TESTING DATA TIME SERIES CONSUMPTION, FDI, GDP INDONESIA WITH SERIAL CORRELATION AND COINTEGRATIONJournal: International Journal of Engineering Sciences & Research Technology (IJESRT) (Vol.5, No. 2)
Publication Date: 2016-02-29
Authors : Teguh Sugiarto;
Page : 220-230
Keywords : nonstationari t y;
Purposive - The study was conducted by the authors to see how the correlation and cointegration in the long term between the variables of consumption, direct inventasi and GDP in Indonesia to test models of time series data. Method / Analysis - Data analysis method used by the authors in this research using correlation analysis and cointegration model. Data - Data that is used by the author in this study is the variable data consumption, Direct investation and Indonesian GDP, from the year 1967 to 201 4. Data obtained by the authors of the World Bank website, the data before it is analyzed in advance at the though the author. Finding - From the research that has been done can be concluded that the variable consumption, direct investment and GDP are corr elated and cointegrated in the long term is strengthened by the presence to the SE regression, which is a measure of the amount of residual autocorrelation in the long term variants, and tests Phillips - Ouliaris accept the null hypothesis of no cointegrati on (unit root in the residuals) at approximately 1% significance level. Novelty - Model mix between correlation and cointegration in the long term against the consumption variable, direct inventasi GDP in Indonesia and this has never been done. Earlier res earch studies with discussion about the causality or cointegration only.
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Last modified: 2016-02-06 19:21:54