. import excel "C:\Users\Acer\Documents\data1.

xlsx", sheet("Sheet1") cellrange(A1:J32) firstrow

Uji Stasioner
. tset tahun
time variable: tahun, 1987 to 2017
delta: 1 unit

. dfuller lnjpm

Dickey-Fuller test for unit root Number of obs = 30

Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value

Z(t) -1.649 -3.716 -2.986 -2.624

MacKinnon approximate p-value for Z(t) = 0.4577

. gen dlnjpm=d.lnjpm
(1 missing value generated)

. replace dlnjpm=0 if dlnjpm==.

(1 real change made)

. dfuller dlnjpm

Dickey-Fuller test for unit root Number of obs = 30

Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value

Z(t) -4.077 -3.716 -2.986 -2.624

MacKinnon approximate p-value for Z(t) = 0.0011

. dfuller lngdp

Dickey-Fuller test for unit root Number of obs = 30

Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value

Z(t) -0.635 -3.716 -2.986 -2.624

MacKinnon approximate p-value for Z(t) = 0.8630

. gen dlngdp=d.lngdp
(1 missing value generated)

. replace dlngdp=0 if dlngdp==.

(1 real change made)

. dfuller dlngdp

Dickey-Fuller test for unit root Number of obs = 30

Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value

Z(t) -5.641 -3.716 -2.986 -2.624

MacKinnon approximate p-value for Z(t) = 0.0000

. dfuller lntpt

Dickey-Fuller test for unit root Number of obs = 30

Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value

Z(t) -1.733 -3.716 -2.986 -2.624

MacKinnon approximate p-value for Z(t) = 0.4142

. gen dlntpt=d.lntpt
(1 missing value generated)

. replace dlntpt=0 if dlntpt==.

(1 real change made)

. dfuller dlntpt

Dickey-Fuller test for unit root Number of obs = 30

Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value

Z(t) -4.850 -3.716 -2.986 -2.624

MacKinnon approximate p-value for Z(t) = 0.0000

. dfuller lnaps

Dickey-Fuller test for unit root Number of obs = 30

Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value

Z(t) 0.103 -3.716 -2.986 -2.624

MacKinnon approximate p-value for Z(t) = 0.9663

. gen dlnaps=d.lnaps
(1 missing value generated)

. replace dlnaps=0 if dlnaps==.

(1 real change made)

. dfuller dlnaps

Dickey-Fuller test for unit root Number of obs = 30

Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value

Z(t) -4.768 -3.716 -2.986 -2.624

MacKinnon approximate p-value for Z(t) = 0.0001

Uji Model Regresi

. regress dlnjpm dlngdp dlntpt dlnaps

Source SS df MS Number of obs = 31

F( 3, 27) = 4.73
Model .173313274 3 .057771091 Prob > F = 0.0089
Residual .330048645 27 .012224024 R-squared = 0.3443
Adj R-squared = 0.2715
Total .503361919 30 .016778731 Root MSE = .11056

dlnjpm Coef. Std. Err. t P>|t| [95% Conf. Interval]

dlngdp -.3964545 .1056784 -3.75 0.001 -.6132887 -.1796203

dlntpt -.0713228 .12343 -0.58 0.568 -.3245802 .1819346
dlnaps .8584088 1.890315 0.45 0.653 -3.020197 4.737015
_cons .0229239 .0288565 0.79 0.434 -.0362846 .0821325

. varsoc dlnjpm dlngdp dlntpt dlnaps

Selection-order criteria
Sample: 1991 - 2017 Number of obs = 27

lag LL LR df p FPE AIC HQIC SBIC

0 119.047 2.3e-09* -8.522* -8.46492* -8.33002*

1 129.98 21.866 16 0.148 3.5e-09 -8.14666 -7.86124 -7.18678
2 144.694 29.429 16 0.021 4.2e-09 -8.05144 -7.53768 -6.32365
3 158.371 27.354 16 0.038 6.3e-09 -7.87935 -7.13725 -5.38367
4 176.756 36.77* 16 0.002 9.1e-09 -8.05603 -7.08559 -4.79244

Endogenous: dlnjpm dlngdp dlntpt dlnaps

Exogenous: _cons

Exogenous: _cons

. predict dlnjpm_predict
(option xb assumed; fitted values)

. label variable dlnjpm_predict "dlnjpm predicted"

. scatter dlnjpm dlnjpm_predict

Uji Asumsi Regresi

a. Uji Heteroskedastisitas
. estat hettest

Breusch-Pagan / Cook-Weisberg test for heteroskedasticity

Ho: Constant variance
Variables: fitted values of dlnjpm

chi2(1) = 0.36
Prob > chi2 = 0.5478

. rvfplot, yline(0)
. corr dlnjpm dlngdp dlntpt dlnaps
(obs=31)

dlnjpm dlngdp dlntpt dlnaps

dlnjpm 1.0000
dlngdp -0.5716 1.0000
dlntpt -0.0455 -0.1152 1.0000
dlnaps -0.0081 0.1817 -0.2734 1.0000
 b. Uji Autokorelasi
. dwstat

Durbin-Watson d-statistic( 4, 31) = 2.234371

c. Uji Asumsi Normalitas Error

. predict e, residual

. swilk e

Shapiro-Wilk W test for normal data

Variable Obs W V z Prob>z

e 31 0.91962 2.618 1.994 0.02307

d. Uji Multikolinearitas
. estat vif

Variable VIF 1/VIF

dlnaps 1.11 0.902407

dlntpt 1.09 0.920813
dlngdp 1.04 0.962352

Mean VIF 1.08

.4
.4

.2
.2

Residuals
dlnjpm

0
-.2

-.2

-.1 0 .1 .2 .3 -.1 0 .1 .2 .3
dlnjpm predicted Fitted values