Nama
: Suci Safitriani
NIM
: 09.6147
Kelas
: 4 SE3
Soal Quiz 3
Data yang digunakan adalah data yang berasal dari 609 perusahaan yang
dengan series waktu 1998-2008. Variabel-variabel yang digunakan terdiri atas nilai
produksi, tenaga kerja, capital dan bahan baku. Dan dalam pengolahannya, variabelvariabel tersebut di logaritma naturalkan. Berikut ini adalah hasil pengolahan dengan
menggunakan eviews :
Output :
Obs
23800
23800
23800
24220
dapat dikatakan bahwa data sudah stasioner sehingga bisa dilanjutkan ke proses
pengolahan selanjutnya.
2. Estimasi Model
Model Pooled
Model Common effect merupakan teknik yang paling sederhana untuk
mengestimasi data panel, yaitu dengan mengkombinasikan data time series dan cross
section dengan metode Ordinary Least Square (OLS). Dalam pendekatan ini, tidak
memperhatikan dimensi individu maupun waktu. Sehingga diasumsikan intersep dan
slope antar individu tetap sepanjang waktu dan individu.
Y it = + ' X it + it
Persamaan Umum :
Output :
Coefficient
Std. Error
t-Statistic
Prob.
C
LNL_30?
LNK_30?
LNM_30?
LNK_30?*LNL_30?
3.923850
0.336357
0.035424
0.616664
0.004378
R-squared
0.869777
Adjusted R-squared 0.869699
S.E. of regression
0.593968
Sum squared resid
2361.629
Log likelihood
-6013.259
F-statistic
11177.52
Prob(F-statistic)
0.000000
0.179383
0.043808
0.012361
0.004774
0.002972
21.87414
7.677954
2.865730
129.1794
1.473101
0.0000
0.0000
0.0042
0.0000
0.1408
14.55332
1.645467
1.796763
1.801846
1.798519
0.531390
Output :
Coefficient
Std. Error
t-Statistic
Prob.
C
LNL_30?
LNK_30?
LNM_30?
LNK_30?*LNL_30?
5.700524
0.248196
-0.011129
0.575883
-0.000710
0.155975
0.036903
0.009460
0.006194
0.002324
36.54767
6.725620
-1.176420
92.96837
-0.305684
0.0000
0.0000
0.2395
0.0000
0.7599
Effects Specification
Cross-section fixed (dummy variables)
R-squared
0.959743
14.55332
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.955695
0.346352
730.0735
-2081.074
237.0787
0.000000
1.645467
0.804321
1.427452
1.019517
1.437555
dummy
Output :
Coefficient
C
LNL_30?
LNK_30?
LNM_30?
LNK_30?*LNL_30?
5.040776
0.316948
-0.012714
0.597252
0.001472
Std. Error
t-Statistic
0.146339 34.44592
0.035106 9.028410
0.009245 -1.375315
0.005496 108.6784
0.002265 0.649808
Prob.
0.0000
0.0000
0.1691
0.0000
0.5158
Effects Specification
S.D.
Cross-section random
Idiosyncratic random
0.408319
0.346352
Rho
0.5816
0.4184
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.713664
0.713493
0.357459
4171.031
0.000000
3.605993
0.667818
855.3384
1.236149
Unweighted Statistics
R-squared
Sum squared resid
0.855214
2625.732
14.55332
0.402679
Statistic
d.f.
Prob.
22.369882 (608,6086)
7864.37000
0.0000
Cross-section Chi-square
Cross-section fixed effects test equation:
Dependent Variable: LNY_30?
608
0.0000
Coefficient
Std. Error
t-Statistic
Prob.
3.923850
0.336357
0.035424
0.616664
0.004378
0.179383
0.043808
0.012361
0.004774
0.002972
21.87414
7.677954
2.865730
129.1794
1.473101
0.0000
0.0000
0.0042
0.0000
0.1408
R-squared
0.869777
Adjusted R-squared 0.869699
S.E. of regression
0.593968
Sum squared resid
2361.629
Log likelihood
-6013.259
F-statistic
11177.52
Prob(F-statistic)
0.000000
Statistik Uji : F =
14.55332
1.645467
1.796763
1.801846
1.798519
0.531390
(RSS1RSS2 )/(N 1)
(RSS 2)/(NT Nk )
Dimana : RSS1 = Sum Square Resid pooled model, RSS2 = Sum Square Resid
uji F nya 0,00 dan lebih kecil dari alpha = 5% sehingga dapat disimpulkan bahwa
model fixed effect lebih baik digunakan daripada model pooled.
Hipotesis :
Output :
Cross-section random
440.226889
Prob.
0.0000
Random
Var(Diff.)
Prob.
LNL_30?
LNK_30?
LNM_30?
(LNK_30?
0.248196 0.316948
-0.011129 -0.012714
0.575883 0.597252
0.000129
0.000004
0.000008
0.0000
0.4294
0.0000
*LNL_30?)
-0.000710
0.000000
0.0000
Fixed
0.001472
Coefficient
Std. Error
t-Statistic
Prob.
C
LNL_30?
5.700524
0.248196
0.155975
0.036903
36.54767
6.725620
0.0000
0.0000
LNK_30?
-0.011129
LNM_30?
0.575883
LNK_30?*LNL_30? -0.000710
0.009460 -1.176420
0.006194 92.96837
0.002324 -0.305684
0.2395
0.0000
0.7599
Effects Specification
Cross-section fixed (dummy variables)
R-squared
0.959743
Adjusted R-squared 0.955695
S.E. of regression
0.346352
Sum squared resid
730.0735
Log likelihood
-2081.074
F-statistic
237.0787
Prob(F-statistic)
0.000000
14.55332
1.645467
0.804321
1.427452
1.019517
1.437555
Statistik Uji :
'
2
(
X hitung = b ) Var
Dimana : b= koefisien random effect; =koefisien fixed effect
2
2
Tolak Ho jika X hitung > X k , (k=jumlah koef slope) atau p-value <
kurang dari alpha 5% sehingga diperoleh model terbaik yang digunakan untuk data
ini adalah FIXED EFFECT MODEL (FEM).
4. Pemilihan Estimator
Uji LM (Heteroskedastis vs Homoskedastis)
Hipotesis :
2
2
Ho : i=
2
2
H1 : i
Output :
3348.500
0.000000
Statistik Uji :
2
LM =
n
i
T
( 2 1) X (n1,)
2 i=1
X (n1, )
Coefficient
Std. Error
t-Statistic
Prob.
C
LNL_30?
LNK_30?
LNM_30?
LNK_30?*LNL_30?
4.983707
0.182928
-0.009014
0.641990
-0.000327
0.099668
0.022731
0.005790
0.004995
0.001459
50.00324
8.047643
-1.556819
128.5368
-0.224289
0.0000
0.0000
0.1196
0.0000
0.8225
Effects Specification
Cross-section fixed (dummy variables)
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.984378
0.982807
0.340977
626.6249
0.000000
22.41908
11.83751
707.5897
1.349710
Unweighted Statistics
R-squared
Sum squared resid
0.958943
744.5808
14.55332
1.438758
Lampiran :
Random Effect
_1--C
_2--C
_3--C
_4--C
_5--C
_6--C
_7--C
_8--C
_9--C
_10--C
_11--C
_12--C
_13--C
_14--C
_15--C
_16--C
_17--C
_18--C
_19--C
_20--C
_21--C
_22--C
_23--C
_24--C
_25--C
_26--C
_27--C
_28--C
_29--C
_30--C
_31--C
_32--C
_33--C
_34--C
_35--C
_36--C
_37--C
_38--C
_39--C
_40--C
_41--C
_42--C
_43--C
_44--C
_45--C
_46--C
_47--C
_48--C
_49--C
_50--C
_51--C
_52--C
_53--C
_54--C
_55--C
-0.184164
0.056264
-0.244613
-0.120153
0.044157
-0.173715
0.743540
-0.167695
0.344795
-0.053677
0.324038
0.106637
0.710463
0.938371
0.078749
0.050713
0.905453
0.643211
0.356384
0.649270
1.171264
0.461360
0.447439
0.447330
0.330393
0.480367
0.532342
0.397759
0.071642
-0.116818
-0.087054
-0.102039
-0.248820
-0.120554
-0.110880
-0.115877
-0.157926
0.335928
-0.221769
0.190057
0.221738
-0.264027
0.223545
-0.363568
0.066870
-0.337466
-0.203057
0.520053
0.045857
0.137783
0.406097
0.850776
1.530906
1.006929
1.057786
_204--C
_205--C
_206--C
_207--C
_208--C
_209--C
_210--C
_211--C
_212--C
_213--C
_214--C
_215--C
_216--C
_217--C
_218--C
_219--C
_220--C
_221--C
_222--C
_223--C
_224--C
_225--C
_226--C
_227--C
_228--C
_229--C
_230--C
_231--C
_232--C
_233--C
_234--C
_235--C
_236--C
_237--C
_238--C
_239--C
_240--C
_241--C
_242--C
_243--C
_244--C
_245--C
_246--C
_247--C
_248--C
_249--C
_250--C
_251--C
_252--C
_253--C
_254--C
_255--C
_256--C
_257--C
_258--C
1.557996
1.110788
-0.077363
-0.170898
-0.250871
-0.258666
0.068738
-0.125148
-0.310263
0.365909
0.127111
0.378453
-0.677130
-0.360533
-0.281347
-0.392143
-0.475579
-0.377696
-0.454246
-0.057038
-0.180709
-0.261408
-0.228611
-0.189643
-0.151347
-0.277730
-0.079951
-0.083907
-0.122808
-0.255302
-0.735563
-0.291777
-0.225223
-0.423486
0.070196
1.532391
-0.334930
-0.359718
-0.323838
-0.363008
0.172504
0.250925
-0.225298
0.052596
-0.137545
0.708346
-0.421393
-0.058375
-0.276907
-0.263358
0.708651
-0.393297
0.456970
0.491042
-0.569420
_407--C
_408--C
_409--C
_410--C
_411--C
_412--C
_413--C
_414--C
_415--C
_416--C
_417--C
_418--C
_419--C
_420--C
_421--C
_422--C
_423--C
_424--C
_425--C
_426--C
_427--C
_428--C
_429--C
_430--C
_431--C
_432--C
_433--C
_434--C
_435--C
_436--C
_437--C
_438--C
_439--C
_440--C
_441--C
_442--C
_443--C
_444--C
_445--C
_446--C
_447--C
_448--C
_449--C
_450--C
_451--C
_452--C
_453--C
_454--C
_455--C
_456--C
_457--C
_458--C
_459--C
_460--C
_461--C
0.050854
0.312085
0.203026
-0.161983
0.157799
-0.522037
-0.013894
-0.489142
-0.021984
-0.179110
0.644385
-0.323347
0.228211
-0.294373
0.557884
0.107561
-0.361189
0.113011
-0.621699
-0.480737
-0.393616
-0.457961
-0.289650
1.067360
0.241062
-0.090227
0.109453
-0.067586
2.269500
0.513683
0.418408
0.808294
-0.025717
0.049210
0.027113
1.054636
0.491314
0.869275
-0.129330
0.057795
-0.112936
0.115493
-0.098917
-0.726489
0.589618
-0.007466
-0.185343
0.982675
-0.049088
0.016760
-0.093884
-0.013827
-0.080389
-0.075825
-0.200917
Fixed effect
_1--C
_2--C
_3--C
_4--C
_5--C
_6--C
_7--C
_8--C
_9--C
_10--C
_11--C
_12--C
_13--C
_14--C
_15--C
_16--C
_17--C
_18--C
_19--C
_20--C
_21--C
_22--C
_23--C
_24--C
_25--C
_26--C
_27--C
_28--C
_29--C
_30--C
_31--C
_32--C
_33--C
_34--C
_35--C
_36--C
_37--C
_38--C
_39--C
_40--C
_41--C
_42--C
_43--C
_44--C
_45--C
_46--C
_47--C
_48--C
_49--C
_50--C
_51--C
_52--C
_53--C
_54--C
_55--C
-0.321019
-0.069825
-0.380227
-0.244172
-0.073930
-0.329471
1.133240
-0.251124
0.305934
-0.124793
0.498413
0.093048
1.022983
1.220815
0.014378
0.015799
1.321807
0.864826
0.812450
1.051533
1.536097
0.603840
0.456616
0.561337
0.296873
0.516010
0.577870
0.460207
0.016946
-0.201314
-0.166278
-0.187935
-0.353726
-0.206988
-0.199138
-0.200201
-0.249095
0.341477
-0.256095
0.123640
0.142458
-0.226018
0.644056
-0.434685
0.022808
-0.448494
-0.333006
0.566908
0.065582
0.115378
0.480276
0.816892
1.660804
0.955648
1.062721
_204--C
_205--C
_206--C
_207--C
_208--C
_209--C
_210--C
_211--C
_212--C
_213--C
_214--C
_215--C
_216--C
_217--C
_218--C
_219--C
_220--C
_221--C
_222--C
_223--C
_224--C
_225--C
_226--C
_227--C
_228--C
_229--C
_230--C
_231--C
_232--C
_233--C
_234--C
_235--C
_236--C
_237--C
_238--C
_239--C
_240--C
_241--C
_242--C
_243--C
_244--C
_245--C
_246--C
_247--C
_248--C
_249--C
_250--C
_251--C
_252--C
_253--C
_254--C
_255--C
_256--C
_257--C
_258--C
1.542903
1.092581
-0.047497
-0.140827
-0.268774
-0.345134
0.054648
0.071146
-0.354797
0.869521
0.324158
0.923352
-0.806292
-0.393659
-0.308264
-0.532950
-0.627456
-0.410279
-0.592327
-0.081222
-0.284636
-0.317776
-0.270196
-0.190155
-0.266391
-0.330624
-0.135298
-0.029484
-0.126296
-0.264591
-0.908487
-0.343977
-0.264571
-0.508193
0.071639
2.076636
-0.450242
-0.462802
-0.364326
-0.460926
0.312386
0.565125
-0.263087
0.034302
0.092397
1.038470
-0.512059
0.122633
-0.162132
-0.106014
1.150769
-0.208362
0.889570
0.682618
-0.718602
_407--C
_408--C
_409--C
_410--C
_411--C
_412--C
_413--C
_414--C
_415--C
_416--C
_417--C
_418--C
_419--C
_420--C
_421--C
_422--C
_423--C
_424--C
_425--C
_426--C
_427--C
_428--C
_429--C
_430--C
_431--C
_432--C
_433--C
_434--C
_435--C
_436--C
_437--C
_438--C
_439--C
_440--C
_441--C
_442--C
_443--C
_444--C
_445--C
_446--C
_447--C
_448--C
_449--C
_450--C
_451--C
_452--C
_453--C
_454--C
_455--C
_456--C
_457--C
_458--C
_459--C
_460--C
_461--C
0.223373
0.290879
0.563650
-0.108857
0.331073
-0.382831
-0.031502
-0.487657
0.039111
-0.225170
0.807424
-0.397230
0.220150
-0.420696
0.865024
0.117341
-0.399963
0.087539
-0.669996
-0.281768
-0.497904
-0.577502
-0.366674
1.440225
0.219859
-0.119323
0.040479
-0.109489
2.417289
0.895587
0.737610
1.137916
-0.138859
0.045552
0.217408
1.008423
0.378803
0.818904
-0.164602
0.053881
0.011209
-0.012911
-0.142261
-0.904478
0.542522
0.055391
-0.231627
1.385036
-0.108764
0.191011
-0.152511
-0.079341
-0.143382
-0.147887
-0.117776