Struk Tur Model Panel
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![Page 1: Struk Tur Model Panel](https://reader036.fdocument.org/reader036/viewer/2022082204/55cf96a3550346d0338cd749/html5/thumbnails/1.jpg)
ANALISIS DATA PANEL
it i it ity Xα β ε= + +′ Struktur Model I Struktur Model II Struktur Model III/
Struktur Model V Struktur Model
IV Struktur Model VI
• Model Common/ Pool • 1 2 iα α α= = = • 1 2k k ikβ β β= = =
• Model Panel • 1 2 iα α α≠ ≠ ≠ • 1 2k k ikβ β β= = =
• Random Coef Mod • 1 2 iα α α≠ ≠ ≠ • 1 2k k ikβ β β≠ ≠ ≠
• Sama dengan Model III/ V
• Pers. Simultan • 1 2 iα α α≠ ≠ ≠ • 1 2k k ikβ β β≠ ≠ ≠
Homosedastik
2
2
2
0 00
0 0
II
V0
I
σσ
σ
⎡ ⎤⎢ ⎥⎢ ⎥=⎢ ⎥⎢ ⎥⎣ ⎦
Fixed Effek • LSDV • Fixed Effect
Model
Model III- Heterogenity coef • Estimator :GLS • Eviews: System
• Koef salah satu
Var Indp sama setiap individu
• Memperhitungkan
korelasi antar unit/ individu serta sifat exogenitas/ endogenitas
Heterosedastik (antar individu)
21
22
2
0 00 0
0 0 i
II
V
I
σσ
σ
⎡ ⎤⎢ ⎥⎢ ⎥=⎢ ⎥⎢ ⎥⎢ ⎥⎣ ⎦
Random Effect
Model V- Heterogenity coef & serial correlation • Estimator :GLS-
SUR • Eviews: System
Estimasi : • OLS • 2SLS • 3SLS
Heterosedastik & cros sec correlation (antar individu)
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11 12 1
21 22 2
1 2
n
n
n n nn
I I II I I
V
I I I
σ σ σσ σ σ
σ σ σ
⎡ ⎤⎢ ⎥⎢ ⎥=⎢ ⎥⎢ ⎥⎢ ⎥⎣ ⎦
ESTIMATOR: GLS/FGLS
( ) ( )11 1ˆ̂ ˆ ˆX V X X V yβ−
− −′ ′=
EVIEW : OBJECT POOL • Weight: no weight • Cross Heterosedastisity • Cross SUR • Periode Heterosedastisity • Periode SUR
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INPUT DATA:
• Setting workfile dattied –reguler frequency : Montly tahun 2001 s/d 2003
•
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Import file dari Excel : Perbankan.xls
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• Hasil dari import file excel ke dalam format Eviews
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SETTING DATA UNTUK ANALISIS DATA POOL & DATA PANEL • Object New Object Pool
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• Tuliskan indentifikasi data crossection
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STRUKTUR MODEL 1 (COMMMON/ POOL) • HOMOSEDASTIK:
o Weights : No weight o Method : LS-Least Square
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• HASILNYA:
• Option :
o Ordinary o White crossection : korelasi antara cross-equation dan varians error yang berbeda dlm setai cross equation o White periode : mengakomodasi : korelasi serial dan var berbeda antara disturbance o White Diagonal : heterisedastisity dalam disturebance
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• HETEROSEDASTIK
o ESTIMATOR : GLS/ WLS CROSS-SECTION WEIGHT
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• HASIL:
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• HETEROSEDASTIK & KORELASI SERIAL (SUR) o ESTIMATOR: CROSS-SECTION SUR
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• HASILNYA:
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STRUKTUR MODEL II (FIXED & RANDOM EFFECT) • Menggunakan data : konsumsi_gnr2.wf1
Inv CS F• Model : it i CSi it Fi it itα β β= + + +ε• Inv: investment (milyard Rp); CS: konsumsi (jutaan Rp); F: market value of firm(milyar Rp).
• Individu i = DKI, Jabar, Jawa Tengah, Jawa Timur, Bali LSDV
• Model: 1 2 3 4 52 3 4 5it i i i i CS it F it itInv D D D D CS Fα α α α α β β• D2=dummy DKI, D3=dummy JBR, D4=dummy JTG, D5=dummy JTM
ε= + + + + + + +
• Estimator : OLS (homosedastik)
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• Hasil:
o Investasi Bali: 92.53853 o Investasi DKI: 92.53853 – 168,6053= -76.0668 o ……. dst
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FIXED EFFECT MODEL • Model Umum: it i it ity Xα β ε′= + + • Model: it i CSi it Fi it itInv CS Fα β β ε= + + + • Estimator : OLS (homosedastik)
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• Hasil:
Koef Indv EffectC -62.5944 CS? 0.34666 F? 0.10598 Fixed Effects (Cross) _BAL--C 155.1329 92.53851_DKI--C -13.4724 -76.06674_JBR--C 33.22081 -29.37358_JTG--C -179.576 -242.17079_JTM--C 4.69498 -57.89941
Interpretasi: Bila mana ada perubahan Consumsi dan Market Value of Firm baik antar Daerah maupun antar waktu, maka Propinsi Bali akan mendapatkan penaruh Individu terhadap investasi sebesar : Rp 92,54 milayar
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RANDOM EFFECT MODEL • Model Umum: it it i ity Xα β μ ε′= + + + • Model: it i CSi it Fi it itInv CS Fα β β ε= + + + • Estimator : GLS
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• Hasil:
Interpretasi: Bila mana ada perubahan Consumsi dan Market Value of Firm baik antar Daerah maupun antar waktu, maka Propinsi Bali akan mendapatkan penaruh Individu terhadap investasi sebesar : Rp 151,86 milyar
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Uji Random dan Fixed Effect: untuk melihat apakah model mengikuti random effect atau fixed effect dengan Hausman test. Ho : random effect (individual effect uncorelated) H1 : Fixed effect. Statistik Uji: )()()'( 12 βββχ −−−= − bbVarbhit
Dimana : b= koefisien random effect; β=koefisien fixed effect Keputusan: Tolah Ho jika 2 2
( , )hit k αχ χ> (k=jumlah koef slope) atau p-value < α .
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• Hasil Pengujian
P-Value = 0,2081 > 5% Ho diterima Model Random Effect
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Model III- Heterogenity Coefisient y• Model Umum: ii i i iXα β +′= + i ivβ β= + ε , dimana:
• Model : 1 2 3 4 1it i i i i i itRDep RSBI RPuab RIntervensi RDepα β β β β ε= + + + + + • Contoh Data Perbankan- Asist 2.wf1 • Eviews: Object New Object System • Tuliskan persamaan system
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• Estimasi Koef GLS Weigted LS
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• Hasil
Iteration Option :
• Iterate coefficient to convergence tidak gunakan MLE • Simultanneous Updateing : gunakan MLE
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Model V- Heterogenity Coefisient dan korelasi antar Unit y X• Model Umum: ii i i iα β ε′= + +
• Model : 1 2 3 4 1it i i i i i itRDep RSBI RPuab RIntervensi RDepα β β β β ε= + + + + + • Contoh Data Perbankan- Asist 2.wf1 • Eviews: Object New Object System • Estimator: GLS- SUR
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• Hasil
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Model IV- Sama dengan Model III/ V (namun…) • Namun, Salah satu Koef Indpendent Var (mis. RSBI) sama setiap individu (bank) • Model : 1 2 3 4 1it i i i i itRDep RSBI RPuab RIntervensi RDepα β β β β ε= + + + + + • Contoh Data Perbankan- Asist 2.wf1 • Eviews: Object New Object System • Tulis Model persamaan system
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• Estimator: GLS- SUR (Weighted)
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PEMILIHAN MODEL: 1. MODEL II: RANDOM EFFEECT VS FIXED EFFECT
• Dengan Hausman Test sudah dijelaskan diatas
2. MODEL IV (KOEF VAR TERTENTU SAMA) VS MODEL V(KOEF INDP VAR BERBEDA) • Apakah sesungguhnya efek dari suatu var independent (RSBI) sama untuk semua Individu (bank) • Hipotesi:
• Ho: 11 1BNI BCA CITβ β= = =• H1: Model V dengan MLE
β ; yaitu Model IV – dengan MLE
• Statistik Uji : WALD TEST • Tolak Ho jika p-value < 5% (10%) • Contoh:
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• Kembali pada Model V:
• Lakukan restriksi pada uji wald: o C(1)=C(2)= C(3)= C(4)=C(5)=C(6)=C(7)=C(8)=C(9)=C(10)
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p-Value (0,3918) > 5% Ho diterima Model V –dengan MLE. Maka model lebih baik adalah model dimana effek RSBI seragap terhadap RDEP.
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3. MODEL II ( RANDOM EFFEECT) VS MODEL V (RANDOM KOEF)
• Menguji model manakah yang lebih baik Model II (efek individu α berbeda dan efek var β sama) dengan Model V(efek individu α berbeda dan efek var β berbeda )
• Hipotesi:
• Ho:
1 1 1
2 2 2
3 3 3
4 4 4
,,,
BNI BCA CIT
BNI BCA CIT
BNI BCA CIT
BNI BCA CIT
β β ββ β ββ β ββ β β
= = == = == = == = =
; yaitu Model II (random effek) dengan MLE
• H1: Model V dengan MLE • Statistik Uji : WALD TEST • Tolak Ho jika p-value < 5% (10%) • Contoh: Gunakan Model V • Lakukan restriksi
C(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)
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p-Value (0,000) < 5% , Ho ditolak moled V Model yang lebih baik adalah model dimana efek semua variable tidak seragam terhadap RDep dari setiap individu (bank).
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4. MODEL II (Model ada efek indv) VS MODEL I (tidak ada fixed effect)
• Menguji Model I(Common) yaitu tidak ada efek individu dengan Model II (fixed effek) yaitu ada efek individu • Hipotesi:
• Ho: BNI BCA CITα α= = =
BNI BCA
α ; yaitu Model I (common) – dengan GLS • H1: CITα α≠ ≠ ≠
• Statistik Uji : WALD TEST α ; yaitu Model II (fixed efek) - dengan GLS
• Tolak Ho jika p-value < 5% (10%) • Contoh: Gunakan Model II dengan system
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• Lakukan Restriksi: C(11)=C(12)= C(13)= C(14)=C(15)=C(16)=C(17)=C(18)=C(19)=C(20)
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• Hasilnya
p-Value (0,2897) > 5% Ho diterima Model I (common) yang lebih baik.
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PENENTUAN ESTIMATOR • Diatas telah dijelaskan penggunaan estimator OLG, WLS/ GLS, atau SUR tergantung pada struktur Covarian model tersebut
yaitu: homosedastik, heterosedastik maupun struktur adanya korelasi serial. • Oleh karena itu, perlu dilakukan pengujian jenis struktur covarian suatu model.
A. PEMILIHAN ESTIMATOR: STRUKTUR HETERO VS HOMO
• UJI LM ( Estimator FGLS dg MLE) o Hipotesis
Ho: 22iσ σ= (yaitu struktur homosedastik)
H1: 22iσ σ≠ (yaitu struktur heterosedastik)
o Statistik Uji LM:
22
21
ˆ1
ˆ2
ni
i
TLM σσ=
⎡ ⎤= −⎢ ⎥
⎣ ⎦∑ ( )1;n αχ −∼
dimana T=jml observasi, n=jml individu;
2iσ =varian residual persamaan ke-i; 2σ̂ =varian residual persamaan
system. o Keputusan Tolah Ho, jika LM test > ( )1;n αχ −∼
• UJI WALD ( Estimator FGLS)
o Hipotesis Ho: 22
iσ σ= (yaitu struktur homosedastik) H1: 22
iσ σ≠ (yaitu struktur heterosedastik) o Statistik Uji LM:
22
21
ˆ1
ˆ2
n
i i
TLM σσ=
⎡ ⎤= −⎢ ⎥
⎣ ⎦∑ ( )1;n αχ −∼
dimana T=jml observasi, n=jml individu;
2iσ =varian residual persamaan ke-i; 2σ̂ =varian residual persamaan
system.
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o Keputusan Tolah Ho, jika LM test > ( )1;n αχ −∼
• CONTOH: LM TEST o GUNAKAN MODEL V- DATA ASIST.WF1
'LM test for Choosing Estimator Hetero VS Homo 'Created by Sanjoyo (26/09/2007) for teaching assistance econometrics 2 'needed open workfile: asist2 pool_MOD5_LM.makeresid(n=residual) scalar T=pool_MOD5_LM.@regobs scalar n=pool_MOD5_LM.@ncross matrix residm = residual matrix rescov = (@transpose(residm)*residm)/T vector rescovd = @getmaindiagonal(rescov) scalar ssr =pool_MOD5_LM.@ssr vector LM1 = (rescovd/ssr-1) vector qform = (@transpose(LM1) * LM1)*T/2 if qform(1,1)>=0 then ' set table to store results table(4,2) result setcolwidth(result,1,20) setcell(result,1,1,"LM test for hetero versus homo") setline(result,2) !df=n-1 setcell(result,3,1,"chi-sqr(" +@str(!df) + ") = ")
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setcell(result,3,2,qform(1,1)) setcell(result,4,1,"p-value = ") setcell(result,4,2,1-@cchisq(qform(1,1),!df)) setline(result,5) show result else statusline "Quadratic form is negative" endif
• HASIL
LM test for hetero versus homo
chi-sqr(9) = 174.0019 p-value = 0.000000
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B. PEMILIHAN ESTIMATOR: STRUKTUR HETERO VS SUR
• UJI LR o Hipotesis
Ho: off diagonal =0 (yaitu struktur heterosedastik) H1: off diagonal 0 (yaitu struktur SUR) ≠
o Statistik Uji LM:
( )2
1
ˆˆlog logn
LR ii
Tλ σ=
⎡ ⎤= − Σ⎢ ⎥⎣ ⎦∑ ( )( )1 ;n n αχ −∼
dimana T=jml observasi, n=jml individu;
2iσ =varian residual persamaan ke-i; Σ̂ =determinan residual
covarians persamaan system. o Keputusan Tolah Ho, jika LM test > ( )1;n αχ −∼
• CONTOH: LR TEST o GUNAKAN MODEL V- DATA ASIST.WF1
'LR test for Choosing Estimator Hetero VS SUR 'Created by Sanjoyo (26/09/2007) for teaching assistance econometrics 2 'needed open workfile: asist2 pool_MOD5_Lr.makeresid(n=residual) scalar T=pool_MOD5_LR.@regobs scalar n=pool_MOD5_LR.@ncross matrix residm = residual matrix rescov = (@transpose(residm)*residm)/T vector rescovd = @getmaindiagonal(rescov) vector(n) ones=1
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vector lrescov =log(rescovd) vector sumdiag =@transpose(lrescov)*ones scalar rescovdet =log(@det(rescov)) vector qform = T*(sumdiag-rescovdet) if qform(1,1)>=0 then ' set table to store results table(4,2) result setcolwidth(result,1,20) setcell(result,1,1,"LR test for hetero versus SUR") setline(result,2) !df=n*(n-1)/2 setcell(result,3,1,"chi-sqr(" +@str(!df) + ") = ") setcell(result,3,2,qform(1,1)) setcell(result,4,1,"p-value = ") setcell(result,4,2,1-@cchisq(qform(1,1),!df)) setline(result,5) show result else statusline "Quadratic form is negative" endif LR test for hetero versus
SUR
chi-sqr(45) = 196.1543 p-value = 0.000000
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