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    The document provides descriptive statistics and results from panel data regression analyses using common effect, fixed effect, random effect and tests for model selection which are Chow test, Hausman test and Lagrange Multiplier test. It examines the relationship between variables X1, X2, X3 and the dependent variable Y using data from 17 cross-sections over 7 time periods.

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    The document provides descriptive statistics and results from panel data regression analyses using common effect, fixed effect, random effect and tests for model selection which are Chow test, Hausman test and Lagrange Multiplier test. It examines the relationship between variables X1, X2, X3 and the dependent variable Y using data from 17 cross-sections over 7 time periods.

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    The document provides descriptive statistics and results from panel data regression analyses using common effect, fixed effect, random effect and tests for model selection which are Chow test, Hausman test and Lagrange Multiplier test. It examines the relationship between variables X1, X2, X3 and the dependent variable Y using data from 17 cross-sections over 7 time periods.

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    Download as docx, pdf, or txt
    3 views7 pages

    Output Eviews

    Uploaded by

    soueusyr
    The document provides descriptive statistics and results from panel data regression analyses using common effect, fixed effect, random effect and tests for model selection which are Chow test, Hausman test and Lagrange Multiplier test. It examines the relationship between variables X1, X2, X3 and the dependent variable Y using data from 17 cross-sections over 7 time periods.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
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    of 7

    Output Descriptive Statistic

    X1 X2 X3 Y
    Mean 0.796218 0.167602 31.07058 2.919947
    Median 0.700000 0.149723 31.03723 2.844472
    Maximum 2.560000 0.363100 33.19881 3.876252
    Minimum 0.130000 0.055200 29.34688 1.633154
    Std. Dev. 0.521483 0.073167 0.942670 0.386717
    Skewness 1.118399 0.538691 0.259854 0.304313
    Kurtosis 4.187370 2.364765 2.252131 3.669361

    Jarque-Bera 31.79834 7.756199 4.112461 4.058249


    Probability 0.000000 0.020690 0.127935 0.131451

    Sum 94.75000 19.94469 3697.399 347.4736


    Sum Sq. Dev. 32.08940 0.631699 104.8579 17.64692

    Observations 119 119 119 119

    Output Common Effect


    Dependent Variable: Y
    Method: Panel Least Squares
    Date: 05/20/24 Time: 10:35
    Sample: 2010 2016
    Periods included: 7
    Cross-sections included: 17
    Total panel (balanced) observations: 119

    Variable Coefficient Std. Error t-Statistic Prob.

    C 8.206895 1.080694 7.594094 0.0000


    X1 0.269417 0.061395 4.388262 0.0000
    X2 -1.112297 0.444245 -2.503793 0.0137
    X3 -0.171063 0.034322 -4.984012 0.0000

    R-squared 0.273517 Mean dependent var 2.919947


    Adjusted R-squared 0.254565 S.D. dependent var 0.386717
    S.E. of regression 0.333886 Akaike info criterion 0.677002
    Sum squared resid 12.82019 Schwarz criterion 0.770418
    Log likelihood -36.28159 Hannan-Quinn criter. 0.714935
    F-statistic 14.43230 Durbin-Watson stat 1.353468
    Prob(F-statistic) 0.000000
    Output Fixed Effect
    Dependent Variable: Y
    Method: Panel Least Squares
    Date: 05/20/24 Time: 10:39
    Sample: 2010 2016
    Periods included: 7
    Cross-sections included: 17
    Total panel (balanced) observations: 119

    Variable Coefficient Std. Error t-Statistic Prob.

    C 6.635499 3.344187 1.984189 0.0500


    X1 0.123492 0.158889 0.777222 0.4389
    X2 -1.503389 0.803909 -1.870100 0.0644
    X3 -0.114639 0.105714 -1.084426 0.2808

    Effects Specification

    Cross-section fixed (dummy variables)

    R-squared 0.546234 Mean dependent var 2.919947


    Adjusted R-squared 0.459147 S.D. dependent var 0.386717
    S.E. of regression 0.284402 Akaike info criterion 0.475276
    Sum squared resid 8.007576 Schwarz criterion 0.942356
    Log likelihood -8.278926 Hannan-Quinn criter. 0.664942
    F-statistic 6.272320 Durbin-Watson stat 2.171682
    Prob(F-statistic) 0.000000
    Output Uji Chow
    Redundant Fixed Effects Tests
    Equation: Untitled
    Test cross-section fixed effects

    Effects Test Statistic d.f. Prob.

    Cross-section F 3.718734 (16,99) 0.0000


    Cross-section Chi-square 56.005338 16 0.0000

    Cross-section fixed effects test equation:


    Dependent Variable: Y
    Method: Panel Least Squares
    Date: 05/20/24 Time: 10:41
    Sample: 2010 2016
    Periods included: 7
    Cross-sections included: 17
    Total panel (balanced) observations: 119

    Variable Coefficient Std. Error t-Statistic Prob.

    C 8.206895 1.080694 7.594094 0.0000


    X1 0.269417 0.061395 4.388262 0.0000
    X2 -1.112297 0.444245 -2.503793 0.0137
    X3 -0.171063 0.034322 -4.984012 0.0000

    R-squared 0.273517 Mean dependent var 2.919947


    Adjusted R-squared 0.254565 S.D. dependent var 0.386717
    S.E. of regression 0.333886 Akaike info criterion 0.677002
    Sum squared resid 12.82019 Schwarz criterion 0.770418
    Log likelihood -36.28159 Hannan-Quinn criter. 0.714935
    F-statistic 14.43230 Durbin-Watson stat 1.353468
    Prob(F-statistic) 0.000000

    Berdasarkan tabel diatas, diketahui probabilitas Cross Section Chi-Square sebesar 0,00 < 0,05.
    Maka model yang dipilih adalah Fixed Effect Model. (Bab 4)

    Tahapan setelah Uji Chow >>> Melakukan Uji Hausman (Karena yg dipilih fixed effect
    model)
    Output Random Effect
    Dependent Variable: Y
    Method: Panel EGLS (Cross-section random effects)
    Date: 05/20/24 Time: 10:54
    Sample: 2010 2016
    Periods included: 7
    Cross-sections included: 17
    Total panel (balanced) observations: 119
    Swamy and Arora estimator of component variances

    Variable Coefficient Std. Error t-Statistic Prob.

    C 7.857814 1.729149 4.544325 0.0000


    X1 0.230070 0.094121 2.444419 0.0160
    X2 -1.321257 0.573604 -2.303432 0.0231
    X3 -0.157693 0.054805 -2.877330 0.0048

    Effects Specification
    S.D. Rho

    Cross-section random 0.199689 0.3302


    Idiosyncratic random 0.284402 0.6698

    Weighted Statistics

    R-squared 0.130960 Mean dependent var 1.384036


    Adjusted R-squared 0.108290 S.D. dependent var 0.298639
    S.E. of regression 0.282006 Sum squared resid 9.145671
    F-statistic 5.776654 Durbin-Watson stat 1.892555
    Prob(F-statistic) 0.001026

    Unweighted Statistics

    R-squared 0.269089 Mean dependent var 2.919947


    Sum squared resid 12.89833 Durbin-Watson stat 1.341933
    Output Uji Hausman
    Correlated Random Effects - Hausman Test
    Equation: Untitled
    Test cross-section random effects

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

    Cross-section random 1.070603 3 0.7842

    Cross-section random effects test comparisons:

    Variable Fixed Random Var(Diff.) Prob.

    X1 0.123492 0.230070 0.016387 0.4051


    X2 -1.503389 -1.321257 0.317248 0.7464
    X3 -0.114639 -0.157693 0.008172 0.6339

    Cross-section random effects test equation:


    Dependent Variable: Y
    Method: Panel Least Squares
    Date: 05/20/24 Time: 10:56
    Sample: 2010 2016
    Periods included: 7
    Cross-sections included: 17
    Total panel (balanced) observations: 119

    Variable Coefficient Std. Error t-Statistic Prob.

    C 6.635499 3.344187 1.984189 0.0500


    X1 0.123492 0.158889 0.777222 0.4389
    X2 -1.503389 0.803909 -1.870100 0.0644
    X3 -0.114639 0.105714 -1.084426 0.2808

    Effects Specification

    Cross-section fixed (dummy variables)

    R-squared 0.546234 Mean dependent var 2.919947


    Adjusted R-squared 0.459147 S.D. dependent var 0.386717
    S.E. of regression 0.284402 Akaike info criterion 0.475276
    Sum squared resid 8.007576 Schwarz criterion 0.942356
    Log likelihood -8.278926 Hannan-Quinn criter. 0.664942
    F-statistic 6.272320 Durbin-Watson stat 2.171682
    Prob(F-statistic) 0.000000

    Berdasarkan tabel diatas, diketahui probabilitas Cross Section Random sebesar 0,78 > 0,05.
    Maka model yang dipilih adalah Random Effect Model.

    Tahapan Setelah Uji Hausman >>> Melakukan Uji Lagrange Multiplier (Jika yang dipilih
    Random Effect Model dan Berbeda dengan Uji Chow)
    Output Uji LM
    Lagrange Multiplier Tests for Random Effects
    Null hypotheses: No effects
    Alternative hypotheses: Two-sided (Breusch-Pagan) and one-sided
    (all others) alternatives

    Test Hypothesis
    Cross-section Time Both

    Breusch-Pagan 24.38185 0.974970 25.35682


    (0.0000) (0.3234) (0.0000)

    Honda 4.937798 -0.987406 2.793349


    (0.0000) (0.8383) (0.0026)

    King-Wu 4.937798 -0.987406 1.736619


    (0.0000) (0.8383) (0.0412)

    Standardized Honda 6.019885 -0.776666 -0.240828


    (0.0000) (0.7813) (0.5952)

    Standardized King-Wu 6.019885 -0.776666 -1.155629


    (0.0000) (0.7813) (0.8761)

    Gourieroux, et al. -- -- 24.38185


    (0.0000)

    Model yang diambil adalah Breusch-Pagan.


    Berdasarkan tabel diatas, diketahui probabilitas Cross Section Breusch-Pagan sebesar 24,38 >
    0,05. Maka terima HO yang berarti metode estimasi yang terbaik adalah Common Effect.

    Persamaan Regresi
    Estimation Command:
    =========================
    LS Y C X1 X2 X3

    Estimation Equation:
    =========================
    Y = C(1) + C(2)*X1 + C(3)*X2 + C(4)*X3

    Substituted Coefficients:
    =========================
    Y = 8.20689499975 + 0.269416957825*X1 - 1.11229672003*X2 - 0.171063394176*X3

    Interpretasikan:
    1. Konstanta sebesar 8.20689499975 Menunjukkan bahwa variable x1,x2,x3 tidak
    mengalami perubahan, maka besarnya Y sebesar 8.20689499975
    2. Koefisien regresi X1 sebesar 0.269416957825 artinya jika x1 mengalami peningkatan
    sebesar satu satuan maka Y akan mengalami peningkatan sebesar itu (2x lipat)
    (berpengaruh dgn Y)
    3. Koefisien regresi X2 sebesar 1.11229672003
    4. Koefisien regresi X3 sebesar 0.171063394176

    Tanda negative/positive menunjukkan arah hubungan bukan besarnya pengaruh


    X1 : Kalo X naik Y naik
    X2 : Kalo X naik Y turun

    Perusahaan Apa Yang Paling Mempengaruhi??


    EMITEN Effect
    1 AALI 0.020133
    2 ADRO -0.307312
    3 ASII 0.000540
    4 CPIN -0.139453
    5 GGRM 0.064047
    6 INDF -0.209341
    7 INTP 0.090886
    8 JSMR 0.108725
    9 KLBF 0.408147
    10 LPKR 0.132053
    11 LSIP -0.156258
    12 PGAS -0.138686
    13 PTBA -0.321578
    14 SMGR -0.022020
    15 TLKM 0.149410
    16 UNTR -0.176398
    17 UNVR 0.497104

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