Documentos de Académico
Documentos de Profesional
Documentos de Cultura
Tugas Xalin Catatan
Tugas Xalin Catatan
= (
1
,
2
)
y continuous / diskrit
y dikotomi (limited dependent varian (y1 / y0)
Kombinasi diskrit-dikotomi
Sistem Persamaan (2 atau lebih persamaan)
= (
1
,
2
) = (
1
,
2
)
1
= (
3
, ) = (
1
,
2
)
= (
1
,
2
) = (
1
,
2
)
1
= (
3
,
4
) = (
3
,
4
)
Time Series
ata Series : Yt|t 1,2,......
Yt a T lain-lain
I
= o
0
+ o
1
+o
2
+o
3
+ irregularity
White noise : e bisa diterima
1. Stasioner
2. No serial correlation
CLS
y
x
y
x
roblL/loglL
y
x
LoblL
slmulLan
recurslve
Su8
unrelaLed
?L a 1
nama ulfle Lfrlza
kelas AC
nlM 0810210094
. Constant varian
= (
1
,
2
, .)
= o
0
+ o
1
I
1
+ b
1
1
+ b
2
2
+
lLe nolse
AuLoregresl movlng average
O erapa lag unLuk A8 dan MA ?
dlagnose penenLuan lag compuLasl
Menggunakan correlogram unLuk mellaL auLo korelasl (MA) parslal auLokorelasl (A8)
ACl (MA) ACl (A8)
ACl CC8 (
,
1
) =
co (
t
,
t-1)
S
t
.S
t-1
=
co (
t
,
t-1)
u
t
AlC ln (
LSS
1
) =
2]
1
SS (c
2
)
Non stasioner
= y
1
+
a
L
1
drlfL
sLasloner SLasloner lL Lrend drlfL
= o
0
+ o
1
3
+b
1
3
+
= o
0
+ o
1
3
+o
2
+b
1
3
+
A8 (3)
A8 (3)
A8 y dl masa lampau
MA dr error
Cor (xy)
co (x,)
S
x
.S
j
y = non sLasloner
y < sLasloner
D|ckeyIu||er
1
= y
1
1
+
= (y )
1
+
= [
1
+
Po 0 non stasioner
H1: =0 stasioner
Augmented Dickey Fuller (ADF)
?L Lldak sLasloner
= [
1
+ y
1
1
+ y
2
2
+ .+y
k
k
+
Po 0 non sLasloner
P1 0 sLasloner
lla Po dlLerlma berarLl ?L Lldak sLasloner
= (
) - o sosonr -
l (1)
= [
1
+y
1
1
+y
2
2
++ y
z
z
+
= (
) - sosonr -
l (2)
= [
1
+y
1
1
+y
2
2
++ y
z
z
+
Menerlma P1
!lka y l (0)
A8MA (pq)
= y
1
1
+ y
2
2
+ +y
p
p
+0
1
1
+0
2
2
+ + 0
q
q
+
A8lMA (p1q)
? l(2) I
l(0)
A8lMA (p2q)
atau |eb|h var|abe|
1
,
2
unlvarlaLe analysls
MulLlvarlaLe analysls
1
= (
2
)
1
= o
0
+o
1
2
+
wblte oolse
1
I(0)
I(0)
1
I(1)
I(1)
2
I(0)
2
I(0)
1
I(1)
I(0)
2
I(1)
1
I(2)
I(0)
2
I(2)
I(1)
I(2)
1
I(1)
I(=0)
2
I(2)
- I()
= [
0
+ [
1
jangka panjang
(
[
0
[
1
) =
stasioner kombinasi linear
bila
dan
= o
0
+ o
1
1
+o
2
+ o
3
1
+
jangka pendek
= [
0
+ [
1
CLS [
0
+[
1
l(0)
l(1) l(0) l(1)
l(0)
l(0) l(0) l(1)
l(0)
l(0) l(1) l(0) l(0)
l(0)
(1 [
0
[
1
) colnLegrasl vecLor 0
operaslonal
l(0)
= o
0
+ o
1
1
+ o
2
2
+ o
3
3
+
l(0)
1
,
2
berkolnLegrasl ?
l(1) l(1) l(0)
1
= [
0
+ [
1
2
+
regres CLS
1
= , + ,
2
+
t (2,4) I(0)
0
= o
0
+ I + o
3
3
+
agalmana mengganLl o
1
1
+ o
2
2
men[adl Cl ?
o
1
1
+o
2
2
7
1
, ,
2
Lrror correcLlon
o
1
1
+o
2
2
(
1
, ,
2
)
!adl
= o
0
+ (
1
, ,
2
) +o
3
3
+
= o
0
+ o
1
1
+ o
2
2
+ o
3
3
+
= o
0
+ o
1
1
+o
1
11
+o
2
2
+ o
2
22
+o
3
3
+
1
=
1
11
1
=
1
+
11
[angka pan[ang
= o
0
+ o
1
1
+o
2
2
+ o
3
3
+(
11
, ,
21
) +
LCM
1
sama lnLegraslnya dg 1
, (x)
Lebl darl 1 varlabel
= o
0
+ o
1
1
+o
2
1
+ o
3
2
+
- I()
1
- I()
2
- I()
l(0) l(0) l(1) l(1) l(0)
= o
0
+ o
1
1
+o
2
1
+ o
3
2
+
+
1
= o
0
+o
1
1
+ o
2
1
+ o
3
2
+
= o
0
+ o
1
1
1
+ o
2
1
+ o
3
2
+
= o
0
+ (o
1
)
1
+ o
2
1
+ o
3
2
+
= o
0
+ (o
1
)
1
+ o
2
(
1
+
11
) + o
3
2
+
= o
0
+ (o
1
)
1
+ +o
2
11
+o
2
1
+ o
3
2
+
l(0) l(1) l(1) l(0) l(0)
ColnLegrasl ?
1
= [
0
+ [
1
11
+
(o
1
)
1
+ +o
2
11
7
1
[
0
[
1
11
+
7 y(
1
[
0
[
1
11
)
!adl
= o
0
+y(
1
[
0
[
1
11
) + o
2
1
+ o
3
2
+
= o
0
+ o
2
1
+o
3
2
+ y
1
+
= o
0
+ o
2
1
+o
3
2
+ y
1
+