MODEL PAM Dependent Variable: LOG(KURS) Method: Least Squares Date: 11/25/11 Time: 07:47 Sample (adjusted): 1997Q2 2004Q4 Included observations: 31 after adjustments Variable C LOG(JUB) INF SBI LOG(M) LOG(KURS(-1)) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient 1.079153 0.195185 0.023269 0.001037 -0.043998 0.660238 0.896873 0.876248 0.120297 0.361786 24.99858 43.48414 0.000000 Std. Error 1.735799 0.162696 0.005128 0.003122 0.189197 0.142512 t-Statistic 0.621704 1.199694 4.537399 0.332070 -0.232552 4.632863 Prob. 0.5398 0.2415 0.0001 0.7426 0.8180 0.0001 9.010214 0.341964 -1.225715 -0.948169 -1.135242 2.477398

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat

Dalam penelitian ini dperoleh nilai koeffisien log(kurs(-1)) sebesar 0.660238 = 1- i , 1 0.660 = 0.340 kemudian dari probabilitasnya dilihat dan hasilnya 0.0001 berarti model PAM ini layak digunakan karena memenuhi syarat yaitu koefisien = 0.340 berada dianrtara 0 < < 1 dan probabilitasnya juga signifikan Kemudian di uji asumsi klasiknya mulai dari normalitas data UJI NORMALITAS8 7 6 5 4 3 2 1 0 -0.2 -0.1 0.0 0.1 0.2 0.3

Series: Residuals Sample 1997Q2 2004Q4 Observations 31 Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque-Bera Probability -1.92e-15 -0.001801 0.303320 -0.210156 0.109816 0.562864 3.370467 1.814157 0.403702

Hasil prob 0.403702 dan nini lebih besar dai level signifikasni 0.05 jadi Ho di terima artinya distribusi Ut normal

UJI OTOKORELASIBreusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 2.860922 8.699858 Prob. F(3,22) Prob. Chi-Square(3) 0.0601 0.0336

Test Equation: Dependent Variable: RESID Method: Least Squares Date: 11/25/11 Time: 08:00 Sample: 1997Q2 2004Q4 Included observations: 31 Presample missing value lagged residuals set to zero. Variable C LOG(JUB) INF SBI LOG(M) LOG(KURS(-1)) RESID(-1) RESID(-2) RESID(-3) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient -1.417070 -0.381019 0.009934 -0.006773 0.301559 0.365423 -0.716693 -0.112923 0.350837 0.280641 0.019055 0.108765 0.260254 30.10419 1.072846 0.416595 Std. Error 1.662947 0.222054 0.006342 0.004090 0.207609 0.210605 0.306295 0.250217 0.201906 t-Statistic -0.852144 -1.715883 1.566325 -1.656159 1.452535 1.735113 -2.339875 -0.451298 1.737625 Prob. 0.4033 0.1002 0.1315 0.1119 0.1605 0.0967 0.0288 0.6562 0.0963 -1.92E-15 0.109816 -1.361561 -0.945242 -1.225851 2.203707

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat

nilai prob 0.036 < 0.05 jadi Ho ditolak jadi terdapat masalh otokorelasi UJI HETEROSKEDASTISITASHeteroskedasticity Test: White F-statistic Obs*R-squared Scaled explained SS 3.485787 27.11118 20.89820 Prob. F(20,10) Prob. Chi-Square(20) Prob. Chi-Square(20) 0.0234 0.1322 0.4031

Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 11/25/11 Time: 08:02 Sample: 1997Q2 2004Q4 Included observations: 31 Variable C LOG(JUB) Coefficient 54.17451 0.928117 Std. Error 22.22293 5.572194 t-Statistic 2.437775 0.166562 Prob. 0.0350 0.8710

(LOG(JUB))^2 (LOG(JUB))*INF (LOG(JUB))*SBI (LOG(JUB))*(LOG(M)) (LOG(JUB))*(LOG(KURS(-1))) INF INF^2 INF*SBI INF*(LOG(M)) INF*(LOG(KURS(-1))) SBI SBI^2 SBI*(LOG(M)) SBI*(LOG(KURS(-1))) LOG(M) (LOG(M))^2 (LOG(M))*(LOG(KURS(-1))) LOG(KURS(-1)) (LOG(KURS(-1)))^2 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)

0.078781 -0.041432 0.003817 0.128910 -0.435140 -0.224317 0.000719 -0.000407 0.033444 0.045864 -0.131263 -3.56E-05 0.011438 -0.001503 -10.75814 0.354701 0.273081 -1.985216 0.250130 0.874554 0.623663 0.011205 0.001256 112.7826 3.485787 0.023366

0.234738 0.029730 0.013437 0.212404 0.563566 0.225024 0.000365 0.000385 0.032938 0.024121 0.136941 9.13E-05 0.009309 0.008198 5.389234 0.215471 0.234055 3.915390 0.335620

0.335611 -1.393619 0.284049 0.606911 -0.772119 -0.996858 1.970509 -1.055668 1.015348 1.901373 -0.958537 -0.389459 1.228775 -0.183320 -1.996228 1.646163 1.166739 -0.507029 0.745278

0.7441 0.1936 0.7822 0.5574 0.4579 0.3423 0.0771 0.3160 0.3339 0.0864 0.3604 0.7051 0.2473 0.8582 0.0739 0.1308 0.2704 0.6231 0.4733 0.011671 0.018265 -5.921457 -4.950047 -5.604802 2.993128

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat

Hasil pengolahan di dapat sebesar 0.1322 > 0.05 berarti Ho diterima ahtinya tidak terdapat masalah heteroskedastisitas UJI SPESIFIKASI MODELRamsey RESET Test Equation: UNTITLED Specification: LOG(KURS) C LOG(JUB) INF SBI LOG(M) LOG(KURS(-1)) Omitted Variables: Powers of fitted values from 2 to 3 Value 7.798519 16.04812 df (2, 23) 2 Probability 0.0026 0.0003

F-statistic Likelihood ratio F-test summary:

Test SSR Restricted SSR Unrestricted SSR Unrestricted SSR LR test summary: Restricted LogL Unrestricted LogL

Sum of Sq. 0.146198 0.361786 0.215589 0.215589

df 2 25 23 23

Mean Squares 0.073099 0.014471 0.009373 0.009373

Value 24.99858 33.02264

df 25 23

Unrestricted Test Equation: Dependent Variable: LOG(KURS) Method: Least Squares

Date: 11/25/11 Time: 08:04 Sample: 1997Q2 2004Q4 Included observations: 31 Variable C LOG(JUB) INF SBI LOG(M) LOG(KURS(-1)) FITTED^2 FITTED^3 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient -727.3340 77.41260 9.227198 0.409380 -17.41438 261.7943 -45.07784 1.709767 0.938547 0.919844 0.096816 0.215589 33.02264 50.18126 0.000000 Std. Error 207.6711 22.29163 2.659104 0.117090 5.037630 75.46415 13.12962 0.502185 t-Statistic -3.502336 3.472721 3.470040 3.496298 -3.456860 3.469121 -3.433294 3.404655 Prob. 0.0019 0.0021 0.0021 0.0019 0.0021 0.0021 0.0023 0.0024 9.010214 0.341964 -1.614364 -1.244303 -1.493733 2.446384

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat

Nilai probabilitas didapat sebesar 0.0026 < 0.05 vberarti Ho ditolak berati model tidak linier Karena tidak lolos uji asumsi klasik maka tidak bisa dilakukan etimasi lagi.

MODEL ECMDependent Variable: DLOG(KURS) Method: Least Squares Date: 11/25/11 Time: 08:18 Sample (adjusted): 1997Q2 2004Q4 Included observations: 31 after adjustments Variable C DLOG(JUB) D(INF) D(SBI) DLOG(M) LOG(JUB(-1)) INF(-1) SBI(-1) LOG(M(-1)) ECT R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient 2.433337 0.522865 0.016091 0.004869 -0.109549 -0.163571 -0.242602 -0.261429 -0.396500 0.259914 0.770765 0.672521 0.119153 0.298148 27.99729 7.845437 0.000053 Std. Error 2.081451 0.441664 0.006396 0.006329 0.279535 0.078836 0.155121 0.151430 0.326534 0.153775 t-Statistic 1.169058 1.183854 2.515787 0.769198 -0.391897 -2.074835 -1.563950 -1.726400 -1.214268 1.690221 Prob. 0.2555 0.2497 0.0201 0.4503 0.6991 0.0505 0.1328 0.0990 0.2381 0.1058 0.043562 0.208216 -1.161116 -0.698539 -1.010327 2.551629

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat

Hasil ect memenuhi tapi probabilitas tidak signifikan sehingga model ecm gugur sehingga validitas pengaruh tidak valid, dan tidak bisa dilakukan untuk uji janka panjang. UJI STASIONERITASNull Hypothesis: LKURS has a unit root Exogenous: None Lag Length: 0 (Automatic - based on AIC, maxlag=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. 1.028510 -2.641672 -1.952066 -1.610400 Prob.* 0.9163

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LKURS) Method: Least Squares Date: 11/25/11 Time: 08:35 Sample (adjusted): 1997Q2 2004Q4 Included observations: 31 after adjustments Variable LKURS(-1) Coefficient 0.004306 Std. Error 0.004187 t-Statistic 1.028510 Prob. 0.3119

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

-0.009629 -0.009629 0.209216 1.313142 5.017159 1.479996

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter.

0.043562 0.208216 -0.259172 -0.212914 -0.244093

Hasil koef positif jadi data explosif dan prob 0.9163 berarti tidak stasioner DENGAN INTERCEPTNull Hypothesis: LKURS has a unit root Exogenous: Constant Lag Length: 3 (Automatic - based on AIC, maxlag=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. -6.340742 -3.689194 -2.971853 -2.625121 Prob.* 0.0000

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LKURS) Method: Least Squares Date: 11/25/11 Time: 08:38 Sample (adjusted): 1998Q1 2004Q4 Included observations: 28 after adjustments Variable LKURS(-1) D(LKURS(-1)) D(LKURS(-2)) D(LKURS(-3)) C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient -0.860507 0.264270 0.125166 0.167443 7.816957 0.654441 0.594343 0.130575 0.392147 20.02623 10.88968 0.000042 Std. Error 0.135711 0.122852 0.125902 0.125199 1.230132 t-Statistic -6.340742 2.151124 0.994155 1.337414 6.354567 Prob. 0.0000 0.0422 0.3305 0.1942 0.0000 0.024889 0.205013 -1.073302 -0.835409 -1.000576 2.131445

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat

Nilai Koef Lkurs negatif jadi bisa dipakai kemudian kita lihat probabilitasnya 0.000 < 0.05 berarti signifikan artinya data stasioner kemudian di lihat AIC nya -1.073302 DENGAN INTERCEPT DAN TRENDNull Hypothesis: LKURS has a unit root Exogenous: Constant, Linear Trend Lag Length: 3 (Automatic - based on AIC, maxlag=3)

t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. -6.331740 -4.323979 -3.580623 -3.225334

Prob.* 0.0001

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LKURS) Method: Least Squares Date: 11/25/11 Time: 08:41 Sample (adjusted): 1998Q1 2004Q4 Included observations: 28 after adjustments Variable LKURS(-1) D(LKURS(-1)) D(LKURS(-2)) D(LKURS(-3)) C @TREND(1997Q1) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient -0.912116 0.301208 0.157500 0.217695 8.213626 0.003825 0.670931 0.596142 0.130285 0.373434 20.71078 8.971039 0.000092 Std. Error 0.144055 0.127528 0.129342 0.133775 1.284227 0.003643 t-Statistic -6.331740 2.361902 1.217704 1.627313 6.395773 1.049975 Prob. 0.0000 0.0274 0.2362 0.1179 0.0000 0.3051 0.024889 0.205013 -1.050770 -0.765297 -0.963498 2.177936

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat

Nilai Koef Lkurs negatif jadi bisa dipakai kemudian kita lihat probabilitasnya 0.0001 < 0.05 berarti signifikan artinya data stasioner kemudian di lihat AIC nya -1.050770 (minimum) Bandingkan model yang stationer 1 dan stasioner model ke 2 lihat AIC mana yang minimum UJI KOINTEGRASIDate: 11/25/11 Time: 08:48 Series: LKURS LJUB INF SBI LM Sample: 1997Q1 2004Q4 Included observations: 32 Null hypothesis: Series are not cointegrated Cointegrating equation deterministics: C @TREND Automatic lags specification based on Akaike criterion (maxlag=3)

Dependent LKURS LJUB INF SBI LM

tau-statistic -6.019980 -6.759919 -3.842042 -3.574734 -3.415270

Prob.* 0.0132 0.0030 0.4023 0.5201 0.5945

z-statistic -33.32026 -37.41526 -20.55904 -18.62133 -25.90377

Prob.* 0.0145 0.0026 0.3851 0.5066 0.1274

*MacKinnon (1996) p-values. Intermediate Results: Rho - 1 Rho S.E. Residual variance Long-run residual variance Number of lags Number of observations Number of stochastic trends** LKURS -1.074847 0.178547 0.013217 0.013217 0 31 5 LJUB -1.206944 0.178544 0.001204 0.001204 0 31 5 INF -0.663195 0.172615 19.68978 19.68978 0 31 5 SBI -0.600688 0.168037 49.98476 49.98476 0 31 5 LM -0.601551 0.176136 0.010865 0.022385 1 30 5

**Number of stochastic trends in asymptotic distribution

diantara semua variabel hanya variabel lkurs dan ljub saja yang bisa dijadikan variabel dependent.