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Uji Spesifikasi Model

1. Uji Chow

Redundant Fixed Effects Tests


Equation: Untitled
Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 2.394858 (67,199) 0.0000


Cross-section Chi-square 160.829670 67 0.0000

Jika dilihat dari hasil output di atas, dimana nilai chi-square


nya lebih kecil dari alpha 0,05, maka model yang tepat
menggunakan Fixed Effect Model

2. Uji Hausman

Correlated Random Effects - Hausman Test


Equation: Untitled
Test cross-section random effects

Chi-Sq.
Test Summary Statistic Chi-Sq. d.f. Prob.

Cross-section random 13.532090 5 0.0189

hasil dai uji hausman di atas dapat dilihat memiliki nilai


probabilitaas sebesar 0,0189, lebih kecil dari alpha 0,05
( 0,0189 < 0,05 ), maka model yang tepat adalah
menggunakan Fixed Effect Model

Hasil Uji dengan Fixed Effect Model

Dependent Variable: RETURN


Method: Panel Least Squares
Date: 01/05/17 Time: 10:01
Sample: 2012 2015
Periods included: 4
Cross-sections included: 68
Total panel (balanced) observations: 272

Variable Coefficient Std. Error t-Statistic Prob.

C -24617.19 19190.48 -1.282781 0.2011


CR 11.75857 26.48279 0.444008 0.6575
DER -12799.94 6590.888 -1.942067 0.0535
ROA 1191.258 348.4170 3.419058 0.0008
TATO 20155.06 13218.88 1.524719 0.1289
PBV 1431.703 1066.467 1.342473 0.1810

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.546593 Mean dependent var 5219.224


Adjusted R-squared 0.382546 S.D. dependent var 38890.00
S.E. of regression 30559.08 Akaike info criterion 23.71698
Sum squared resid 1.86E+11 Schwarz criterion 24.68471
Log likelihood -3152.509 Hannan-Quinn criter. 24.10549
F-statistic 3.331928 Durbin-Watson stat 1.719915
Prob(F-statistic) 0.000000

Uji Klasik

1. Uji Normalitas

160
Series: Standardized Residuals
140 Sample 2012 2015
Observations 272
120
Mean 4.01e-14
100
Median 410.9395
80
Maximum 209103.8
Minimum -201415.6
60 Std. Dev. 26186.79
Skewness 0.043637
40 Kurtosis 41.70165

20 Jarque-Bera 16975.36
Probability 0.000000
0
-200000 -100000 0 100000 200000

2. Uji Multikol
CR DER ROA TATO PBV
CR 1.000000 -0.436327 0.177405 -0.124037 -0.122640
DER -0.436327 1.000000 -0.162813 0.085197 0.141142
ROA 0.177405 -0.162813 1.000000 0.387370 0.687882
TATO -0.124037 0.085197 0.387370 1.000000 0.400088
PBV -0.122640 0.141142 0.687882 0.400088 1.000000

3. Uji Heteros
Dependent Variable: RESID_KUADRAT
Method: Panel Least Squares
Date: 01/05/17 Time: 10:13
Sample: 2012 2015
Periods included: 4
Cross-sections included: 68
Total panel (balanced) observations: 272

Variable Coefficient Std. Error t-Statistic Prob.

C 3.94E+08 6.12E+08 0.643875 0.5202


RETURN 61003.45 5151.791 11.84121 0.0000
CR -435302.3 1003050. -0.433979 0.6647
DER 3.88E+08 2.25E+08 1.729204 0.0849
ROA 27145854 26883682 1.009752 0.3135
TATO -1.02E+09 4.05E+08 -2.530928 0.0120
PBV 1.72E+08 37400522 4.588569 0.0000

R-squared 0.543146 Mean dependent var 6.83E+08


Adjusted R-squared 0.532802 S.D. dependent var 4.37E+09
S.E. of regression 2.98E+09 Akaike info criterion 46.49690
Sum squared resid 2.36E+21 Schwarz criterion 46.58970
Log likelihood -6316.578 Hannan-Quinn criter. 46.53415
F-statistic 52.50897 Durbin-Watson stat 0.769151
Prob(F-statistic) 0.000000

Apabila probabilitas dari masing-masing variabel bebas > 0,05


maka terjadi penerimaan terhadap H0. Sehingga tidak terdapat
heteroskedastis pada model tersebut atau hasilnya data dalam kondisi
homosedastis.

4. Uji Autokorelasi
Liat durbin watsonnya.

Durbin-
Watson stat 1.719915