Null Hypothesis: IHSG has a unit root

Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=14)

Augmented Dickey-Fuller test statistic

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

t-Statistic

Prob.*

-1.594046
-2.574633
-1.942153
-1.615818

0.1044

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(IHSG)
Method: Least Squares
Date: 06/07/11 Time: 08:45
Sample (adjusted): 3 242
Included observations: 240 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

IHSG(-1)
D(IHSG(-1))

-0.002226
0.169936

0.001397
0.064167

-1.594046
2.648356

0.1123
0.0086

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.030152
0.026077
46.43034
513074.8
-1260.650
1.982896

Mean dependent var

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

-5.323833
47.04784
10.52208
10.55109
10.53377

Null Hypothesis: KURS has a unit root

Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=14)

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(KURS)
Method: Least Squares
Date: 06/07/11 Time: 08:45
Sample (adjusted): 2 242
Included observations: 241 after adjustments

t-Statistic

Prob.*

0.640273
-2.574593
-1.942147
-1.615821

0.8539

Variable

Coefficient

Std. Error

t-Statistic

Prob.

KURS(-1)

0.000600

0.000937

0.640273

0.5226

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

-0.000452
-0.000452
141.3683
4796397.
-1534.743
2.168300

Mean dependent var

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

6.556017
141.3364
12.74475
12.75921
12.75058

Dependent Variable: IHSG

Method: Least Squares
Date: 06/07/11 Time: 08:48
Sample: 1 242
Included observations: 242
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
KURS

6557.403
-0.460415

197.1995
0.020288

33.25263
-22.69394

0.0000
0.0000

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

0.682126
0.680801
279.5558
18756343
-1705.614
515.0150
0.000000

Mean dependent var

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

2100.789
494.8092
14.11251
14.14135
14.12413
0.067279

Long Run Model : IHSGt = 6557.403 -0.460415 Kurs t + et

Null Hypothesis: RESID1 has a unit root
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=14)

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(RESID1)
Method: Least Squares
Date: 06/07/11 Time: 08:50
Sample (adjusted): 2 242

t-Statistic

Prob.*

-2.407785
-2.574593
-1.942147
-1.615821

0.0158

Included observations: 241 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESID1(-1)

-0.039842

0.016547

-2.407785

0.0168

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.022554
0.022554
71.65173
1232153.
-1370.971
2.165673

Mean dependent var

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

-2.351509
72.47367
11.38565
11.40011
11.39148

Dependent Variable: DIHSG

Method: Least Squares
Date: 06/07/11 Time: 08:58
Sample (adjusted): 2 242
Included observations: 241 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
DKURS
RESID1(-1)

-4.944761
-0.064824
-0.000774

2.982841
0.021539
0.010891

-1.657735
-3.009595
-0.071028

0.0987
0.0029
0.9434

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

0.037743
0.029657
46.25368
509177.9
-1264.483
4.667572
0.010272

Mean dependent var

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

-5.370000
46.95519
10.51853
10.56191
10.53601
1.717545

Model ECM : IHSG t = -4.944761 -0.064824 KURS t -0.000774 t-1