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The Monetary Sector in Indonesia : Time Series Properties of the Data and Some Issues of Model Specification

Author

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  • Insukindro

    (Faculty of Economics Gajah Mada University Yogyakarta)

Abstract

Tidak dapat dipungkiri lagi bahwa selama dua dasa warsa terakhir ini, penggunaan analisis regresi linier dalam bidang ekonomi telah demikian luas dan dikenal. Namun demikian dalam penerapannya tidak jarang dijumpai adanya ketimpangan sebagai akibat diabaikannya anggapan stationaritas (stationarity). Pengabaian terhadap anggapan tersebut dapat menyebabkan munculnya apa yang disebut regresi lancing (spurious regression) yang dapat mengakibatkan antara lain: koefisien regresi tidak efisien dan uji baku yang umum untuk koefisien regresi menjadi tidak sahih. Berkaitan dengan itu, maka ujiakar-akar tunggal (unit roots) dan uji kointegrasi (cointegration, rapat dipandang sebagai uji prasyarat agar kita dapat terhindar dari persoalan regresi lancung. Selaras dengan perkembangan pendekatan kointegrasi dalam analisis runtur waktu (time series), tulisan ini bermaksud mengamati perilaku data beberapa variable kunci sektor moneter di Indonesia. Untuk maksud itu diketengahkan uji akar-akar tunggal dan derajat integrasi berdasar pendekatan yang dikembangkan oleh Dickey dan Fuller tahun 1979 dan 1981. Uji ini dapat dipakai untuk mengetahui padi derajat keberapa suatu data akan stationer dan model apakah yang cocok untuk meliput perilaku data sektor moneter di Indonesia. Dari hasil studi empiris diketahui bahwa pada umumnya data sektor moneter di Indonesia adalah tidak stationer dan berintegrasi pada derajat satu. Berkaitan dengan itu, model koreksi kesalahan (error correction model) dapat dipakai sebagai salah satu model yang mampu meliput perilaku data dari variaael kunci sector moneter di Indonesia

Suggested Citation

  • Insukindro, 1990. "The Monetary Sector in Indonesia : Time Series Properties of the Data and Some Issues of Model Specification," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 38, pages 161-172, Juni.
    • Handle: RePEc:lpe:efijnl:199008
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    References listed on IDEAS

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    Keywords

    regrei; linear; monetary; financial;
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