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Analisis Heteroskedastisitas dan Autokorelasi

This document summarizes the results of root unit tests, short-term estimates, and long-term estimates of a soybean production model. The root unit tests found no evidence of heteroskedasticity or autocorrelation. The short-term estimates show that decreases in soybean production and increases in soybean consumption significantly affect soybean imports in the short-run. However, price, exchange rate, and GDP per capita do not have significant short-term effects. Similarly, the long-term estimates find that decreases in soybean production and increases in soybean consumption significantly impact soybean imports in the long-run, but price, exchange rate, and GDP per capita remain insignificant determinants.

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19 views3 pages

Analisis Heteroskedastisitas dan Autokorelasi

This document summarizes the results of root unit tests, short-term estimates, and long-term estimates of a soybean production model. The root unit tests found no evidence of heteroskedasticity or autocorrelation. The short-term estimates show that decreases in soybean production and increases in soybean consumption significantly affect soybean imports in the short-run. However, price, exchange rate, and GDP per capita do not have significant short-term effects. Similarly, the long-term estimates find that decreases in soybean production and increases in soybean consumption significantly impact soybean imports in the long-run, but price, exchange rate, and GDP per capita remain insignificant determinants.

Uploaded by

fahmiprins
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd

Uji akar unit

Variabel Level First Difference


Prob Prob
Impor Kedelai 0.9908 0.0000
Produksi Kedelai 0.5507 0.0001
Konsumsi Kedelai 0.5431 0.0000
Harga 0.0040 0.0000
Kurs 0.8641 0.0000
GDPperKapita 0.9968 0.0038

Estimasi jangka pendek

Variabel Coefficient Probability


DLog(ProduksiKedelai) -1.558866 0.0000
DLog(KonsumsiKedelai 1.961883 0.0000
D(Log(Price) 0.094927 0.8225
D(LogKurs) -0.937690 0.0024
D(LogGDP) -0.974740 0.0082
ECT(-1) -0.998406 0.0000
Akaike info criterion -1.452096
Schwarz criterion -1.144189
Hannan-Quinn criter -1.344628

Uji Heteroskedastisitas

Heteroskedasticity Test: Breusch-Pagan-Godfrey


F-statistic 0.454955 Prob. F(11,24) 0.9129
Obs*R-squared 6.211525 Prob. Chi-Square(11) 0.8589
Scaled explained SS 2.409442 Prob. Chi-Square(11) 0.9965

Uji Autokorelasi

Breusch-Godfrey Serial Correlation LM Test:


F-statistic 0.277094 Prob. F(1,23) 0.6037
Obs*R-squared 0.428550 Prob. Chi-Square(1) 0.5127
uji multikolinearitas

Coefficient Uncentered
Variable Variance VIF
DLOG(KONSUMSI) 0.068993 2.176811
DLOG(PRODUKSI) 0.062102 1.981473
DLOG(KURS) 0.039447 2.740469
DLOG(GDP) 0.055413 2.574633
DLOG(PRICE) 0.000618 1.065404

Variabel Coefficient Probability


DLog(ProduksiKedelai) -1.703885 0.0000
DLog(KonsumsiKedelai 2.698007 0.0000
D(Log(Price) -0.004477 0.8582
D(LogKurs) -0.177867 0.3772
D(LogGDP) -0.021551 0.9276
Akaike info criterion -0.584271
Schwarz criterion -0.366580
Hannan-Quinn criter -0.507525

Estimasi Jangka Pendek Estimasi Jangka Panjang


Coefficie Probabilit Coefficien Probabilit
Variabel Variabel
nt y t y
-
DLog(Produksi DLog(Produksi
1.558.86 0.0000 -1.703.885 0.0000
Kedelai) Kedelai)
6
DLog(Konsum 1.961.88 DLog(Konsum
0.0000 2.698.007 0.0000
siKedelai 3 siKedelai
D(Log(Price) 0.094927 0.8225 D(Log(Price) -0.004477 0.8582
-
D(LogKurs) 0.0024 D(LogKurs) -0.177867 0.3772
0.937690
-
D(LogGDP) 0.0082 D(LogGDP) -0.021551 0.9276
0.974740
-
ECT(-1) 0.0000
0.998406
-
Akaike info Akaike info
1.452.09 -0.584271
criterion criterion
6
-
Schwarz Schwarz
1.144.18 -0.366580
criterion criterion
9
Hannan-Quinn - Hannan-Quinn -0.507525
criter 1.344.62 criter
8

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