Tugas Statistika

Claudia Astika Putri/ 121400440

Graphic

X1
7
6
5
4
3
2
1
0
10

20

30

40

50

60

70

80

90

100

Tabel1. Hasil Unit Root Test dari Data Hatcohair

Null Hypothesis: X1 has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(X1)
Method: Least Squares
Date: 05/25/15 Time: 17:26
Sample (adjusted): 2 100
Included observations: 99 after adjustments

t-Statistic

Prob.*

-11.10630
-3.497727
-2.890926
-2.582514

0.0000

Variable

Coefficient

Std. Error

t-Statistic

Prob.

X1(-1)
C

-1.121603
3.937771

0.100988
0.380032

-11.10630
10.36169

0.0000
0.0000

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

0.559791
0.555253
1.323085
169.8036
-167.1813
123.3499
0.000000

Mean dependent var

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

-0.016162
1.983951
3.417804
3.470231
3.439016
1.957748

Tabel2. Plot autokorelasi dari data Hatcohair

Date: 05/25/15 Time: 17:22
Sample: 1 100
Included observations: 100
Autocorrelation
*|.
.|.
*|.
.|*
.|*
*|.
.|.
.|.
.|*
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
.|.
**|.
.|*
.|.
.|*
*|.
*|.
.|*
.|.
.|.
.|.
.|.

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

Partial Correlation
*|.
.|.
*|.
.|.
.|*
*|.
.|.
.|.
.|.
*|.
.|.
.|.
.|.
.|.
.|.
.|*
*|.
.|.
.|.
*|.
.|.
*|.
.|*
.|.
.|.
.|.
*|.
.|*
.|.
.|.
.|*
.|.

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32

AC

PAC

-0.121
0.049
-0.133
0.091
0.138
-0.082
-0.047
0.007
0.093
-0.061
-0.045
-0.039
0.007
-0.002
0.021
0.049
-0.060
-0.025
0.006
-0.041
0.007
-0.221
0.160
0.027
0.089
-0.075
-0.127
0.148
0.017
0.012
0.069
0.005

-0.121
0.035
-0.125
0.062
0.169
-0.074
-0.059
0.038
0.061
-0.077
-0.031
-0.014
-0.041
-0.026
0.058
0.074
-0.069
-0.043
0.034
-0.078
-0.028
-0.193
0.124
0.064
0.045
0.018
-0.105
0.075
0.023
-0.019
0.169
-0.009

Q-Stat
1.5061
1.7559
3.6123
4.4918
6.5288
7.2524
7.4918
7.4976
8.4576
8.8797
9.1108
9.2861
9.2923
9.2930
9.3466
9.6426
10.084
10.162
10.167
10.377
10.383
16.751
20.140
20.235
21.301
22.075
24.320
27.421
27.464
27.486
28.192
28.196

Prob
0.220
0.416
0.306
0.344
0.258
0.298
0.380
0.484
0.489
0.544
0.612
0.678
0.751
0.812
0.859
0.885
0.900
0.926
0.949
0.961
0.974
0.777
0.633
0.683
0.676
0.685
0.612
0.495
0.547
0.598
0.611
0.660

.|.
.|.
.|.
*|.

|
|
|
|

*|.
.|.
.|.
**|.

|
|
|
|

33 0.014 -0.070
34 -0.004 0.020
35 -0.059 -0.031
36 -0.140 -0.209

28.225
28.227
28.766
31.878

0.704
0.746
0.762
0.665

Kesimpulan:
Hasil plot autokorelasinya terlihat semakin mendekati nol, semakin stationer.
Dari plot autokorelasinya dan plot autokorelasi parsial, terlihat bahwa lag 1
signifikan. Sehingga ordo p dan q yang mungkin adalah 1. Kombinasi model ARIMA
yang mungkin: ARIMA(1,0,1), ARIMA(1.0,0), ARIMA(0,0,1), ARIMA(1,1,1).
Selanjutnya carinilai koefisiennya (penaksiran parameter) dengan menggunakan
Eviews didapatkan hasil sebagai berikut:
Hasil Pengolahan Model ARIMA:

ARIMA (1, 0, 1)
Dependent Variable: X1
Method: Least Squares
Date: 05/25/15 Time: 17:31
Sample (adjusted): 2 100
Included observations: 99 after adjustments
Convergence achieved after 17 iterations
MA Backcast: 1
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)
MA(1)

3.514751
-0.857094
0.869476

0.131646
0.121438
0.131802

26.69847
-7.057878
6.596856

0.0000
0.0000
0.0000

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

0.055404
0.035725
1.302215
162.7933
-165.0943
2.815393
0.064834

Inverted AR Roots
Inverted MA Roots

-.86
-.87

Mean dependent var

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

3.509091
1.326118
3.395845
3.474485
3.427663
2.159271

ARIMA (1,0,0)
Dependent Variable: X1
Method: Least Squares
Date: 05/25/15 Time: 17:37
Sample (adjusted): 2 100
Included observations: 99 after adjustments
Convergence achieved after 3 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)

3.510843
-0.121603

0.118565
0.100988

29.61109
-1.204131

0.0000
0.2315

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

0.014728
0.004570
1.323085
169.8036
-167.1813
1.449931
0.231469

Inverted AR Roots

-.12

Mean dependent var

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

3.509091
1.326118
3.417804
3.470231
3.439016
1.957748

ARIMA (0,0,1)
Dependent Variable: X1
Method: Least Squares
Date: 05/25/15 Time: 17:43
Sample: 1 100
Included observations: 100
Convergence achieved after 4 iterations
MA Backcast: 0
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
MA(1)

3.515771
-0.116775

0.116590
0.100727

30.15492
-1.159320

0.0000
0.2491

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

0.013954
0.003893
1.318153
170.2777
-168.5069
1.386892
0.241783

Inverted MA Roots

.12

Mean dependent var

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

3.515000
1.320726
3.410138
3.462241
3.431225
1.996078

ARIMA(1,1,1)
Dependent Variable: X1
Method: Least Squares
Date: 05/25/15 Time: 19:23
Sample (adjusted): 3 100
Included observations: 98 after adjustments
Convergence achieved after 22 iterations
MA Backcast: 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
D(X1)
AR(1)
MA(1)

3.520465
0.500079
-0.107800
0.978033

0.121267
0.015670
0.104578
0.029323

29.03074
31.91240
-1.030814
33.35423

0.0000
0.0000
0.3053
0.0000

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

0.748516
0.740490
0.673188
42.59915
-98.23245
93.26036
0.000000

Inverted AR Roots
Inverted MA Roots

-.11
-.98

Mean dependent var

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

3.526531
1.321476
2.086377
2.191885
2.129053
2.002732

KESIMPULAN:
Uji t untuk masing- masing parameter, terlihat bahwa ARIMA(1,0,0),
ARIMA(0,0,1) dan ARIMA(1,1,1) mempunyai nilai probabilitas < 0,005 sehingga dengan
alpha 5% Ho ditolak, artinya koefisien signifikan (berbeda dari nol), tidak ada korelasi
dengan nilai sisa. Pada table ARIMA (1,0,1) Nilai probabilitas jika dibandingkan dengan
Alpha 5% Ho diterima, artinya Tidak ada korelasi dengan nilai sisa.
Jadi dari 4 model yang mungkin, hanya ada 1 model yang memenuhi syarat, yaitu
ARIMA(1,0,1). Maka diambil model yang terbaik.