FEM
Dependent Variable: Y
Method: Panel EGLS (Cross-section weights)
Date: 07/23/22 Time: 10:00
Sample: 2014 2020
Periods included: 7
Cross-sections included: 10
Total panel (balanced) observations: 70
Linear estimation after one-step weighting matrix
Cross-section SUR (PCSE) standard errors & covariance (d.f. corrected)
Variable Coefficient Std. Error t-Statistic Prob.
C 7.154687 0.523250 13.67356 0.0000
X1 4.30E-06 7.61E-07 5.643545 0.0000
X2 0.436409 0.061008 7.153359 0.0000
X3 0.000102 1.90E-05 5.374794 0.0000
Effects Specification
Cross-section fixed (dummy variables)
Weighted Statistics
R-squared 0.984416 Mean dependent var 25.68465
Adjusted R-squared 0.981136 S.D. dependent var 18.49335
S.E. of regression 0.168025 Sum squared resid 1.609249
F-statistic 300.0586 Durbin-Watson stat 2.589463
Prob(F-statistic) 0.000000
Unweighted Statistics
R-squared 0.937010 Mean dependent var 12.70473
Sum squared resid 1.917422 Durbin-Watson stat 2.646494
CEM
Dependent Variable: Y
Method: Panel Least Squares
Date: 07/23/22 Time: 09:56
Sample: 2014 2020
Periods included: 7
Cross-sections included: 10
Total panel (balanced) observations: 70
Variable Coefficient Std. Error t-Statistic Prob.
C 6.826157 0.665336 10.25971 0.0000
X1 6.73E-06 6.45E-07 10.43416 0.0000
X2 0.405467 0.067125 6.040449 0.0000
X3 0.000212 3.16E-05 6.721221 0.0000
R-squared 0.867249 Mean dependent var 12.70473
Adjusted R-squared 0.861215 S.D. dependent var 0.664197
S.E. of regression 0.247439 Akaike info criterion 0.100141
Sum squared resid 4.040926 Schwarz criterion 0.228627
Log likelihood 0.495051 Hannan-Quinn criter. 0.151177
F-statistic 143.7239 Durbin-Watson stat 1.879679
Prob(F-statistic) 0.000000
REM
Dependent Variable: Y
Method: Panel EGLS (Cross-section random effects)
Date: 07/23/22 Time: 09:59
Sample: 2014 2020
Periods included: 7
Cross-sections included: 10
Total panel (balanced) observations: 70
Swamy and Arora estimator of component variances
Variable Coefficient Std. Error t-Statistic Prob.
C 6.672808 0.598172 11.15533 0.0000
X1 5.67E-06 5.75E-07 9.876356 0.0000
X2 0.447414 0.060478 7.397933 0.0000
X3 0.000161 2.59E-05 6.222026 0.0000
Effects Specification
S.D. Rho
Cross-section random 0.076726 0.1571
Idiosyncratic random 0.177706 0.8429
Weighted Statistics
R-squared 0.794532 Mean dependent var 8.368366
Adjusted R-squared 0.785193 S.D. dependent var 0.475683
S.E. of regression 0.220466 Sum squared resid 3.207953
F-statistic 85.07281 Durbin-Watson stat 1.947367
Prob(F-statistic) 0.000000
Unweighted Statistics
R-squared 0.857939 Mean dependent var 12.70473
Sum squared resid 4.324311 Durbin-Watson stat 1.444637
Uji LM
- Estimasi varians residual persamaan ke-i
0,0259 0,0042 -0,0060 -0,0082 0,0258 -0,0381 -0,0055 0,0162 -0,0194 0,0018
0,0042 0,0013 -0,0021 -0,0027 0,0063 -0,0087 -0,0015 0,0040 -0,0067 -35125567272,3816
-0,0060 -0,0021 0,0060 0,0066 -0,0078 0,0115 0,0024 -0,0055 0,0161 0,0021
-0,0082 -0,0027 0,0066 0,0078 -0,0107 0,0153 0,0032 -0,0077 0,0163 0,0020
0,0258 0,0063 -0,0078 -0,0107 0,0429 -0,0417 -0,0081 0,0261 -0,0384 0,0026
-0,0381 -0,0087 0,0115 0,0153 -0,0417 0,0801 0,0096 -0,0253 0,0340 -0,0028
-0,0055 -0,0015 0,0024 0,0032 -0,0081 0,0096 0,0019 -0,0052 0,0074 -1947038030,0602
0,0162 0,0040 -0,0055 -0,0077 0,0261 -0,0253 -0,0052 0,0165 -0,0222 0,0009
-0,0194 -0,0067 0,0161 0,0163 -0,0384 0,0340 0,0074 -0,0222 0,0730 0,0028
0,0018 -35125567272,3816 0,0021 0,0020 0,0026 -0,0028 -1947038030,0602 0,0009 0,0028 0,0018
- Estimasi varians residual model = 1,609249
- T = 7 (2014-2020)
- N = 10
[ ]
2
N i−1
σ^ 2i
- ∑∑ σ^
2
−1 = 10
i=1 j=1
[ ]
2
T
N i−1
σ^ 2i
- LM = ∑ ∑ 2 −1 = 10 ×3,5 = 35
2 i=1 j =1 σ^
- χ 2(N −1 ) = χ 2(9) = 16,91898
- Keputusan: Tolak H0
- Kesimpulan: Dengan tingkat signifikansi 5 persen dapat disimpulkan bahwa struktur
varians-kovarians residual bersifat heteroskedastis.
Uji λ LM
- Residual coefficient correlation antara persamaan ke-i dan ke-j
1,0000 0,5324 0,2298 0,3342 0,5968 0,6993 0,6230 0,6150 0,1995 0,0720
0,5324 1,0000 0,5643 0,7057 0,7233 0,7295 0,9282 0,7454 0,4785 0,0005
0,2298 0,5643 1,0000 0,9344 0,2390 0,2787 0,5049 0,3084 0,5923 0,3973
0,3342 0,7057 0,9344 1,0000 0,3450 0,3766 0,6953 0,4557 0,4653 0,2791
0,5968 0,7233 0,2390 0,3450 1,0000 0,5064 0,8132 0,9612 0,4712 0,0836
0,6993 0,7295 0,2787 0,3766 0,5064 1,0000 0,6168 0,4852 0,1976 0,0543
0,6230 0,9282 0,5049 0,6953 0,8132 0,6168 1,0000 0,8896 0,4047 0,0000
0,6150 0,7454 0,3084 0,4557 0,9612 0,4852 0,8896 1,0000 0,4088 0,0297
0,1995 0,4785 0,5923 0,4653 0,4712 0,1976 0,4047 0,4088 1,0000 0,0575
0,0720 0,0005 0,3973 0,2791 0,0836 0,0543 0,0000 0,0297 0,0575 1,0000
N i−1
T ∑ ∑ r ij = 144,4066
2
-
i=2 j=1
2
- χ N (N −1 ) = χ 2(45) = 61,65623338
( )
2
- Keputusan: Tolak H0
- Kesimpulan: Dengan tingkat signifikansi 5 persen dapat disimpulkan bahwa struktur
varians-kovarians residual bersifat heteroskedastis dan ada cross sectional correlation
REVISI
UJI CHOW
Redundant Fixed Effects Tests
Equation: Untitled
Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 18.942873 (9,58) 0.0000
Cross-section Chi-square 95.972191 9 0.0000
Cross-section fixed effects test equation:
Dependent Variable: LOGY
Method: Panel Least Squares
Date: 07/28/22 Time: 21:55
Sample: 2014 2020
Periods included: 7
Cross-sections included: 10
Total panel (balanced) observations: 70
Variable Coefficient Std. Error t-Statistic Prob.
C 2.056727 0.774823 2.654448 0.0099
LOGX1 0.433787 0.074555 5.818367 0.0000
LOGX2 0.528284 0.092066 5.738110 0.0000
R-squared 0.744397 Mean dependent var 12.70473
Adjusted R-squared 0.736767 S.D. dependent var 0.664197
S.E. of regression 0.340775 Akaike info criterion 0.726722
Sum squared resid 7.780543 Schwarz criterion 0.823086
Log likelihood -22.43528 Hannan-Quinn criter. 0.764999
F-statistic 97.56244 Durbin-Watson stat 0.772593
Prob(F-statistic) 0.000000
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 10.963743 2 0.0042
Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob.
LOGX1 0.140551 0.184723 0.000184 0.0011
LOGX2 0.552371 0.586739 0.001038 0.2862
Cross-section random effects test equation:
Dependent Variable: LOGY
Method: Panel Least Squares
Date: 07/28/22 Time: 21:57
Sample: 2014 2020
Periods included: 7
Cross-sections included: 10
Total panel (balanced) observations: 70
Variable Coefficient Std. Error t-Statistic Prob.
C 5.141137 0.928763 5.535466 0.0000
LOGX1 0.140551 0.052509 2.676690 0.0097
LOGX2 0.552371 0.081367 6.788605 0.0000
Effects Specification
Cross-section fixed (dummy variables)
R-squared 0.935116 Mean dependent var 12.70473
Adjusted R-squared 0.922811 S.D. dependent var 0.664197
S.E. of regression 0.184534 Akaike info criterion -0.387166
Sum squared resid 1.975052 Schwarz criterion -0.001710
Log likelihood 25.55082 Hannan-Quinn criter. -0.234058
F-statistic 75.99163 Durbin-Watson stat 2.456762
Prob(F-statistic) 0.000000
FEM SUR
Dependent Variable: LOGY
Method: Panel EGLS (Cross-section weights)
Date: 07/28/22 Time: 22:19
Sample: 2014 2020
Periods included: 7
Cross-sections included: 10
Total panel (balanced) observations: 70
Linear estimation after one-step weighting matrix
Cross-section SUR (PCSE) standard errors & covariance (d.f. corrected)
Variable Coefficient Std. Error t-Statistic Prob.
C 3.585699 0.234995 15.25863 0.0000
LOGX1 0.237291 0.049094 4.833376 0.0000
LOGX2 0.594269 0.059740 9.947621 0.0000
Effects Specification
Cross-section fixed (dummy variables)
Weighted Statistics
R-squared 0.983037 Mean dependent var 24.61940
Adjusted R-squared 0.979820 S.D. dependent var 16.07252
S.E. of regression 0.166908 Sum squared resid 1.615779
F-statistic 305.5595 Durbin-Watson stat 2.362668
Prob(F-statistic) 0.000000
Unweighted Statistics
R-squared 0.930162 Mean dependent var 12.70473
Sum squared resid 2.125851 Durbin-Watson stat 2.316346