Data Yang Digunakan

Lampiran

Lampiran 1. Data Yang Digunakan

Periode ObservasiTabungan Swasta Riil

(milyar rupiah)Investasi Swasta Riil

(milyar rupiah)Pendapatan Nasional Disposibel Riil

(milyar rupiah)Tingkat Suku Bunga Deposito (12 Bulan) Riil (%)Tingkat Inflasi

(%)Pendapatan Nasional (PDB) Riil

(milyar rupiah)Rasio Investasi Pemerintah terhadap PDB

1984349346.7164107190.7678933.78.18967193210.51032807622920.94030.083450184

1985358137.990684658.6693151.813.072127544.727872457638262.26830.084972907

1986395678.429110978.3732658.69.8732283465.826771654675764.60530.058102966

1987437584.6688116546.4768276.28.2738095249.226190476709049.01550.057638655

1988486874.3583132819.4812376.110.41643968.0835604750031.37790.065204185

1989538382.4797154892.7870610.412.213445386.386554622805962.7820.064368572

1990584852.7279178245.3928400.110.680094797.819905213864328.89960.070258096

1991633031.0128182767.2993143.613.386080599.413919414924400.54440.069706856

1992690104.6966188666.5105115613.567358557.532641446984115.86570.080862645

1993753651.0479197723.51114825.26.6175591539.6824408471048045.8150.073140677

1994518760.0902245261.81193870.34.484530238.515469771127067.0660.067649236

1995577519.1463309551.61291415.65.5571540679.4428459331219713.3960.05356428

1996653997.1971326743.61387533.38.7411089877.9588910131315070.3870.057487449

1997687910.6238340471.11441845.99.5698693826.7301306181376877.4010.06785562

1998740782.1821240885.81217702-35.8643849857.664384981196138.5780.070904889

1999792968.0697202957.111986477.28688330520.31311671205601.0630.038875264

2000292208.7241732.11273857.26.8506287599.34937124112649200.020408405

2001346710.0005253425.71257443.61.6512.551308571.5320.02850489

2002448997.3556256115.31293426.65.4777876511.878497631355789.9520.023804039

2003661904.4961248425.51318017.35.56.5860247381416880.120.031156394

Lampiran 2. Data Yang Diestimasi

Periode ObservasiVariabel

LN SLN ILN GNDILN RLN PLN YLN GIY

198412.763820164811.582364770113.42827875828.18967193210.5103280713.3421748881-2.48350542396

198512.788673639711.346381977213.449004301813.072127544.72787245713.3665045567-2.46542281448

198612.888357112411.617089965713.50443511529.8732283465.82677165413.4236000774-2.84553856651

198712.989025494711.66604475613.55190458298.2738095249.22619047613.4716799364-2.85356184261

198813.095761377611.796745589713.607718689310.41643968.083560413.5278703218-2.73023162499

198913.196324515411.950487898113.676949853812.213445386.38655462213.5997928442-2.74312977741

199013.279115347312.090915970513.741218061110.680094797.81990521313.6697086462-2.65557973186

199113.358274693312.115968490813.808630544913.386080599.41391941413.7369007463-2.66345660163

199213.444598599312.147736185113.865401068913.567358557.53264144613.7994989188-2.51500330445

199313.532684738712.194624869113.92420817936.6175591539.68244084713.8624378595-2.61537061008

199413.159196801312.410081490413.99271094064.484530238.5154697713.9351292997-2.69341921785

199513.266496874612.642880077714.0712495395.5571540679.44284593314.0141264678-2.92687285097

199613.390858344712.696931044514.14303812438.7411089877.95889101314.0894007484-2.85618863327

199713.441414201212.738085525814.18143472579.5698693826.73013061814.1353287403-2.69037306636

199813.515461909812.392078241214.0124760339-35.8643849857.6643849813.9946090747-2.64641589154

199913.583538234612.220749905613.99670397877.28688330520.313116714.002488808-3.24739711751

200012.58522355212.395585367114.05756002096.8506287599.34937124114.050519437-3.89180845318

200112.756243976112.442825962414.04459132911.6512.5514.0844466666-3.55767962748

200213.014772277212.453383012714.07280553375.4777876510.0222123514.1198948328-3.73790000682

200313.402876558812.422898280814.09163911994.026.5814.1639679138-3.46873578997

Lampiran 3. Unit Root Test (pada first difference tanpa intercept)

Variabel Ln SADF Test Statistic-3.160126 1% Critical Value*-2.7158

5% Critical Value-1.9627

10% Critical Value-1.6262

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNS,2)

Method: Least Squares

Date: 06/30/05 Time: 19:41

Sample(adjusted): 1987 2003

Included observations: 17 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

D(LNS(-1))-1.293866 0.409435-3.160126 0.0065

D(LNS(-1),2) 0.208519 0.275255 0.757550 0.4605

R-squared 0.521533 Mean dependent var 0.016966

Adjusted R-squared 0.489635 S.D. dependent var 0.431211

S.E. of regression 0.308056 Akaike info criterion 0.593061

Sum squared resid 1.423479 Schwarz criterion 0.691087

Log likelihood-3.041022 F-statistic 16.35012

Durbin-Watson stat 1.998492 Prob(F-statistic) 0.001061

Variabel Ln IADF Test Statistic-2.550927 1% Critical Value*-2.7158

5% Critical Value-1.9627

10% Critical Value-1.6262

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNI,2)

Method: Least Squares

Date: 06/30/05 Time: 20:27

Sample(adjusted): 1987 2003

Included observations: 17 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

D(LNI(-1))-0.670780 0.262955-2.550927 0.0222

D(LNI(-1),2) 0.077218 0.204602 0.377407 0.7112

R-squared 0.353569 Mean dependent var-0.017717

Adjusted R-squared 0.310474 S.D. dependent var 0.166807

S.E. of regression 0.138513 Akaike info criterion-1.005577

Sum squared resid 0.287787 Schwarz criterion-0.907552

Log likelihood 10.54740 F-statistic 8.204342

Durbin-Watson stat 1.796354 Prob(F-statistic) 0.011819

Variabel Ln GNDIADF Test Statistic-2.028032 1% Critical Value*-2.7158

5% Critical Value-1.9627

10% Critical Value-1.6262

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNGNDI,2)

Method: Least Squares

Date: 06/30/05 Time: 19:44

Sample(adjusted): 1987 2003

Included observations: 17 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

D(LNGNDI(-1))-0.525508 0.259122-2.028032 0.0607

D(LNGNDI(-1),2)-0.006108 0.254427-0.024006 0.9812

R-squared 0.272496 Mean dependent var-0.002153

Adjusted R-squared 0.223996 S.D. dependent var 0.071287

S.E. of regression 0.062798 Akaike info criterion-2.587666

Sum squared resid 0.059153 Schwarz criterion-2.489641

Log likelihood 23.99516 F-statistic 5.618439

Durbin-Watson stat 2.028356 Prob(F-statistic) 0.031603

Variabel Ln RADF Test Statistic-5.435252 1% Critical Value*-2.7158

5% Critical Value-1.9627

10% Critical Value-1.6262

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNR,2)

Method: Least Squares

Date: 07/20/05 Time: 22:06

Sample(adjusted): 1987 2003

Included observations: 17 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

D(LNR(-1))-2.170745 0.399383-5.435252 0.0001

D(LNR(-1),2) 0.448297 0.230456 1.945261 0.0707

R-squared 0.799984 Mean dependent var 0.102418

Adjusted R-squared 0.786649 S.D. dependent var 27.57485

S.E. of regression 12.73679 Akaike info criterion 8.036998

Sum squared resid 2433.388 Schwarz criterion 8.135023

Log likelihood-66.31448 F-statistic 59.99393

Durbin-Watson stat 2.248769 Prob(F-statistic) 0.000001

Variabel Ln P

ADF Test Statistic-4.806010 1% Critical Value*-2.7158

5% Critical Value-1.9627

10% Critical Value-1.6262

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNP,2)

Method: Least Squares

Date: 06/30/05 Time: 19:46

Sample(adjusted): 1987 2003

Included observations: 17 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

D(LNP(-1))-1.913533 0.398154-4.806010 0.0002

D(LNP(-1),2) 0.381502 0.238728 1.598062 0.1309

R-squared 0.735573 Mean dependent var-0.375963

Adjusted R-squared 0.717944 S.D. dependent var 26.84660

S.E. of regression 14.25794 Akaike info criterion 8.262636

Sum squared resid 3049.332 Schwarz criterion 8.360661

Log likelihood-68.23240 F-statistic 41.72637

Durbin-Watson stat 2.147288 Prob(F-statistic) 0.000011

Variabel Ln YADF Test Statistic-1.622984 1% Critical Value*-2.7158

5% Critical Value-1.9627

10% Critical Value-1.6262

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNY,2)

Method: Least Squares

Date: 06/30/05 Time: 20:32

Sample(adjusted): 1987 2003

Included observations: 17 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

D(LNY(-1))-0.373665 0.230233-1.622984 0.1254

D(LNY(-1),2)-0.088265 0.254890-0.346285 0.7339

R-squared 0.215654 Mean dependent var-0.000766

Adjusted R-squared 0.163365 S.D. dependent var 0.061357

S.E. of regression 0.056121 Akaike info criterion-2.812466

Sum squared resid 0.047244 Schwarz criterion-2.714441

Log likelihood 25.90596 F-statistic 4.124222

Durbin-Watson stat 2.048450 Prob(F-statistic) 0.060389

Variabel Ln GIYADF Test Statistic-3.240595 1% Critical Value*-2.7158

5% Critical Value-1.9627

10% Critical Value-1.6262

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNGIY,2)

Method: Least Squares

Date: 06/30/05 Time: 20:35

Sample(adjusted): 1987 2003

Included observations: 17 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

D(LNGIY(-1))-1.100476 0.339591-3.240595 0.0055

D(LNGIY(-1),2) 0.151079 0.251301 0.601187 0.5567

R-squared 0.501969 Mean dependent var 0.038193

Adjusted R-squared 0.468766 S.D. dependent var 0.373993

S.E. of regression 0.272588 Akaike info criterion 0.348420

Sum squared resid 1.114563 Schwarz criterion 0.446445

Log likelihood-0.961568 F-statistic 15.11858

Durbin-Watson stat 1.956583 Prob(F-statistic) 0.001456

Lampiran 4. Hasil Estimasi Model Kointegrasi Tabungan Swasta

Dependent Variable: LNS

Method: Least Squares

Date: 06/28/05 Time: 22:31

Sample: 1984 2003

Included observations: 19

Excluded observations: 1

VariableCoefficientStd. Errort-StatisticProb.

C-0.433064 3.373813-0.128360 0.8997

LNGNDI 0.920263 0.237741 3.870859 0.0017

LNR 0.290282 0.129822 2.236005 0.0422

LNP 0.036568 0.017996 2.032010 0.0616

D1-0.328119 0.157241-2.086724 0.0557

R-squared 0.600377 Mean dependent var 13.15459

Adjusted R-squared 0.486199 S.D. dependent var 0.295600

S.E. of regression 0.211886 Akaike info criterion-0.044603

Sum squared resid 0.628539 Schwarz criterion 0.203933

Log likelihood 5.423729 F-statistic 5.258249

Durbin-Watson stat 1.863772 Prob(F-statistic) 0.008468

Lampiran 5. Actual, Fitted, Residual Table

Model Kointegrasi Tabungan Swasta

obsActualFittedResidualResidual Plot

1984 12.7638 12.9192-0.15543| .* | . |

1985 12.7887 12.8626-0.07394| . * | . |

1986 12.8884 12.8723 0.01602| . * . |

1987 12.9890 12.9890-2.0E-06| . * . |

1988 13.0958 13.0655 0.03030| . |* . |

1989 13.1963 13.1133 0.08301| . | * . |

1990 13.2791 13.1859 0.09319| . | * . |

1991 13.3583 13.3718-0.01353| . * . |

1992 13.4446 13.3592 0.08544| . | * . |

1993 13.5327 13.2835 0.24920| . | .* |

1994 13.1592 13.1909-0.03171| . *| . |

1995 13.2665 13.3593-0.09285| . * | . |

1996 13.3909 13.5026-0.11177| . * | . |

1997 13.4414 13.5193-0.07792| . * | . |

1999 13.5835 13.4388 0.14475| . | * . |

2000 12.5852 13.0760-0.49073|* . | . |

2001 12.7562 12.7678-0.01158| . * . |

2002 13.0148 13.1176-0.10278| . * | . |

2003 13.4029 12.9425 0.46035| . | . * |

Lampiran 6. Uji Kointegrasi Model Tabungan Swasta

ADF Test Statistic-4.030251 1% Critical Value*-2.7057

5% Critical Value-1.9614

10% Critical Value-1.6257

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(U)

Method: Least Squares

Date: 07/17/05 Time: 22:08

Sample(adjusted): 1985 2002

Included observations: 18 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

U(-1)-1.166074 0.289330-4.030251 0.0009

R-squared 0.479149 Mean dependent var 0.034210

Adjusted R-squared 0.479149 S.D. dependent var 0.258765

S.E. of regression 0.186751 Akaike info criterion-0.464130

Sum squared resid 0.592890 Schwarz criterion-0.414665

Log likelihood 5.177168 Durbin-Watson stat 1.675484

Lampiran 7. Hasil Estimasi ECM Tabungan Swasta

Dependent Variable: D(LNS)

Method: Least Squares

Date: 06/28/05 Time: 22:33

Sample(adjusted): 1985 2003

Included observations: 19 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

C 0.449102 0.140050 3.206716 0.0084

D(LNGNDI)-6.752329 2.303915-2.930807 0.0137

D(LNR) 0.275860 0.081136 3.399948 0.0059

D(LNP) 0.044714 0.014006 3.192466 0.0086

D1-0.137520 0.133981-1.026415 0.3267

U(-1) 0.653198 0.225747 2.893498 0.0146

R-squared 0.804187 Mean dependent var 0.029231

Adjusted R-squared 0.715181 S.D. dependent var 0.302941

S.E. of regression 0.161675 Akaike info criterion-0.535896

Sum squared resid 0.287526 Schwarz criterion-0.241820

Log likelihood 10.55511 F-statistic 9.035201

Durbin-Watson stat 2.752281 Prob(F-statistic) 0.001279

Lampiran 8. Actual, Fitted, Residual Table

Model ECM Tabungan Swasta

obsActualFittedResidualResidual Plot

1985 0.02485 0.07806-0.05321| . * | . |

1986 0.09968-0.00177 0.10145| . | * . |

1987 0.10067 0.24229-0.14162| * | . |

1988 0.10674 0.08466 0.02207| . |* . |

1989 0.10056-0.03055 0.13112| . | *. |

1990 0.08279 0.09645-0.01366| . * . |

1991 0.07916 0.18835-0.10920| .* | . |

1992 0.08632-0.02348 0.10981| . | *. |

1993 0.08809 0.00590 0.08219| . | * . |

1994-0.37349-0.01019-0.36330|* . | . |

1995 0.10730-0.00131 0.10861| . | *. |

1996 0.12436-0.03769 0.16205| . | * |

1997 0.05056 0.08687-0.03631| . *| . |

1998-0.56214-0.48562-0.04214| . * | . |

1999-0.04623-0.02456-0.01596| . *| . |

2000-0.99831-0.92715-0.07116| . * | . |

2001 0.17102 0.14199 0.02903| . |* . |

2002 0.25853 0.35492-0.09639| . * | . |

2003 0.38810 0.24958 0.13853| . | * |

Lampiran 9. Hasil Estimasi Model Kointegrasi Investasi Swasta

Dependent Variable: LNI

Method: Least Squares

Date: 07/20/05 Time: 22:00

Sample: 1984 2003

Included observations: 20

VariableCoefficientStd. Errort-StatisticProb.

C-10.14225 0.991400-10.23023 0.0000

LNY 1.559681 0.071712 21.74909 0.0000

LNR -0.000520 0.004830 -0.107686 0.9158

LNP -0.009362 0.005149 -1.818242 0.0905

LNGIY-0.276968 0.103979-2.663691 0.0185

D1-0.542926 0.102654-5.288884 0.0001

R-squared 0.979647 Mean dependent var 12.16619

Adjusted R-squared 0.972378 S.D. dependent var 0.396295

S.E. of regression 0.065863 Akaike info criterion-2.359141

Sum squared resid 0.060732 Schwarz criterion-2.060422

Log likelihood 29.59141 F-statistic 134.7726

Durbin-Watson stat 1.787484 Prob(F-statistic) 0.000000

Lampiran 10. Actual, Fitted, Residual Table

Model Kointegrasi Investasi Swasta

obsActualFittedResidualResidual Plot

1984 11.5824 11.4578 0.12457| . | . *|

1985 11.3464 11.4391-0.09276| * . | . |

1986 11.6171 11.6421-0.02501| . * | . |

1987 11.6660 11.7503-0.08426| * . | . |

1988 11.7967 11.7942 0.00255| . * . |

1989 11.9505 11.8950 0.05549| . | *. |

1990 12.0909 11.9924 0.09850| . | . * |

1991 12.1160 12.1157 0.00025| . * . |

1992 12.1477 12.1547-0.00699| . *| . |

1993 12.1946 12.2972-0.10257| * . | . |

1994 12.4101 12.4202-0.01007| . *| . |

1995 12.6429 12.6173 0.02562| . | * . |

1996 12.6969 12.7029-0.00592| . *| . |

1997 12.7381 12.7175 0.02060| . | * . |

1998 12.3921 12.3961-0.00404| . * . |

1999 12.2207 12.2476-0.02688| . * | . |

2000 12.3956 12.3982-0.00257| . * . |

2001 12.4428 12.3858 0.05704| . | *. |

2002 12.4534 12.4693-0.01593| . * | . |

2003 12.4229 12.4305-0.00762| . *| . |

Lampiran 11. Uji Kointegrasi Model Investasi Swasta

ADF Test Statistic-5.024398 1% Critical Value*-2.6968

5% Critical Value-1.9602

10% Critical Value-1.6251

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(U)

Method: Least Squares

Date: 07/20/05 Time: 22:24

Sample(adjusted): 1985 2003

Included observations: 19 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

U(-1)-1.021991 0.203406-5.024398 0.0001

R-squared 0.580206 Mean dependent var-0.006957

Adjusted R-squared 0.580206 S.D. dependent var 0.077330

S.E. of regression 0.050103 Akaike info criterion-3.098276

Sum squared resid 0.045186 Schwarz criterion-3.048568

Log likelihood 30.43362 Durbin-Watson stat 1.327735

Lampiran 12. Hasil Estimasi ECM Investasi Swasta

Dependent Variable: D(LNI)

Method: Least Squares

Date: 07/20/05 Time: 22:22

Sample(adjusted): 1985 2003

Included observations: 19 after adjusting endpoints

VariableCoefficientStd. Errort-StatisticProb.

C-0.164774 0.032521-5.066709 0.0003

D(LNY) 4.121831 0.494240 8.339733 0.0000

D(LNR) -0.003011 0.003470 -0.867572 0.4026

D(LNP) -0.009663 0.004042 -2.390539 0.0341

D(LNGIY)-0.195887 0.051882-3.775628 0.0026

D1 -0.074838 0.036049 -2.076047 0.0600

U(-1)-0.989779 0.205349-4.819992 0.0004

R-squared 0.940959 Mean dependent var 0.044239

Adjusted R-squared 0.911438 S.D. dependent var 0.157516

S.E. of regression 0.046876 Akaike info criterion-3.005318

Sum squared resid 0.026368 Schwarz criterion-2.657367

Log likelihood 35.55052 F-statistic 31.87452

Durbin-Watson stat 1.861533 Prob(F-statistic) 0.000001

Lampiran 13. Actual, Fitted, Residual Table

Model ECM Investasi Swasta

obsActualFittedResidualResidual Plot

1985-0.23598-0.23250-0.00348| . *| . |

1986 0.27071 0.23782 0.03289| . | * . |

1987 0.04895 0.08776-0.03880| .* | . |

1988 0.13070 0.12148 0.00922| . |* . |

1989 0.15374 0.12070 0.03305| . | * . |

1990 0.14043 0.06056 0.07986| . | . *|

1991 0.02505 0.03978-0.01472| . * | . |

1992 0.03177 0.04629-0.01452| . * | . |

1993 0.04689 0.12107-0.07418| * . | . |

1994 0.21546 0.23396-0.01850| . * | . |

1995 0.23280 0.22873 0.00407| . |* . |

1996 0.05405 0.10154-0.04749| * | . |

1997 0.04115-0.01146 0.05262| . | .* |

1998-0.34601-0.34358-0.00243| . * . |

1999-0.17133-0.16673-0.00460| . *| . |

2000 0.17484 0.15362 0.02122| . | * . |

2001 0.04724 0.00227 0.04497| . | * |

2002 0.01056 0.02212-0.01156| . * | . |

2003-0.03048 0.01712-0.04760| * | . |

Lampiran 14. Correlation Matrix Model Tabungan Swasta

LNSLNGNDILNRLNP

LNS 1.000000 0.417212 0.240745 0.161014

LNGNDI 0.417212 1.000000-0.483362 0.287659

LNR 0.240745-0.483362 1.000000-0.407388

LNP 0.161014 0.287659-0.407388 1.000000

Model Investasi Swasta

LNILNYLNRLNPLNGIY

LNI 1.000000 0.949902-0.464032 0.202260-0.449481

LNY 0.949902 1.000000-0.562772 0.296305-0.623707

LNR-0.464032-0.562772 1.000000-0.355894 0.625217

LNP 0.202260 0.296305-0.355894 1.000000-0.357539

LNGIY-0.449481-0.623707 0.625217-0.357539 1.000000

h