Uji multikolinearitas

Tahapan pengujian melalui program Eviews dengan pendekatan koralasi parsial dengan
tahapan sebagai berikut (Rahmanta : Aplikasi Eviews dalam Ekonometrika, 2009) :
1. Lakukan regresi seperti contoh diatas :
Y= a0 + a1 X1 + a2 X2 + a3X4 +a4X4 …………………….. (1)
2. kemudian lakukan estimasi regresi untuk :
X1 = b0 + b1 X2 + b2 X3 + b4 X4 ...........................................(2)
(ketik : X1 C X2 X3 X4
X2 = b0 + b1 X1 + b2 X3 + b4 X4 ...........................................(3)
(ketik : X2 C X1 X3 X4
X3 = b0 + b1 X1 + b2 X2 + b4 X4 ...........................................(4)
(ketik : X3 C X1 X2 X4
X4 = b0 + b1 X1 + b2 X2 + b4 X3 ...........................................(5)
(ketik : X4 C X1 X2 X3

Keterangan : Y = Indeks Harga Saham
X1 = Nilai tukar
X2 = Suku bunga
X3 = Inflasi
X4 = Volume

Dependent Variable: INDEKS? .

3680 0.927099 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 6.021349 1.654758 -2.16896 -6.841618 1.436951 0.325882 0.E.085443 922.672747 0.963119 -1.011731 0.0000 0.9992 0.397682 248.928105 0.086572 -0.0000 0.7720 -781.60453 -2.32909 -0.Method: Pooled Least Squares Date: 07/17/11 Time: 14:09 Sample: 2004M01 2010M12 Included observations: 84 Cross-sections included: 19 Total pool (balanced) observations: 1596 Variable Coefficient Std.191316 Dependent Variable: NILAI_TUKAR? Mean dependent var S.472887 1.006298 0. Error t-Statistic Prob.073085 -0.007980 1.205136 1.014533 1.004468 0.156992 1.674774 2.109357 -11.127418 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.594503 0.005005 11.D.0087 0.265750 0.137843 0.080358 -1.000000 .189663 -1.103201 2.842133 -0.282938 0.022579 0.678564 -0.794814 0. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.524237 0.0000 -1.0000 0.625633 4. C NILAI_TUKAR? SUKU_BUNGA? INFLASI? VOLUME? Fixed Effects (Cross) _INPC--C _BABP--C _BBCA--C _BBNI--C _BBNP--C _BBRI--C _BDMN--C _BEKS--C _BKSW--C _BMRI--C _BNGA--C _BNII--C _BNLI--C _BSWD--C _BVIC--C _MAYA--C _MEGA--C _NISP--C _PNBN--C 14.

E. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) Gambar Output untuk variable Nilai Tukar Dependent Variable: SUKU_BUNGA? 9.0000 0.000810 0.008485 0.015069 0.052664 0.040784 -0.004215 -0.033649 -0.002220 0.020996 0.287431 -0.316641 4.D.894248 5.2937 -8.323426 1929.Method: Pooled Least Squares Date: 07/17/11 Time: 14:02 Sample: 2004M01 2010M12 Included observations: 84 Cross-sections included: 19 Total pool (balanced) observations: 1596 Variable Coefficient Std.0000 0. C SUKU_BUNGA? INFLASI? VOLUME? Fixed Effects (Cross) _INPC--C _BABP--C _BBCA--C _BBNI--C _BBNP--C _BBRI--C _BDMN--C _BEKS--C _BKSW--C _BMRI--C _BNGA--C _BNII--C _BNLI--C _BSWD--C _BVIC--C _MAYA--C _MEGA--C _NISP--C _PNBN--C 9.182070 0.0152 0.352669 Mean dependent var S.004011 0.001124 0.430771 0.000913 607.000105 0.004903 -0.390736 -2.016296 0.011570 -0. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.018321 0.030090 -0.002383 0.074220 -2.072719 8.015293 0.040024 0.009995 0.019837 0.003335 0.807 0.166699 0.024848 -0.020312 0.018215 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.000000 .0000 0.203005 -2.011769 0. Error t-Statistic Prob.

D. Error t-Statistic Prob.520494 0.538314 0.194641 0.966670 -1.183896 1.761824 3.278 0.591604 3987.115076 -1.647515 0.Method: Pooled Least Squares Date: 07/17/11 Time: 14:06 Sample: 2004M01 2010M12 Included observations: 84 Cross-sections included: 19 Total pool (balanced) observations: 1596 Variable Coefficient Std.893503 0.960654 0.11470 0.852082 0.046188 4.309790 0.263 -2995.892626 -1.784496 0.781050 3.65371 -2.809889 0.59729 -8.019997 10.E.0210 0.894248 17.0000 0.907751 0.715865 1.715795 0.855145 18. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.783601 -2.206793 -1.218998 Mean dependent var S.540450 0.016337 0. C NILAI_TUKAR? INFLASI? VOLUME? Fixed Effects (Cross) _INPC--C _BABP--C _BBCA--C _BBNI--C _BBNP--C _BBRI--C _BDMN--C _BEKS--C _BKSW--C _BMRI--C _BNGA--C _BNII--C _BNLI--C _BSWD--C _BVIC--C _MAYA--C _MEGA--C _NISP--C _PNBN--C 52.883548 0.288403 -0.787899 0.645614 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.0000 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) Gambar Output untuk variable Suku bunga Dependent Variable: INFLASI? 8.000000 .0000 0.56951 -4.711747 -0.554463 0.788646 0.

364740 -2.658308 6.011811 0.256062 0.394630 -2.028190 -5.217519 -2.3500 0.498158 4.000000 .063598 7.21323 4.0000 0. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.247860 Gambar Output untuk variable Inflasi Dependent Variable: VOLUME? Mean dependent var S.166526 0.203005 17.352006 6.434967 4.611258 5.553435 -2.689481 -2.0000 0.771057 0.0000 0.453960 6.703391 -2.011883 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.65371 2.646357 -2.467705 4.201883 6. Error t-Statistic Prob. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 2.751222 2.458696 -2.243573 7922.754498 0.229 0.0242 -2.D.236692 -2.189575 -2.Method: Pooled Least Squares Date: 07/17/11 Time: 14:07 Sample: 2004M01 2010M12 Included observations: 84 Cross-sections included: 19 Total pool (balanced) observations: 1596 Variable Coefficient Std.723071 -2.032462 0.540991 6.588057 -2.920 -3543. C NILAI_TUKAR? SUKU_BUNGA? VOLUME? Fixed Effects (Cross) _INPC--C _BABP--C _BBCA--C _BBNI--C _BBNP--C _BBRI--C _BDMN--C _BEKS--C _BKSW--C _BMRI--C _BNGA--C _BNII--C _BNLI--C _BSWD--C _BVIC--C _MAYA--C _MEGA--C _NISP--C _PNBN--C -40.E.541800 230.453385 0.573074 0.

Error t-Statistic Prob.769 -3362.554500 -3.622540 4. C NILAI_TUKAR? SUKU_BUNGA? INFLASI? Fixed Effects (Cross) _INPC--C _BABP--C _BBCA--C _BBNI--C _BBNP--C _BBRI--C _BDMN--C _BEKS--C _BKSW--C _BMRI--C _BNGA--C _BNII--C _BNLI--C _BSWD--C _BVIC--C _MAYA--C _MEGA--C _NISP--C _PNBN--C 28.777187 4.420207 0.022465 4.173563 -7.073138 0.827188 3.Method: Pooled Least Squares Date: 07/17/11 Time: 14:08 Sample: 2004M01 2010M12 Included observations: 84 Cross-sections included: 19 Total pool (balanced) observations: 1596 Variable Coefficient Std.671826 -3.722546 0.84041 3.E.240678 4.537360 0.003103 -3.718844 2.790008 -2.0000 0.807097 4. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.822567 4.139916 Gambar Output untuk variable inflasi Mean dependent var S.D.0210 0.1910 0.430771 -2.305857 0.002820 6313.031664 0.000000 .256062 0.692911 0.902993 -2.0242 0.161063 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.186913 3.050681 6.061 1.81989 -1.157790 -0.711095 -1.488934 -2.684307 -0.581491 -1.309790 2.0152 0.127199 2.314773 195. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 12.519326 2.

Untuk persamaan (1) nilai R2 adalah sebesar 0. Bila nilai R2 1 < R2 2 .194641 selanjutnya disebut R2 3 Untuk persamaan (4) nilai R2 adalah sebesar 0.754498 selanjutnya disebut R2 4 Untuk persamaan (5) nilai R2 adalah sebesar 0. menunjukan bahwa nilai R2 1 > R2 2 . R2 3.928105 selanjutnya disebut R2 1 Untuk persamaan (2) nilai R2 adalah sebesar 0. R2 3. R2 3. R2 4. R2 4. R2 5 maka dalam model tidak diketemukan adanya multikolonearitas . R2 5 maka model diketemukan adanya multikolonearitas Analisa Hasil Output. R2 5 maka model tidak diketemukan adanya multikolonearitas.052664 selanjutnya disebut R2 2 Untuk persamaan (3) nilai R2 adalah sebesar 0.722546 selanjutnya disebut R2 5 Ketentuan : Bila nilai R2 1 > R2 2 . R2 4.

672538 0.0025 0.794814 0.524237 0.086572 -0.003734 8.080358 -1.841618 1.718184 0.021349 1.32909 -0.842133 -0.073085 -0.Uji Heteroskedastisitas Uji White Hasil Output white Heteroskedastisitas Dependent Variable: INDEKS? Method: Pooled Least Squares Date: 07/17/11 Time: 15:14 Sample: 2004M01 2010M12 Included observations: 84 Cross-sections included: 19 Total pool (balanced) observations: 1596 White cross-section standard errors & covariance (no d.654758 -2.567273 -4.156992 1.011731 0.127418 Effects Specification Cross-section fixed (dummy variables) .0000 0. Error t-Statistic Prob.963119 -1.005983 0.003875 0.0000 -1.325882 0.594503 0.027490 5.436951 0.743959 -12.0000 0.672747 0.103201 2.0000 0.674774 2.f.014533 1. correction) Variable Coefficient Std.022579 0.678564 -0.189663 -1. C NILAI_TUKAR? SUKU_BUNGA? INFLASI? VOLUME? Fixed Effects (Cross) _INPC--C _BABP--C _BBCA--C _BBNI--C _BBNP--C _BBRI--C _BDMN--C _BEKS--C _BKSW--C _BMRI--C _BNGA--C _BNII--C _BNLI--C _BSWD--C _BVIC--C _MAYA--C _MEGA--C _NISP--C _PNBN--C 14.21559 -3.177517 0.

085443 922.472887 1.3680 0.205136 1.000000 hasil uji menandakan White cross-section standard errors & covariance (no d. of regression Sum squared resid Log likelihood Durbin-Watson stat 0. correction) .R-squared Adjusted R-squared S.927099 0.9992 0.397682 248.f.D.191316 Mean dependent var S.E.7720 -781.928105 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 6.007980 1.

021349 -0.282938 0.021349 -0.265750 -6.006298 11.397682 248.0087 0. 0.) Prob. Prob.f. d.011731 -0.0000 0.16896 4.4190 Random Var(Diff.000000 0.021726 -0.842133 -0.7498 0.036748 0.60453 0.D.472887 1.3680 922.7525 0.0000 0.8189 Cross-section random effects test comparisons: Variable VOLUME? NILAI_TUKAR? INFLASI? SUKU_BUNGA? Fixed 0. 3.Hausman Test Pool: POL Test cross-section random effects Test Summary Cross-section random Chi-Sq.004468 0.000000 0. Error t-Statistic Prob.005005 0.191316 .927099 0.205136 1.0000 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.9992 0.000000 0.32909 0.109357 -2.000001 0.073085 Cross-section random effects test equation: Dependent Variable: INDEKS? Method: Panel Least Squares Date: 07/17/11 Time: 16:02 Sample: 2004M01 2010M12 Included observations: 84 Cross-sections included: 19 Total pool (balanced) observations: 1596 Variable Coefficient Std.137843 0.Uji Hausman Correlated Random Effects .0000 0. Durbin-Watson stat 6.1427 0.000000 Mean dependent var S. C VOLUME? NILAI_TUKAR? INFLASI? SUKU_BUNGA? 14.085443 1.073085 1. Statistic Chi-Sq.073117 0.842133 -0.7720 -781.007980 1.E. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter.928105 0. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.904757 4 0.011731 -0.011654 -0.625633 -11.841770 -0.

125510 Effects Specification S.158874 1.193706 0.0091 0.32102 -0.83394 -6.106935 -11.841770 -0.321866 0.61272 -2.128735 0.397795 59.Dependent Variable: INDEKS? Method: Pooled EGLS (Cross-section random effects) Date: 07/19/11 Time: 22:42 Sample: 2004M01 2010M12 Included observations: 84 Cross-sections included: 19 Total pool (balanced) observations: 1596 Swamy and Arora estimator of component variances Variable Coefficient Std.085358 -0.433969 0.011654 0. dependent var Sum squared resid Durbin-Watson stat 0.014376 . of regression F-statistic Prob(F-statistic) 0.612252 4.186742 -1.961226 -1.073117 -0.671945 0.675969 -0.041723 3315. Error t-Statistic Prob.080814 -1.099685 2.674652 2.189337 Unweighted Statistics R-squared Sum squared resid 0.004461 0.821 Mean dependent var Durbin-Watson stat 6.D.651578 -2.004998 10. Cross-section random Idiosyncratic random 1.E.006296 0.0000 -1.000000 Mean dependent var S.205136 0.021003 0.389292 0.137838 0.397682 Rho 0.426172 251.795426 0.523413 0.0000 0.0000 0.7618 0.130920 0.0000 0.594149 0.0757 Weighted Statistics R-squared Adjusted R-squared S.9243 0.021726 1.325578 0. C NILAI_TUKAR? SUKU_BUNGA? INFLASI? VOLUME? Random Effects (Cross) _INPC--C _BABP--C _BBCA--C _BBNI--C _BBNP--C _BBRI--C _BDMN--C _BEKS--C _BKSW--C _BMRI--C _BNGA--C _BNII--C _BNLI--C _BSWD--C _BVIC--C _MAYA--C _MEGA--C _NISP--C _PNBN--C 14.91762 0.013227 1.D.837441 1.346625 0.

Redundant Fixed Effects Tests Pool: MULNILAITUKAR Test cross-section fixed effects Effects Test Cross-section F Statistic 17999. (18. Prob.480232 d.1573) 0.0000 .f.

742807585607728e 0265854 4.4 8023170 807 Cross-section F (18.8874297 857961 3. 0.606397643 2995646 5558.E.031217646 02802199 0.205135803294675 0.439311 374016 Mean dependent var Durbin-Watson stat 6.819894913 18689e-88 Mean dependent var 15.058181392640822e 56420136 -27.Uji Redundant Fixed Effect Test Redundant Fixed Effects Tests Pool: MULNILAITUKAR Test cross-section fixed effects Effects Test Statistic d. Error t-Statistic Cross-section fixed effects test equation: Dependent Variable: INDEKS? Method: Panel EGLS (Cross-section SUR) Date: 07/20/11 Time: 08:58 Sample: 2004M01 2010M12 Included observations: 84 Cross-sections included: 19 Total pool (balanced) observations: 1596 Use pre-specified GLS weights Variable C NILAI_TUKAR? SUKU_BUNGA? INFLASI? VOLUME? Coefficient 0. Prob.1573) 0 Std. dependent var 23.228624655 5739144 0.134978426602605e 267247766 26.222588928 5879302 Prob.306283269 6987193 0.226685308 3849111 14.D.6864697472 0.0005513731 2.8384303327541 0 Weighted Statistics R-squared Adjusted R-squared S.0454756326164361 452331 2 0.68373606306822 -138 0.0007301865 724244727 304. 17999.0740799318 3.7482564717983 Sum squared resid 327607.0031336753 5.134497187640871 -05 0.11339312665595 -125 0.0789294637629135 9 Durbin-Watson stat Unweighted Statistics R-squared Sum squared resid 0.0692868445301002 . of regression F-statistic Prob(F-statistic) 0.f.06836848311548 S.34967740 784424 117.014398223 21763758 0.9637339010596895 0.9675593299 0.086751841 47447626 0.