Pengaruh Volatilitas Nilai Tukar Rupiah Terhadap Permintaan Uang M1 Indonesia, Estimasi Data Non Stasioner
These techniques are less dependent Johansenâ€™s maximum likelihood of cointegraÂ¬tion but more depend on the ordinary least squares (OLS) estimation of the equation inÂ¬cluded in the ECM. The dynamic OLS estimation proposed by Phillips and Loretan in 1991 is used to estimate cointegration. Meanwhile, Vector auto regression (VAR) is used to foreÂ¬cast the model which have an interelation time series. Since it desirable to include national income and exchange rate as regressor in the money demand function. To estimate demand function in the short run is used autoregressive distributed lag ECM ADL ECM) which known Hendry type ECM.
The results have found that there are non stationary condition in the time series data in. Meanwhile, the estimation with VAR, DOLS and ADL ECM is suggested that volaÂ¬tility of exchange rate impact to demand for Indonesian M1 money.
Key words:Â Â Â volatility of exchange rate rupiah, demand for Indonesian M1 money, non statioÂ¬nary estimation.
Economic Journal of Emerging Markets (EJEM)
ISSN 2086-3128 (print), ISSN 2502-180X (online)
Center for Economic Studies, Department of Economics,
Universitas Islam Indonesia, Indonesia.
EJEM by http://journal.uii.ac.id/JEP/ is licensed under a Creative Commons Attribution 4.0 International License.