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Data

JII INF SBI KURS M2 D

2017M05 733,69 0,0433 4,75 13.390,10 5.126,2 0


2017M06 749,60 0,0437 4,75 13.364,63 5.278,9 0
2017M07 748,37 0,0388 4,75 13.409,10 5.166,4 0
2017M08 746,26 0,0382 4,50 13.408,82 5.218,5 0
2017M09 733,30 0,0372 4,25 13.370,00 5.252,8 0
2017M10 728,69 0,0358 4,25 13.593,68 5.283,3 0
2017M11 713,66 0,0330 4,25 13.595,36 5.320,0 0
2017M12 759,07 0,0361 4,25 13.624,21 5.418,5 0
2018M01 787,12 0,0325 4,25 13.447,36 5.350,3 0
2018M02 771,84 0,0318 4,25 13.657,95 5.351,2 0
2018M03 704,28 0,0340 4,25 13.827,29 5.394,9 0
2018M04 693,22 0,0341 4,25 13.872,05 5.408,6 0
2018M05 675,48 0,0323 4,75 14.130,00 5.436,6 0
2018M06 654,77 0,0312 5,25 14.106,36 5.533,7 0
2018M07 655,04 0,0318 5,25 14.486,64 5.505,6 0
2018M08 659,92 0,0320 5,50 14.632,57 5.529,0 0
2018M09 664,91 0,0288 5,75 14.943,00 5.606,3 0
2018M10 651,27 0,0316 5,75 15.254,74 5.666,5 0
2018M11 662,59 0,0323 6,00 14.770,38 5.670,0 0
2018M12 685,22 0,0313 6,00 14.569,47 5.758,3 0
2019M01 727,01 0,0282 6,00 14.233,91 5.645,8 0
2019M02 698,32 0,0257 6,00 14.105,37 5.671,2 0
2019M03 704,69 0,0248 6,00 14.282,10 5.744,2 0
2019M04 691,91 0,0283 6,00 14.213,32 5.744,0 0
2019M05 661,04 0,0332 6,00 14.464,76 5.861,3 0
2019M06 682,65 0,0328 6,00 14.297,73 5.911,2 0
2019M07 687,80 0,0332 5,75 14.114,26 5.937,5 0
2019M08 702,59 0,0349 5,50 14.313,05 5.933,0 0
2019M09 685,92 0,0339 5,25 14.181,57 6.002,4 0
2019M10 686,92 0,0313 5,00 14.188,21 6.025,6 0
2019M11 667,44 0,0300 5,00 14.139,06 6.072,7 0
2019M12 698,09 0,0272 5,00 14.087,54 6.136,5 0
2020M01 642,80 0,0268 5,00 13.800,89 6.046,7 1
2020M02 565,01 0,0298 4,75 13.845,03 6.116,5 1
2020M03 476,39 0,0296 4,50 15.270,55 6.440,5 1
2020M04 542,50 0,0267 4,50 15.946,77 6.238,3 1
2020M05 528,97 0,0219 4,50 14.980,72 6.468,2 1
2020M06 533,80 0,0196 4,25 14.266,93 6.393,7 1
2020M07 555,63 0,0154 4,00 14.655,32 6.567,7 1
2020M08 556,67 0,0132 4,00 14.805,60 6.726,1 1

Regresi Model Lengkap


Dependent Variable: JII
Method: Least Squares
Date: 02/17/21 Time: 20:27
Sample: 2017M07 2020M08
Included observations: 38

Variable Coefficient Std. Error t-Statistic Prob.  

C 1635.371 167.5605 9.759885 0.0000


INF -1307.683 1265.020 -1.033726 0.3090
SBI 0.664689 8.332858 0.079767 0.9369
KURS -0.048102 0.010337 -4.653353 0.0001
M2 -0.038850 0.021847 -1.778307 0.0849
D -103.5907 20.81964 -4.975624 0.0000

R-squared 0.888381    Mean dependent var 668.1884


Adjusted R-squared 0.870940    S.D. dependent var 72.54735
S.E. of regression 26.06255    Akaike info criterion 9.502815
Sum squared resid 21736.22    Schwarz criterion 9.761382
Log likelihood -174.5535    Hannan-Quinn criter. 9.594811
F-statistic 50.93777    Durbin-Watson stat 1.515499
Prob(F-statistic) 0.000000

VIF
Variance Inflation Factors
Date: 02/17/21 Time: 20:31
Sample: 2017M07 2020M08
Included observations: 38

Coefficient Uncentered Centered


Variable Variance VIF VIF

C  28076.53  1570.699  NA


INF  1600275.  84.62666  2.734220
SBI  69.43652  99.52810  1.903254
KURS  0.000107  1213.105  1.932073
M2  0.000477  895.6880  4.362944
D  433.4574  5.105078  4.030325

Uji Jarque Bera


10
Series: Residuals
Sample 2017M07 2020M08
8 Observations 38

Mean -1.58e-13
6
Median 0.710812
Maximum 52.08169
Minimum -49.75508
4
Std. Dev. 24.23768
Skewness 0.228240
2 Kurtosis 2.695772

Jarque-Bera 0.476470
0 Probability 0.788017
-50 -40 -30 -20 -10 0 10 20 30 40 50 60

Uji Breusch Godfrey


Breusch-Godfrey Serial Correlation LM Test:
F-statistic 1.850706    Prob. F(3,29) 0.1601
Obs*R-squared 6.106151    Prob. Chi-Square(3) 0.1066

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 02/17/21 Time: 20:32
Sample: 2017M07 2020M08
Included observations: 38
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.  

C -72.53017 167.4814 -0.433064 0.6682


INF 240.1877 1235.662 0.194380 0.8472
SBI -1.510658 8.381654 -0.180234 0.8582
KURS 0.004731 0.011263 0.420092 0.6775
M2 0.001074 0.021913 0.049014 0.9612
D -4.030217 20.41777 -0.197388 0.8449
RESID(-1) 0.382118 0.196982 1.939856 0.0622
RESID(-2) -0.310567 0.193026 -1.608943 0.1185
RESID(-3) 0.217857 0.196512 1.108618 0.2767

R-squared 0.160688    Mean dependent var -1.58E-13


Adjusted R-squared -0.070846    S.D. dependent var 24.23768
S.E. of regression 25.08157    Akaike info criterion 9.485537
Sum squared resid 18243.46    Schwarz criterion 9.873387
Log likelihood -171.2252    Hannan-Quinn criter. 9.623531
F-statistic 0.694015    Durbin-Watson stat 1.914545
Prob(F-statistic) 0.693701

Uji White
Heteroskedasticity Test: White

F-statistic 2.181122    Prob. F(5,32) 0.0809


Obs*R-squared 9.658717    Prob. Chi-Square(5) 0.0855
Scaled explained SS 5.807506    Prob. Chi-Square(5) 0.3254

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 02/17/21 Time: 20:32
Sample: 2017M07 2020M08
Included observations: 38

Variable Coefficient Std. Error t-Statistic Prob.  

C 2614.641 2316.484 1.128711 0.2674


INF^2 -270993.7 633207.9 -0.427970 0.6715
SBI^2 -16.52463 21.91974 -0.753870 0.4564
KURS^2 9.31E-06 9.51E-06 0.979328 0.3348
M2^2 -0.000104 4.95E-05 -2.097126 0.0440
D^2 1105.644 566.0345 1.953315 0.0596
R-squared 0.254177    Mean dependent var 572.0057
Adjusted R-squared 0.137642    S.D. dependent var 754.8749
S.E. of regression 701.0013    Akaike info criterion 16.08684
Sum squared resid 15724891    Schwarz criterion 16.34540
Log likelihood -299.6499    Hannan-Quinn criter. 16.17883
F-statistic 2.181122    Durbin-Watson stat 1.566045
Prob(F-statistic) 0.080921

Uji Ramsey Reset


Ramsey RESET Test
Equation: BEST
Specification: JII C INF SBI KURS M2 D
Omitted Variables: Powers of fitted values from 2 to 3

Value df Probability
F-statistic  1.490141 (2, 30)  0.2415
Likelihood ratio  3.599075  2  0.1654

F-test summary:
Mean
Sum of Sq. df Squares
Test SSR  1964.206  2  982.1029
Restricted SSR  21736.22  32  679.2568
Unrestricted SSR  19772.01  30  659.0670

LR test summary:
Value df
Restricted LogL -174.5535  32
Unrestricted LogL -172.7540  30

Unrestricted Test Equation:


Dependent Variable: JII
Method: Least Squares
Date: 02/17/21 Time: 20:32
Sample: 2017M07 2020M08
Included observations: 38

Variable Coefficient Std. Error t-Statistic Prob.  

C -3529.120 38077.52 -0.092683 0.9268


INF 3388.324 34561.06 0.098039 0.9226
SBI 8.452750 23.00960 0.367358 0.7159
KURS 0.128334 1.276947 0.100501 0.9206
M2 0.123059 1.029953 0.119480 0.9057
D 285.9810 2781.019 0.102833 0.9188
FITTED^2 0.003710 0.043416 0.085461 0.9325
FITTED^3 -7.13E-07 2.33E-05 -0.030575 0.9758

R-squared 0.898467    Mean dependent var 668.1884


Adjusted R-squared 0.874776    S.D. dependent var 72.54735
S.E. of regression 25.67230    Akaike info criterion 9.513366
Sum squared resid 19772.01    Schwarz criterion 9.858121
Log likelihood -172.7540    Hannan-Quinn criter. 9.636027
F-statistic 37.92446    Durbin-Watson stat 1.616009
Prob(F-statistic) 0.000000