UJI CE

Dependent Variable: RETURN_SAHAM

Method: Panel Least Squares
Date: 06/10/19 Time: 17:37
Sample: 2011 2015
Periods included: 5
Cross-sections included: 18
Total panel (balanced) observations: 90

Variable Coefficient Std. Error t-Statistic Prob.

C 7379.186 9099.753 0.810922 0.4197

TATO -0.003673 0.003289 -1.116821 0.2673
DER -0.001024 0.007154 -0.143186 0.8865
PBV 0.000987 0.005567 0.177270 0.8597
INFLASI -596.5533 571.8707 -1.043161 0.2999
KURS -0.372143 0.769098 -0.483870 0.6297

R-squared 0.034757 Mean dependent var -1211.439

Adjusted R-squared -0.022698 S.D. dependent var 11529.55
S.E. of regression 11659.67 Akaike info criterion 21.63000
Sum squared resid 1.14E+10 Schwarz criterion 21.79665
Log likelihood -967.3500 Hannan-Quinn criter. 21.69720
F-statistic 0.604944 Durbin-Watson stat 2.550040
Prob(F-statistic) 0.696274
UJI FE

Dependent Variable: RETURN_SAHAM

Method: Panel Least Squares
Date: 06/10/19 Time: 17:42
Sample: 2011 2015
Periods included: 5
Cross-sections included: 18
Total panel (balanced) observations: 90

Variable Coefficient Std. Error t-Statistic Prob.

C 7712.196 9271.674 0.831802 0.4085

TATO -0.001347 0.005323 -0.253018 0.8010
DER -0.003578 0.007715 -0.463757 0.6443
PBV 0.006624 0.008172 0.810560 0.4205
INFLASI -643.8071 580.6598 -1.108751 0.2715
KURS -0.471587 0.780540 -0.604181 0.5478

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.222268 Mean dependent var -1211.439

Adjusted R-squared -0.033106 S.D. dependent var 11529.55
S.E. of regression 11718.85 Akaike info criterion 21.79178
Sum squared resid 9.20E+09 Schwarz criterion 22.43062
Log likelihood -957.6300 Hannan-Quinn criter. 22.04940
F-statistic 0.870362 Durbin-Watson stat 3.178443
Prob(F-statistic) 0.630617
UJI RE

Method: Panel EGLS (Cross-section random effects)

Date: 06/10/19 Time: 17:45
Sample: 2011 2015
Periods included: 5
Cross-sections included: 18
Total panel (balanced) observations: 90
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.

C 7404.613 9154.060 0.808888 0.4209

TATO -0.003642 0.003350 -1.087383 0.2800
DER -0.001108 0.007210 -0.153728 0.8782
PBV 0.001094 0.005660 0.193358 0.8471
INFLASI -598.0633 574.9461 -1.040208 0.3012
KURS -0.374865 0.773214 -0.484814 0.6291

Effects Specification
S.D. Rho

Cross-section random 1113.336 0.0089

Idiosyncratic random 11718.85 0.9911

Weighted Statistics

R-squared 0.034561 Mean dependent var -1184.995

Adjusted R-squared -0.022906 S.D. dependent var 11481.89
S.E. of regression 11612.65 Sum squared resid 1.13E+10
F-statistic 0.601410 Durbin-Watson stat 2.570642
Prob(F-statistic) 0.698950

Unweighted Statistics

R-squared 0.034750 Mean dependent var -1211.439

Sum squared resid 1.14E+10 Durbin-Watson stat 2.549934
 1. PEMILIHAN METODE
Dari ketiga model yang telah di-estimasi akan dipilih model mana yang paling tepat/
sesuai dengan tujuan penelitian. Ada 3 uji yang dapat dijadikan alat dalam memilih
model regresi data panel ( CE, FE atau RE ) berdasarkan karekteristik data yang dimiliki,
yaitu : F test ( Chow Test ), Hausman Test dan Langrangge Multiplier ( LM) test.
Ketiga uji ini dilakukan pada jendela model 1 ( FE )
a) F Test ( Chow Test )
Dillakukan untuk membandingkan / memilih model yang mana terbaik antara CE
dan FE .

Redundant Fixed Effects Tests

Equation: Untitled
Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 0.950219 (17,67) 0.5218

Cross-section Chi-square 19.439847 17 0.3039

Cross-section fixed effects test equation:

Dependent Variable: RETURN_SAHAM
Method: Panel Least Squares
Date: 06/10/19 Time: 17:43
Sample: 2011 2015
Periods included: 5
Cross-sections included: 18
Total panel (balanced) observations: 90

Variable Coefficient Std. Error t-Statistic Prob.

C 7379.186 9099.753 0.810922 0.4197

TATO -0.003673 0.003289 -1.116821 0.2673
DER -0.001024 0.007154 -0.143186 0.8865
PBV 0.000987 0.005567 0.177270 0.8597
INFLASI -596.5533 571.8707 -1.043161 0.2999
KURS -0.372143 0.769098 -0.483870 0.6297

R-squared 0.034757 Mean dependent var -1211.439

Adjusted R-squared -0.022698 S.D. dependent var 11529.55
S.E. of regression 11659.67 Akaike info criterion 21.63000
Sum squared resid 1.14E+10 Schwarz criterion 21.79665
Log likelihood -967.3500 Hannan-Quinn criter. 21.69720
F-statistic 0.604944 Durbin-Watson stat 2.550040
Prob(F-statistic) 0.696274
perhatikanlah nilai Problitas ( Prob ) untuk Cross- section F. Jika nilainya > 0,005 maka model
yang terpilih adalah CE., tetapi jika < 0,005 maka model yang terpilih FE.
Pada tabel yang paling atas terlihat bahwa nilai Prob. Cross- section F sebesar 0.5218
yang nilainya > 0,05 sehingga dapat disimpulkan bahwa model FE lebih tepat dibandingkan
model CE.
b) Hausman Test
Dilakukan untuk membandingkan / memilih model mana yang terbaik antara FE
dan RE.

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 1.484441 5 0.9149

Cross-section random effects test comparisons:

Variable Fixed Random Var(Diff.) Prob.

TATO -0.001347 -0.003642 0.000017 0.5789

DER -0.003578 -0.001108 0.000008 0.3683
PBV 0.006624 0.001094 0.000035 0.3482
INFLASI -643.807144 -598.063303 6602.724470 0.5735
KURS -0.471587 -0.374865 0.011382 0.3646

Cross-section random effects test equation:

Dependent Variable: RETURN_SAHAM
Method: Panel Least Squares
Date: 06/10/19 Time: 17:46
Sample: 2011 2015
Periods included: 5
Cross-sections included: 18
Total panel (balanced) observations: 90

Variable Coefficient Std. Error t-Statistic Prob.

C 7712.196 9271.674 0.831802 0.4085

TATO -0.001347 0.005323 -0.253018 0.8010
DER -0.003578 0.007715 -0.463757 0.6443
PBV 0.006624 0.008172 0.810560 0.4205
 INFLASI -643.8071 580.6598 -1.108751 0.2715
KURS -0.471587 0.780540 -0.604181 0.5478

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.222268 Mean dependent var -1211.439

Adjusted R-squared -0.033106 S.D. dependent var 11529.55
S.E. of regression 11718.85 Akaike info criterion 21.79178
Sum squared resid 9.20E+09 Schwarz criterion 22.43062
Log likelihood -957.6300 Hannan-Quinn criter. 22.04940
F-statistic 0.870362 Durbin-Watson stat 3.178443
Prob(F-statistic) 0.630617

perhatikanlah nilai Problitas ( Prob ) untuk Cross- Random . Jika nilainya > 0,05 maka model
yang terpilih adalah RE., tetapi jika < 0,05 maka model yang terpilih FE
pada tabel di atas terlihat bahwa nilai Prob. Cross- Section random sebesar 0.9149 yang
nilainya > 0,05, sehingga dapat disimpulkan bahwa model RE lebih tepat dibandingkan dengan
model FE
1. uji Normalitas
50
Series: Standardized Residuals
Sample 2011 2015
40
Observations 90

30 Mean 1.19e-13
Median -254.5429
Maximum 24567.28
20 Minimum -84124.91
Std. Dev. 10167.81
10
Skewness -5.955907
Kurtosis 54.23955

0 Jarque-Bera 10377.69
-80000 -60000 -40000 -20000 0 20000
Probability 0.000000

2. uji asumsi multikorelasitas

TATO DER PBV INFLASI KURS

1 -0.07477 -0.03152 0.080136 0.076206
-0.07477 1 0.043911 -0.28837 -0.28645
-0.03152 0.043911 1 -0.06922 -0.02215
0.080136 -0.28837 -0.06922 1 0.088924
0.076206 -0.28645 -0.02215 0.088924 1

3. uji hetrodksitas

Dependent Variable: RESABS

Method: Panel Least Squares
Date: 06/10/19 Time: 19:03
Sample: 2011 2015
Periods included: 5
Cross-sections included: 18
Total panel (balanced) observations: 90

Variable Coefficient Std. Error t-Statistic Prob.

C -1164.990 7489.474 -0.155550 0.8768

TATO 0.004777 0.002707 1.764628 0.0813
DER -0.001357 0.005888 -0.230559 0.8182
PBV 0.000658 0.004582 0.143601 0.8862
INFLASI 439.3206 470.6733 0.933388 0.3533
KURS 0.047054 0.633000 0.074334 0.9409

R-squared 0.052932 Mean dependent var 3388.288

Adjusted R-squared -0.003442 S.D. dependent var 9579.917
S.E. of regression 9596.388 Akaike info criterion 21.24050
Sum squared resid 7.74E+09 Schwarz criterion 21.40716
Log likelihood -949.8226 Hannan-Quinn criter. 21.30771
F-statistic 0.938951 Durbin-Watson stat 1.162365
Prob(F-statistic) 0.460211
4. uji autokolerasi