0.001875 0.040984

(0.13212) (0.02395) (0.02313) (0.01279) (0.06940)
[ 0.40881] [-0.04558] [ 0.97662] [-0.14659] [ 0.59054]

D(LOG(NAB(-1))) -1.040999 0.341979 0.251386 -0.279273 0.285812

(1.24803) (0.22624) (0.21847) (0.12081) (0.65555)
[-0.83411] [ 1.51158] [ 1.15069] [-2.31172] [ 0.43599]

D(LOG(NAB(-2))) -2.536329 0.524302 0.448722 -0.332297 0.247207

(1.25927) (0.22828) (0.22043) (0.12189) (0.66145)
[-2.01413] [ 2.29679] [ 2.03564] [-2.72610] [ 0.37373]

D(LOG(IHSG(-1))) 0.225209 0.006363 -0.038816 0.069965 1.055618

(1.43879) (0.26082) (0.25186) (0.13927) (0.75575)
[ 0.15653] [ 0.02440] [-0.15412] [ 0.50236] [ 1.39678]

D(LOG(IHSG(-2))) 3.651064 0.033427 -0.190297 0.199503 -0.924830

(1.40347) (0.25442) (0.24568) (0.13585) (0.73720)
[ 2.60146] [ 0.13139] [-0.77459] [ 1.46852] [-1.25453]

D(LOG(KURS(-1))) 1.785255 -0.129020 -0.200133 -0.037822 3.094251

(1.87233) (0.33941) (0.32775) (0.18124) (0.98347)
[ 0.95350] [-0.38013] [-0.61063] [-0.20869] [ 3.14625]

D(LOG(KURS(-2))) 3.357577 0.373858 0.007378 -0.064029 0.896949

(1.84962) (0.33529) (0.32377) (0.17904) (0.97155)
[ 1.81528] [ 1.11502] [ 0.02279] [-0.35762] [ 0.92322]

D(BI7RR(-1)) -0.250603 0.045490 -2.13E-05 -0.027083 0.461565

(0.26926) (0.04881) (0.04713) (0.02606) (0.14143)
[-0.93071] [ 0.93196] [-0.00045] [-1.03910] [ 3.26346]

D(BI7RR(-2)) 0.406677 0.002776 0.052850 0.003811 -0.100238

(0.26123) (0.04735) (0.04573) (0.02529) (0.13721)
[ 1.55680] [ 0.05862] [ 1.15576] [ 0.15073] [-0.73053]

C -0.043792 0.000654 0.004726 0.000860 -0.014964

(0.03565) (0.00646) (0.00624) (0.00345) (0.01873)
[-1.22845] [ 0.10123] [ 0.75728] [ 0.24932] [-0.79915]

R-squared 0.256115 0.267329 0.166628 0.359930 0.438474

Adj. R-squared 0.074276 0.088232 -0.037085 0.203468 0.301212
Sum sq. resids 2.869823 0.094306 0.087937 0.026890 0.791801
S.E. equation 0.252535 0.045779 0.044206 0.024445 0.132648
F-statistic 1.408473 1.492647 0.817956 2.300438 3.194435
Log likelihood 4.301328 101.6420 103.6347 137.4036 41.00066
Akaike AIC 0.270129 -3.145333 -3.215254 -4.400125 -1.017567
Schwarz SC 0.700245 -2.715217 -2.785138 -3.970009 -0.587451
Mean dependent -0.030526 0.001944 0.002933 0.001206 -0.021930
S.D. dependent 0.262471 0.047943 0.043408 0.027390 0.158683

Determinant resid covariance (dof adj.) 4.71E-13

Determinant resid covariance 1.45E-13
Log likelihood 438.2054
Akaike information criterion -13.09493
Schwarz criterion -10.76513
Number of coefficients 65
Analisis IRF

Variance Decomposition of INFLASI:

Period S.E. INFLASI LOG(NAB) LOG(IHSG) LOG(KURS) BI7RR

1 0.252535 100.0000 0.000000 0.000000 0.000000 0.000000

2 0.346360 97.19658 0.037941 0.392589 1.099666 1.273224
3 0.401158 96.12846 0.036850 0.991571 1.839430 1.003688
4 0.450260 92.36604 1.901197 1.014457 3.921191 0.797119
5 0.500300 87.81639 4.686461 0.825366 5.815404 0.856376
6 0.547375 82.44378 9.774750 0.827790 5.967578 0.986106
7 0.589892 78.14442 14.36245 0.836409 5.595611 1.061110
8 0.631546 74.43951 18.54425 0.788044 5.149160 1.079041
9 0.671139 71.59569 21.79901 0.718434 4.778608 1.108266
10 0.709181 69.33974 24.40175 0.655710 4.441132 1.161677

Respons e to Chol es ky One S.D. (d.f. adjusted) Innovati ons

Resp ons e of INFLASI to INFLASI In nov atio n Resp onse of IN FLAS I to L OG(N AB) Innov atio n Respon se of INFLASI to LO G(IHSG) Inno vatio n Respo nse of INFL ASI to LOG( KURS) Innov atio n Resp ons e of INFL ASI to B I7RR Inn ovatio n
.28 .16 .04 .00 .04

.24 .12 .02 -.02 .02

.08 -.04
.20 .00 .00
.04 -.06
.16 .00 -.02 -.08 -.02

.12 -.04 -.04 -.10 -.04

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Resp onse of LO G(NAB) to INFL ASI Innov atio n Respo nse of LOG( NAB) t o LOG (NAB) Innov atio n Respons e of LOG (NAB) t o LOG(IH SG) Inn ovatio n Respon se of L OG(NAB ) to LO G(KUR S) Inno vatio n Resp onse of LO G(N AB) t o BI7 RR Innov atio n
.000 .08 .010 .03 .020

-.002 .07 .008 .015

.02
.006
-.004 .06 .010
.004
.01
-.006 .05 .002 .005

-.008 .04 .000 .00 .000

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Respon se of L OG(IH SG) to INFLASI Inno vatio n Respons e of LOG (IHSG) to LOG(N AB) Inn ovatio n Response of LOG(IHSG) t o LOG(IHSG) Innovatio n Response of LOG(IH SG) to LOG (KURS) In novatio n Respo nse of LOG(IHSG) t o BI7R R Inno vatio n
.004 .052 .034 .020 .020
.002 .048 .032 .015 .015
.000 .044
.030 .010 .010
-.002 .040
-.004 .036 .028 .005 .005

-.006 .032 .026 .000 .000

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Respo nse of LOG( KURS) to IN FLASI Innov atio n Respon se of L OG(KUR S) to L OG(NAB) Inno vatio n Response of LOG(KU RS) to LOG (IHSG) In novatio n Response of LOG(KU RS) to LOG (KURS) In novatio n Respo nse o f LOG (KURS ) to B I7RR Innov atio n
.000 .000 -.006 .020 .000

-.002 -.004 -.008 .015 -.002

.010
-.004 -.008 -.010 -.004
.005
-.006 -.012 -.012 .000 -.006

-.008 -.016 -.014 -.005 -.008

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Resp ons e of BI7R R to INF LASI Inn ovatio n Resp onse of BI7RR to LO G(NAB) Innov atio n Respo nse of BI7RR to LOG (IHSG ) Inno vatio n Respo nse o f BI7 RR to L OG(K URS) Innov atio n Resp ons e of BI7 RR t o BI7RR Inn ovatio n
-.02 .20 .00 .00 .20

-.04 .15 -.02 .18

-.02
-.04
-.06 .10 .16
-.06
-.04
-.08 .05 -.08 .14

-.10 .00 -.10 -.06 .12

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10