SPURIOUS REGRESSION ANALYSIS ON TIME SERIES DATA FROM FACTORS AFFECTING INDONESIAN HUMAN DEVELOPMENT INDEXS IN 1990 – 2017

In a spurious regression conditions occur linear regression equations that are not stationary on the mean and variance. If the variables are not stationary, there will be cointegration, so it can be concluded that there is a long-term equilibrium relationship between the two research variables and in the short term there is a possibility of an imbalance, so to overcome it in this study using the Error Correction Model. The purpose of this study is to apply a cointegration test to see whether there is a long-term non-equilibrium relationship between the time series between the Human Development Index and life expectancy at birth, average school year for adults aged 25 years and over and gross national income per capita. The data used in this study are time series data between 1990-2017. The statistical management is carried out using Eviews 10. Based on the results obtained, it was concluded that 81.7% and it can be said that the types of independent variables included in the model are already good, because only 18.3% of the diversity of the dependent variable is influenced by the independent variables outside this research model. Keywords: spurious regression, stationary, cointegration, error correction model, equilibrium

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Credit Risk Determinants in Indonesia

EFFICIENT Indonesian Journal of Development Economics ◽

10.15294/efficient.v1i2.30153 ◽

2018 ◽

Vol 1 (2) ◽

pp. 106-115

Author(s):

Amin Yusuf Efendi

Keyword(s):

Time Series ◽

Interest Rate ◽

Credit Risk ◽

Error Correction ◽

Error Correction Model ◽

Series Data ◽

Short Term ◽

Correction Model ◽

Spurious Regression

Credit is the main business of the banking industry, therefore, in running the business, the bank is always overshadowed by the credit risk the which can be determined by the ratio of non-performing loans (NPL). The development of technology, finance digital brings the outside could impact on the financial industry both positive and negative. The purpose of this study was to analyze the interest rate, inflation, exchange rates, gross domestic product (GDP), a dummy finance digitalization policies in the long term and the short term of the non-performing loan (NPL) of conventional commercial banks in Indonesia The analytical method used in this research is-EG Error Correction Model (ECM), The Data used in this research is secondary quarterly time series data from the 2008 quarter 1-2017 4. The time series of data are not stationar Often that can cause spurious regression results, the exact models used is-EG Error Correction Model (ECM), This models may explain the behavior of short-term and long-term. The results Showed in the short-term variable interest rates significanly to non-performing loans, while in the long-term variable interest rate, exchange rate, and GDP Significantly, non-performing loans. Kredit merupakan bisnis utama dari industri perbankan, oleh karena itu dalam menjalankan bisnisnya, bank selalu dibayangi oleh risiko kredit yang dapat diketahui melalui rasio non-performing loans (NPL). Perkembangan teknologi, menghadirkan digital finance yang membawa dampak luar bisa terhadap industri keuangan baik positif dan negatif. Tujuan dari penelitian ini adalah untuk menganalisis suku bunga, inflasi, kurs, produk domestik bruto (PDB) dummy kebijakan digitalisasi keuangan dalam jangka panjang dan jangka pendek terhadap non-performing loan (NPL) bank umum konvensional di Indonesia Metode analisis yang digunakan dalam penelitian ini adalah Error Correction Model-EG (ECM). Data yang digunakan dalam penelitian ini adalah data sekunder runtut waktu kuartalan dari 2008 kuartal 1 – 2017 kuartal 4. Data runtun waktu sering tidak stationar sehingga bisa menyebabkan hasil regresi palsu (spurious regression), Model yang tepat digunakan adalah Error Correction Model-EG (ECM), model ini dapat menjelaskan perilaku jangka pendek dan jangka panjang. Hasil penelitian menunjukkan dalam jangka pendek variabel suku bunga berpengaruh secara signifikan terhadap non performing loan, sedangkan dalam jangka panjang variabel suku bunga, kurs, dan PDB berpengaruh secara signifikan terhadap non perfoming loan.

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PENGARUH ZIS (ZAKAT, INFAK, SEDEKAH) DAN ZAKAT FITRAH TERHADAP PENURUNAN KEMISKINAN DI INDONESIA PERIODE 1998 - 2010

Media Ekonomi ◽

10.25105/me.v20i1.779 ◽

2017 ◽

Vol 20 (1) ◽

pp. 83

Author(s):

Jumadin Lapopo

Keyword(s):

Time Series ◽

Developing Countries ◽

Regression Analysis ◽

Poverty Reduction ◽

Time Series Data ◽

Secondary Data ◽

Series Data ◽

Analysis Model ◽

Independent Variables

Poverty is being a problem in all developing countries including Indonesia. Among goverment programs, poverty has become the center offattention in policy at both of the regional and national levels. Looking at thephenomenon of poverty, Islam present with solution to reduce poverty through Zakat. This study aims to analyze the effect of ZIS and Zakat Fitrah against poverty in Indonesia in 1998 until 2010, data used in this study is secondary data and uses time series data, for the dependent variabel is poverty and for independent variables are ZIS and Zakat Fitrah. The analysis tools used in this study is to use multiple regression analysis model and the assumptions of classical test using the software Eviews-4. In this study also concluded that the ZIS variables significantly affect to the reduction of poverty in Indonesia although the effect is very small. In the variable Zakat Fitrah not significantly affect poverty reduction in Indonesia because of the nature of Zakat Fitrah is for consumption and not for long-term needs. The results of this study can be used for the management of zakat to be able to develop the management and to get a better system for distribution of zakat so that the main purpose of zakat can be achieved to reduce poverty. Keywords : Poverty, Zakat Fitrah, ZIS.

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The Long-Run and Short-Run Impacts of Investment, Export, Money Supply, and Inflation on Economic Growth In Indonesia

Journal of Economics Business and Accountancy Ventura ◽

10.14414/jebav.v22i1.1589 ◽

2019 ◽

Vol 22 (1) ◽

Author(s):

Erni Panca Kurniasih

Keyword(s):

Economic Growth ◽

Time Series ◽

Error Correction ◽

Money Supply ◽

Time Series Data ◽

Error Correction Model ◽

Series Data ◽

Correction Model ◽

Long Run ◽

Short Term Investment

ABSTRACTThe development of investment and exports in Indonesia shows an increase, as well as money supply, while the inflation rate shows a decline, but this is not always followed by increasing economic growth. This study aims to explain the relationship between investment, export, money supply and inflation with the economic growth in Indonesia. The data used was time series data from the first quarter in 2001 to the fourth quarter in 2014 and was analyzed using multiple regression models with Error Correction Model (ECM) and classical assumptions. The study findings show that in short-term investment, export, money supply and inflation are not significant to economic growth. In long-run, investment has negative and significant effect on the economic growth, while export, money supply and inflation have positive and significant effect on the economic growth in Indonesia. Bank Indonesia must applied a tight money policy consistently to achieve the long-term inflation target ABSTRAKPerkembangan investasi dan ekspor di Indonesia menunjukkan peningkatan, demikian pula jumlah uang beredar, sementara tingkat inflasi menunjukkan penurunan, namun hal tersebut tidak selalu diikuti dengan meningkatnya pertumbuhan ekonomi. Studi ini bertujuan untuk menjelaskan hubungan antara investasi, ekspor neto, jumlah uang beredar dan inflasi terhadap pertumbuhan ekonomi di Indonesia. Data yang digunakan adalah data time series dari kuartal pertama tahun 2001 hingga kuartal keempat tahun 2014 dan dianalisa dengan menggunakan model regresi berganda dengan Error Correction Model (ECM). Hasil studi menunjukkan bahwa investasi, ekspor, jumlah uang beredar dan inflasi tidak signifikan terhadap pertumbuhan ekonomi di Indonesia dalam jangka pendek. Investasi berpengaruh negatif dan signifikan terhadap pertumbuhan ekonomi di Indonesia dalam jangka panjang, sedangkan ekspor , jumlah uang beredar dan inflasi berpengaruh positif dan signifikan terhadap pertumbuhan ekonomi di Indonesia. Bank Indonesia harus menerapkan kebijakan moneter yang ketat secara konsisten pada pencapaian sasaran inflasi jangka menenngah

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ANALISIS PENGARUH VARIABEL MAKROEKONOMI DAN COUNTRY RISK TERHADAP INVESTASI PORTOFOLIO ASING DI INDONESIA

Ecosains: Jurnal Ilmiah Ekonomi dan Pembangunan ◽

10.24036/ecosains.11066657.00 ◽

2018 ◽

Vol 7 (2) ◽

pp. 135

Author(s):

Halifah Hadi ◽

Hasdi Aimon ◽

Dewi Zaini Putri

Keyword(s):

Economic Growth ◽

Time Series ◽

Time Series Data ◽

Country Risk ◽

Growth Effect ◽

Series Data ◽

Short Term ◽

Correction Model ◽

The Stability

The reseach aims to explain the effect of country risk and variabels macroeconomics to the foreign portofolio invesment in Indonesia in short term and long term. The analysis takes time series time series data from 2006 quarter 1 through 2016 quarter 4by using Error Correction Model (ECM). The source of data are Badan Pusat Statistik, Bank Indonesia, FX Sauder and World Bank. The result are in the short term the exchange rate and economic growth effect the shock that will influence the foreign portofolio invesment. In the long trem the inflation, interst rate, money supply and country risk influence on foreign portofolio invesment significanly. The suggestion in this research is, the goverment sould keep the stability balance of payment in Indonesia .Any change, the condition of balance of payments effect appreciation and depreciation to Rupiah. To increase the economic growth in Indonesia, goverment could increasing the fiscal income and PMDN realization that will increase the enterprises productivity.

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INTERAKSI ASPEK PERMODALAN, RISIKO PEMBIAYAAN, DAN INDIKATOR MAKROEKONOMI DALAM MEMPENGARUHI PROFITABILITAS BPRS DI INDONESIA PERIODE 2014-2018

Jurnal Benefita ◽

10.22216/jbe.v5i3.5623 ◽

2020 ◽

Vol 5 (3) ◽

pp. 401

Author(s):

Feri Irawan

Keyword(s):

Economic Growth ◽

Time Series ◽

Error Correction ◽

Error Correction Model ◽

Series Data ◽

Short Term ◽

Correction Model ◽

Long Run ◽

Short And Long Term

ABSTRACTThis study aims to analyze the effect of capital aspects (CAR), financing risk (NPF) and macroeconomic variables including economic growth, inflation and the BI Rate on profitability (ROE) in the short and long term. By using time series data for the monthly period from 2013-2018 and the Error-Correction Model (ECM) and cointegration approach, it is found that CAR and NPF do not have a significant effect on ROE in the short and long term. Economic growth, inflation and the BI Rate in the short term do not have a significant effect on ROE, in the long run economic growth, inflation and the BI Rate have a significant effect on ROE. In the short term, economic growth, inflation and the BI Rate disturb the balance of profitability, but in the long run it returns to its equilibrium level. It is necessary to integrate the BPRS policy strategy in managing capital and risk with government policies related to economic growth and inflation. ABSTRACTPenelitian bertujuan menganalisis pengaruh aspek permodalan (CAR), risiko pembiayaan (NPF) dan variabel makroekonomi yang meliputi pertumbuhan ekonomi, inflasi dam BI Rate terhadap profitabilitas (ROE) dalam jangka pendek dan jangka panjang. Dengan menggunakan data time series periode bulanan dari tahun 2013-2018 dan pendekatan Error-Correction Model (ECM) dan kointegrasi, ditemukan bahwa CAR dan NPF tidak berpengaruh secara signifikan terhadap ROE dalam jangka pendek dan jangka panjang. Pertumbuhan ekonomi, inflasi dan BI Rate dalam jangka pendek tidak berpengaruh signifikan terhadap ROE, dalam jangka panjang pertumbuhan ekonomi, inflasi dan BI Rate berpengaruh signfikan terhadap ROE. Pada jangka pendek, pertumbuhan ekonomi, inflasi dan BI Rate menggangu keseimbangan profitabilitas namun dalam jangka panjang kembali pada tingkat keseimbangannya. Diperlukan pengintegrasi strategi kebijakan BPRS dalam mengelola permodalan dan risiko dengan kebijakan pemerintah terkait dengan pertumbuhan ekonomi dan inflasi.

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PROFITABILITY OF ISLAMIC MICROFINANCE IN INDONESIA: DOES THE TYPE OF FINANCING MATTER?

Mutanaqishah : Journal of Islamic Banking ◽

10.54045/mutanaqishah.v1i1.306 ◽

2021 ◽

Vol 1 (1) ◽

pp. 31-38

Author(s):

Chitra Yuliashri Katili ◽

Rifadli D. Kadir

Keyword(s):

Time Series ◽

Error Correction ◽

Significant Influence ◽

Time Series Data ◽

Error Correction Model ◽

Series Data ◽

Correction Model ◽

Islamic Microfinance

This study aims to examine the effect of Inflation Variables, CAR, NPF, Murabahah Financing, Mudharabah Financing, and Musyarakah Financing on the Profitability of Sharia BPRs in Indonesia. This study uses time series data from 2016-2020. The data is processed using the Error Correction Model (ECM). This study concludes that Murabahah Financing Variables have a significant influence and other variables, namely Inflation, CAR, NPF, Mudharabah Financing and Musyarakah Financing have no effect on the Profitability of Sharia BPRs in Indonesia. Thus, the type of financing affects the profitability of Sharia BPR in Indonesia

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Analisis Pengeluaran Sektor Pariwisata terhadap Ketimpangan Upah Tenaga Kerja di Indonesia

Jurnal Ekonomi dan Pembangunan Indonesia ◽

10.21002/jepi.v0i0.1074 ◽

2019 ◽

pp. 100-118

Author(s):

Lalu Muhammad Azmi Prasetya ◽

M. Pudjihardjo ◽

Nurul Badriyah

Keyword(s):

Time Series ◽

Error Correction ◽

Wage Inequality ◽

Foreign Investment ◽

Time Series Data ◽

Government Expenditure ◽

Error Correction Model ◽

Series Data ◽

Correction Model ◽

Foreign Tourist

This study analyses the effect of foreign tourist expenditure, government expenditure and foreign investment on wage inequality between skilled, semi-skilled and unskilled labour in the Indonesian tourism sector. The study uses time series data with a period of 22 years. The method used is Error Correction Model (ECM). The results of this study indicate that foreign tourist expenditure and government expenditure increase inequality in the short term, but in the long run can reduce wage inequality. Meanwhile, foreign investment increases inequality both in the short and long term. ================================ Penelitian ini menganalisis pengaruh pengeluaran wisatawan mancanegara, pengeluaran pemerintah dan investasi asing terhadap ketimpangan upah antara tenaga kerja terampil, semi terampil, dan tidak terampil di sektor pariwisata Indonesia. Penelitian menggunakan data time series dengan periode waktu 22 tahun. Metode yang digunakan adalah Error Correction Model (ECM). Hasil penelitian ini menunjukkan bahwa pengeluaran wisatawan dan pemerintah meningkatkan ketimpangan dalam jangka pendek, namun dalam jangka panjang mampu menurunkan ketimpangan upah. Investasi asing meningkatkan ketimpangan, baik dalam jangka pendek maupun jangka panjang.

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Analisis Kekakuan dan Faktor-faktor yang Memengaruhi Tingkat Suku Bunga Perbankan di Indonesia

Jurnal Kebijakan Ekonomi ◽

10.21002/jke.v8i2.26 ◽

2013 ◽

Vol 8 (2) ◽

pp. 26

Author(s):

Eko Listiyanto ◽

Telisa Aulia Falianty

Keyword(s):

Time Series ◽

Interest Rate ◽

Interest Rates ◽

Error Correction ◽

Time Series Data ◽

Error Correction Model ◽

Least Square ◽

Capital Adequacy ◽

Series Data ◽

Correction Model

ABSTRACTThe research discusses the rigidity of interest rates on deposits and loans to changes in interest rate policies in the three groups of banks in Indonesia, and the factors that influence the interest rates on deposits and loans in the banking system. Rigidity of bank interest rates were analyzed with error correction model approach (Error Correction Model / ECM) using panel data. While the factors that influence the development of the banking interest rates were analyzed with multiple linear regression approach method of Generalized Least Square (GLS) using time series data. The period of data used from July 2005-March 2010.Error Correction Model shows the slackness of interest rates response on deposits and loans toward the policy of interest rate. The rigidity of interest rates on deposits and loans in Indonesia is relatively slow when compared to some other countries.Regression results with GLS method proves that the banking efficiency factor, bad credit and market share significantly influence the interest rates on deposits. While the borrowing rate is influenced by the rate of inflation, capital adequacy ratio, as well as bad credit. The results of this study suggest the importance of watching bad credit factors in making monetary policy because it can affect the interest rates on deposits and lending interest rates. ABSTRAKPenelitian ini membahas kekakuan suku bunga deposito dan pinjaman untuk perubahan kebijakan suku bunga dalam tiga kelompok bank di Indonesia, dan faktor-faktor yang mempengaruhi suku bunga deposito dan pinjaman dalam sistem perbankan. Kekakuan suku bunga perbankan dianalisis dengan pendekatan error correction model (Error Correction Model / ECM) menggunakan data panel. Sedangkan faktor-faktor yang mempengaruhi perkembangan suku bunga perbankan dianalisis dengan metode pendekatan regresi linier berganda dari Generalized Least Square (GLS) dengan menggunakan data time series. Periode data yang digunakan dari Juli 2005-Maret 2010.Error Correction Model menunjukkan kelambanan dari suku bunga respon deposito dan pinjaman terhadap kebijakan tingkat suku bunga. Kekakuan suku bunga deposito dan pinjaman di Indonesia relatif lambat jika dibandingkan dengan beberapa negara lain.Hasil regresi dengan metode GLS membuktikan bahwa faktor efisiensi perbankan, kredit macet dan pangsa pasar secara signifikan mempengaruhi suku bunga deposito. Sementara tingkat pinjaman dipengaruhi oleh tingkat inflasi, rasio kecukupan modal, serta kredit macet. Hasil penelitian ini menunjukkan pentingnya menonton faktor kredit macet dalam membuat kebijakan moneter karena dapat mempengaruhi suku bunga deposito dan suku bunga kredit.

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Moving forward with time series analysis

Research & Politics ◽

10.1177/2053168017732231 ◽

2017 ◽

Vol 4 (4) ◽

pp. 205316801773223

Author(s):

Peter K. Enns ◽

Nathan J. Kelly ◽

Takaaki Masaki ◽

Patrick C. Wohlfarth

Keyword(s):

Time Series ◽

Time Series Analysis ◽

Error Correction ◽

Time Series Data ◽

Error Correction Model ◽

Series Data ◽

Correction Model ◽

Standard Procedures ◽

Cointegration Tests ◽

General Error

In a recent Research and Politics article, we showed that for many types of time series data, concerns about spurious relationships can be overcome by following standard procedures associated with cointegration tests and the general error correction model (GECM). Matthew Lebo and Patrick Kraft (LK) incorrectly argue that our recommended approach will lead researchers to identify false (i.e., spurious) relationships. In this article, we show how LK’s response is incorrect or misleading in multiple ways. Most importantly, when we correct their simulations, their results reinforce our previous findings, highlighting the utility of the GECM when estimated and interpreted correctly.

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PENGARUH GUNCANGAN OUTPUT GAP DAN INFLASI TERHADAP SUKU BUNGA SEBAGAI SASARAN OPERASIONAL KEBIJAKAN MONETER DI INDONESIA

Signifikan Jurnal Ilmu Ekonomi ◽

10.15408/sjie.v1i2.2601 ◽

2012 ◽

Vol 1 (2) ◽

Author(s):

Utami Baroroh

Keyword(s):

Time Series ◽

Interest Rate ◽

Error Correction ◽

Time Series Data ◽

Series Data ◽

Output Gap ◽

Vector Error Correction Model ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error

The objectives of this study are to observe interest rate response because shock/innovation of inflation and output gap. The data sample used in this study are quarterly time series data from 1983.1 – 2008.4. Those data are SBI interest rate, inflation (CPI) and output gap. A method of analysis in this study is Vector Error Correction Model (VECM). The empirical results of impulse response show that the effect of inflation and output gap shock to interest rate is positifDOI: 10.15408/sjie.v1i2.2601

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