Uji ECM (Error Corection Model)

1. Uji Stasioneritas
a. Pada tingkat level
Cross-sections included: 6
Method
ADF - Fisher Chi-square
ADF - Choi Z-stat

Statistic
42.1823
-1.43696

Prob.**
0.0000
0.0754

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

-square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results UNTITLED

Series
NPF
INFLASI
EXRATE
FINANCE_GROWT
H
FDR
BOPO

Prob.
0.8509
0.0000
0.9976

Lag
0
1
0

0.0372
0.5349
0.2924

1
0
1

Max Lag
11
11
11

Obs
71
70
71

11
11
11

70
71
70

b. Pada tingkat 1 different

Null Hypothesis: Unit root (individual unit root process)
Series: NPF, INFLASI, EXRATE, FINANCE_GROWTH, FDR, BOPO
Date: 06/23/16 Time: 11:03
Sample: 2010M01 2015M12
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0 to 3
Total number of observations: 416
Cross-sections included: 6
Method
ADF - Fisher Chi-square
ADF - Choi Z-stat

Statistic
167.503
-11.5468

Prob.**
0.0000
0.0000

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

-square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results D(UNTITLED)

Series
D(NPF)
D(INFLASI)
D(EXRATE)
D(FINANCE_GRO
WTH)
D(FDR)
D(BOPO)

Prob.
0.0000
0.0000
0.0000

Lag
0
3
0

0.0001
0.0000
0.0001

1
0
0

2. Uji Jangka Panjang (OLS berganda)

Max Lag
11
11
11

Obs
70
67
70

11
11
11

69
70
70

Dependent Variable: NPF

Method: Least Squares
Date: 06/23/16 Time: 11:06
Sample: 2010M01 2015M12
Included observations: 72
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
INFLASI
EXRATE
FINANCE_GROWTH
FDR
BOPO

-21.86428
-0.113079
-6.53E-05
-3.441643
0.129401
0.172800

2.011275
0.189790
0.000134
7.374922
0.016049
0.028343

-10.87086
-0.595809
-0.488069
-0.466668
8.062862
6.096810

0.0000
0.5533
0.6271
0.6423
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.855461
0.844511
0.936803
57.92153
-94.33081
78.12459
0.000000

Mean dependent var

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

4.432778
2.375734
2.786967
2.976689
2.862496
0.731310

3. Uji stasioneritas residu

Null Hypothesis: RES has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=11)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-2.991363
-3.527045
-2.903566
-2.589227

0.0406

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RES)
Method: Least Squares
Date: 06/23/16 Time: 11:05
Sample (adjusted): 2010M03 2015M12
Included observations: 70 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

RES(-1)
D(RES(-1))
C

-0.295234
-0.256081
-0.025343

0.098696
0.114813
0.080511

-2.991363
-2.230417
-0.314776

0.0039
0.0291
0.7539

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic

0.264593
0.242641
0.673456
30.38735
-70.11929
12.05303

Mean dependent var

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

-0.020268
0.773852
2.089123
2.185487
2.127400
2.048350

Prob(F-statistic)

0.000034

4. Uji Jangka Pendek

Dependent Variable: D(NPF)
Method: Least Squares
Date: 06/23/16 Time: 20:57
Sample (adjusted): 2010M02 2015M12
Included observations: 71 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
D(INFLASI)
D(EXRATE)
D(FINANCE_GROWTH)
D(FDR)
D(BOPO)
RES(-1)

0.005748
-0.105870
6.99E-05
-7.981294
0.098766
0.031081
-0.112212

0.047448
0.074133
0.000222
2.151124
0.011479
0.011220
0.054901

0.121142
-1.428104
0.314788
-3.710290
8.604203
2.770168
-2.043888

0.9040
0.1581
0.7539
0.0004
0.0000
0.0073
0.0451

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.712626
0.685684
0.377717
9.130896
-27.93357
26.45099
0.000000

Mean dependent var

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

0.054085
0.673726
0.984044
1.207125
1.072756
2.045933

5. Uji Asumsi Klasik

a.

Normalitas

12

Series: Residuals
Sample 2010M02 2015M12
Observations 71

10
8
6
4
2
0
-1.0

b.

-0.8

-0.6

Autocorelasi

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

-9.38e-18
0.013953
1.272121
-0.970129
0.361167
0.362184
4.464999

Jarque-Bera
Probability

7.901512
0.019240

Breusch-Godfrey Serial Correlation LM Test:

F-statistic
Obs*R-squared

c.

0.703715
1.575959

Prob. F(2,62)
Prob. Chi-Square(2)

0.4987
0.4548

Heteroskedastisitas

Heteroskedasticity Test: White

F-statistic
Obs*R-squared
Scaled explained SS

d.

1.033733
6.272865
8.830440

Prob. F(6,64)
Prob. Chi-Square(6)
Prob. Chi-Square(6)

Multikolinearitas

Variance Inflation Factors

Date: 06/23/16 Time: 20:58
Sample: 2010M01 2015M12
Included observations: 71

Variable

Coefficient
Variance

Uncentered
VIF

Centered
VIF

C
D(INFLASI)
D(EXRATE)
D(FINANCE_GROWTH)
D(FDR)
D(BOPO)
RES(-1)

0.002251
0.005496
4.93E-08
4.627336
0.000132
0.000126
0.003014

1.120386
1.300308
1.172762
1.061699
1.403051
1.156673
1.220473

NA
1.300300
1.070811
1.061596
1.390234
1.156544
1.220428

0.4119
0.3933
0.1833