104
Lampiran 2. Hasil regresi dengan asumsi common effect, fixed effect, dan random effect
1. Common Effect
Dependent Variable: LNAD? Method: Pooled Least Squares
Date: 050113 Time: 06:50 Sample: 2009 2011
Included observations: 3 Cross-sections included: 49
Total pool balanced observations: 147 Variable
Coefficient Std. Error
t-Statistic Prob.
SOL? 1.580817
0.426535 3.706182
0.0003 PROF?
0.327433 0.133846
2.446351 0.0157
UP? 0.833573
0.084153 9.905495
0.0000 REPU?
-0.631267 0.209696
-3.010389 0.0031
OA? 1.138788
0.670541 1.698311
0.0916 R-squared
-12.517273 Mean dependent var 4.239292
Adjusted R-squared -12.898041 S.D. dependent var
0.308224 S.E. of regression
1.149062 Akaike info criterion 3.149191
Sum squared resid 187.4889 Schwarz criterion
3.250907 Log likelihood
-226.4656 Hannan-Quinn criter. 3.190519
Durbin-Watson stat 0.188533
2. Fixed Effect
Dependent Variable: LNAD? Method: Pooled Least Squares
Date: 050113 Time: 06:51 Sample: 2009 2011
Included observations: 3 Cross-sections included: 49
Total pool balanced observations: 147 Variable
Coefficient Std. Error
t-Statistic Prob.
C 3.805217
0.507694 7.495103
0.0000 SOL?
0.167206 0.207327
0.806487 0.4220
PROF? 0.018597
0.023972 0.775797
0.4398 UP?
0.071252 0.140956
0.505490 0.6144
REPU? 0.141228
0.083339 1.694626
0.0935 OA?
-0.247212 0.131935
-1.873741 0.0641
Effects Specification Cross-section fixed dummy variables
R-squared 0.853487 Mean dependent var
4.239292 Adjusted R-squared
0.769990 S.D. dependent var 0.308224
S.E. of regression 0.147822 Akaike info criterion
-0.708749 Sum squared resid
2.032186 Schwarz criterion 0.389777
Log likelihood 106.0931 Hannan-Quinn criter.
-0.262406
105
F-statistic 10.22179 Durbin-Watson stat
2.538058 ProbF-statistic
0.000000
3. Random Effect
Dependent Variable: LNAD? Method: Pooled EGLS Cross-section random effects
Date: 050113 Time: 06:53 Sample: 2009 2011
Included observations: 3 Cross-sections included: 49
Total pool balanced observations: 147 Swamy and Arora estimator of component variances
Variable Coefficient
Std. Error t-Statistic
Prob. C
4.394452 0.140138
31.35799 0.0000
SOL? 7.68E-05
0.139264 0.000551
0.9996 PROF?
0.034610 0.019530
1.772169 0.0785
UP? -0.042590
0.040867 -1.042162
0.2991 REPU?
-0.014849 0.060545
-0.245251 0.8066
OA? -0.265852
0.121379 -2.190258
0.0301 Effects Specification
S.D. Rho
Cross-section random 0.256932
0.7513 Idiosyncratic random
0.147822 0.2487
Weighted Statistics R-squared
0.060687 Mean dependent var 1.336373
Adjusted R-squared 0.027378 S.D. dependent var
0.152368 S.E. of regression
0.150268 Sum squared resid 3.183836
F-statistic 1.821954 Durbin-Watson stat
1.719799 ProbF-statistic
0.112273 Unweighted Statistics
R-squared 0.083147 Mean dependent var
4.239292 Sum squared resid
12.71704 Durbin-Watson stat 0.430569
106
Lampiran 3. Skema Pemilihan Model Terbaik
Uji Signifikansi Fixed Effects vs Common Effects
Fixed Effects Signifikan?
Random Effects
Uji Signifikansi Fixed Effects vs Random Effects
ANALISIS REGRESI DATA PANEL
Pemilihan Teknik Estimasi Terbaik
KESIMPULAN Model
Common Effects
Model Random Effects
Model Fixed Effects
Estimasi Regresi Data Panel dengan Metode:
Common Effects, Fixed Effects atau Random Effects
Y a
T
Y a
Y a
Uji Signifikansi Random Effects vs Common Effects
T
Random Effects
T
107
Lampiran 4. Hasil pengujian pemilihan model terbaik
1 Uji Chao uji signifikansi model fixed effects
Redundant Fixed Effects Tests Pool: HERU
Test cross-section fixed effects Effects Test
Statistic d.f.
Prob. Cross-section F
9.524621 48,93
0.0000 Cross-section Chi-square
261.314441 48
0.0000
H0 : �1 = �2 = ⋯ = � Model common effect
H1 : �1 ≠ �2 ≠ ⋯ ≠ � Model fixed effect
atau
Ho: nilai intersep sama untuk setiap individu model common effect lebih
baik dari model fixed effect Ha:
nilai intersep berbeda untuk setiap individu model fixed effect lebih baik dari model common effect
Keputusan: Tolak Ho probabilitas kurang dari alpha = 5
Kesimpulan: Dengan tingkat kepercayaan 95 persen, telah cukup bukti untuk mengatakan bahwa nilai intersep berbeda untuk setiap individu
atau dengan kata lain Model Fixed Effect lebih baik dibandingkan Common Effect.
2 Uji signifikansi Haussman
Correlated Random Effects - Hausman Test Pool: HERU
Test cross-section random effects Test Summary
Chi-Sq. Statistic
Chi-Sq. d.f. Prob.
Cross-section random 0.000000
5 1.0000
H0 : � ��� , ��� = 0
H1 : � ��� , ��� ≠ 0
atau
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Ho: Model Random Effect lebih baik daripada model Fixed Effect
Ha: Model Fixed Effect lebih baik daripada model Random Effect
Keputusan : Tolak Ho
Kesimpulan : Dengan tingkat kepercayaan 95 persen, telah cukup bukti untuk
mengatakan bahwa model Fixed Effect lebih baik daripada model Random Effect
Sehingga bisa disimpulkan bahwa dengan berbagai uji tersebut, model fixed effect
dipilih sebagai model terbaik dan akan digunakan untuk pengujian dan analisis selanjutnya.
Lampiran 5. Hasil model terbaik
Dependent Variable: LNAD? Method: Pooled EGLS Cross-section weights
Date: 043013 Time: 22:19 Sample: 2009 2011
Included observations: 3 Cross-sections included: 49
Total pool balanced observations: 147 Linear estimation after one-step weighting matrix
Cross-section SUR PCSE standard errors covariance d.f. corrected WARNING: estimated coefficient covariance matrix is of reduced rank
Variable Coefficient
Std. Error t-Statistic
Prob. C
3.781807 0.065585
57.66310 0.0000
SOL? 0.157300
0.069309 2.269558
0.0255 PROF?
0.015442 0.003395
4.548989 0.0000
UP? 0.082523
0.030634 2.693817
0.0084 REPU?
0.108111 0.021036
5.139431 0.0000
OA? -0.042871
0.122324 -0.350474
0.7268 Fixed Effects Cross
_ABDA--C 0.173217
_ADMF--C -0.812772
_AHAP--C 0.340534
_AKSI--C -0.357514
_APIC--C 0.364942
_ARTA--C 0.286422
_ASBI--C 0.319964
_ASDM--C -0.261557
_ASJT--C 0.314910
_ASRM--C 0.284772
_BBLD--C 0.094004
_BCAP--C 0.192715
_BFIN--C -0.035723
_BTPN--C -0.125660
_CFIN--C 0.082460
_GSMF--C 0.085479
_LPPS--C 0.249172
_MTFN--C 0.454642
_PANS--C -0.035064
109 _PNIN--C
0.348299 _PNLF--C
0.260489 _TRIM--C
0.250289 _TRUS--C
0.353985 _INPC--C
-0.054410 _BNBA--C
0.144113 _BACA--C
0.103208 _BBKP--C
-0.029813 _BBCA--C
-0.089293 _BNGA--C
-0.616182 _BDMN--C
-0.807559 _SDRA--C
0.037382 _BABP--C
-0.041731 _BNII--C
-0.204669 _BKSW--C
0.167950 _BMRI--C
-0.240023 _BAEK--C
-0.060587 _MAYA--C
0.157498 _MEGA--C
-0.039131 _BCIC--C
0.645892 _BBNI--C
-0.556374 _BBNP--C
0.018176 _NISP--C
-1.106874 _PNBN--C
-0.036373 _BNLI--C
-0.553769 _BBRI--C
-0.177104 _BSWD--C
0.149254 _BVIC--C
0.172035 _BEKS--C
0.214013 _MCOR--C
-0.023634 Effects Specification
Cross-section fixed dummy variables Weighted Statistics
R-squared 0.993050 Mean dependent var
12.16437 Adjusted R-squared
0.989089 S.D. dependent var 13.74293
S.E. of regression 0.146059 Sum squared resid
1.984003 F-statistic
250.7115 ProbF-statistic
0.000000 Unweighted Statistics
R-squared 0.849034 Mean dependent var
4.239292 Sum squared resid
2.093946 Durbin-Watson stat 2.443590
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Lampiran 6. Uji asumsi klasik
1. NORMALITAS
Kategori