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? .

32909 -0.005005 11.191316 Dependent Variable: NILAI_TUKAR? Mean dependent var S.103201 2.127418 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.0087 0.16896 -6.080358 -1.0000 0.006298 0.472887 1.678564 -0.156992 1.672747 0.004468 0.086572 -0.137843 0.0000 0.E.60453 -2.524237 0.594503 0.0000 0.841618 1.205136 1.625633 4.021349 1.014533 1.085443 922.265750 0.189663 -1.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.927099 0.7720 -781.674774 2.794814 0. 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 14.022579 0.842133 -0.D.0000 -1.654758 -2.963119 -1. Error t-Statistic Prob.3680 0.007980 1.073085 -0.109357 -11.436951 0.9992 0.282938 0.011731 0.325882 0.397682 248. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 6.000000 .928105 0.

0000 0.002220 0.016296 0.182070 0. Error t-Statistic Prob.074220 -2.004215 -0.002383 0.430771 0.0000 0.018321 0. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.000810 0.052664 0.000000 .323426 1929. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) Gambar Output untuk variable Nilai Tukar Dependent Variable: SUKU_BUNGA? 9.894248 5.011769 0.2937 -8.040024 0.000913 607.287431 -0.004903 -0.D.E.015069 0.0000 0.009995 0.024848 -0.011570 -0.019837 0.040784 -0.390736 -2.018215 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.203005 -2.003335 0.000105 0.004011 0.166699 0.015293 0.316641 4.030090 -0.008485 0.033649 -0.020996 0.020312 0.0152 0.352669 Mean dependent var S.807 0.001124 0.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.072719 8. 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.

787899 0.761824 3.263 -2995.784496 0.711747 -0.0000 0.183896 1.645614 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.0210 0.855145 18.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.206793 -1.894248 17. Error t-Statistic Prob.D.781050 3.554463 0.892626 -1.046188 4.000000 .194641 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 52.278 0.65371 -2.591604 3987. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.520494 0.019997 10.0000 0.783601 -2.647515 0.59729 -8.288403 -0.540450 0.538314 0.788646 0.809889 0.E.715865 1.883548 0.907751 0.893503 0.960654 0.218998 Mean dependent var S. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) Gambar Output untuk variable Suku bunga Dependent Variable: INFLASI? 8.11470 0.016337 0.115076 -1.0000 0.966670 -1.715795 0.56951 -4.852082 0.309790 0.

229 0.236692 -2.573074 0.256062 0.000000 .751222 2.394630 -2.203005 17.166526 0.0000 0.434967 4. 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 -40.540991 6.0000 0.217519 -2.658308 6.771057 0.453385 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 2.011811 0. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.723071 -2.541800 230.498158 4.467705 4.352006 6.611258 5.0000 0.E.65371 2.588057 -2.646357 -2.0242 -2.553435 -2.21323 4.028190 -5.689481 -2.011883 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.754498 0.703391 -2.189575 -2.032462 0.247860 Gambar Output untuk variable Inflasi Dependent Variable: VOLUME? Mean dependent var S.3500 0.D.063598 7.201883 6.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.243573 7922.920 -3543. Error t-Statistic Prob.453960 6.364740 -2.458696 -2.

0000 0.139916 Gambar Output untuk variable inflasi Mean dependent var S. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.157790 -0.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.314773 195.790008 -2.186913 3.722546 0.D.000000 .84041 3.554500 -3.0152 0.692911 0.488934 -2.430771 -2.173563 -7.E.769 -3362.240678 4.256062 0.031664 0.002820 6313.061 1.822567 4.073138 0.0242 0.127199 2.003103 -3. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 12.0210 0.777187 4.305857 0. 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 28.718844 2.1910 0.161063 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.671826 -3.022465 4.81989 -1.684307 -0.050681 6.807097 4.309790 2.581491 -1.622540 4. Error t-Statistic Prob.711095 -1.902993 -2.420207 0.827188 3.537360 0.519326 2.

Untuk persamaan (1) nilai R2 adalah sebesar 0. R2 3. R2 4. R2 4.722546 selanjutnya disebut R2 5 Ketentuan : Bila nilai R2 1 > R2 2 .194641 selanjutnya disebut R2 3 Untuk persamaan (4) nilai R2 adalah sebesar 0. R2 5 maka model diketemukan adanya multikolonearitas Analisa Hasil Output. R2 5 maka model tidak diketemukan adanya multikolonearitas. R2 3. R2 3. R2 4. R2 5 maka dalam model tidak diketemukan adanya multikolonearitas . Bila nilai R2 1 < R2 2 .754498 selanjutnya disebut R2 4 Untuk persamaan (5) nilai R2 adalah sebesar 0. menunjukan bahwa nilai R2 1 > R2 2 .052664 selanjutnya disebut R2 2 Untuk persamaan (3) nilai R2 adalah sebesar 0.928105 selanjutnya disebut R2 1 Untuk persamaan (2) nilai R2 adalah sebesar 0.

32909 -0.672538 0.022579 0.567273 -4.0000 0.678564 -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.21559 -3.080358 -1. Error t-Statistic Prob.0000 0.963119 -1.0000 0.654758 -2.177517 0.021349 1.003734 8.0025 0.027490 5.674774 2. 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 14.718184 0.073085 -0.524237 0.672747 0.594503 0.0000 -1. correction) Variable Coefficient Std.011731 0.005983 0.794814 0.189663 -1.127418 Effects Specification Cross-section fixed (dummy variables) .436951 0.103201 2.003875 0.325882 0.f.014533 1.743959 -12.841618 1.156992 1.086572 -0.842133 -0.

9992 0.E.R-squared Adjusted R-squared S.f.205136 1. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 6.928105 0.191316 Mean dependent var S. correction) .007980 1.D. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.3680 0.7720 -781.085443 922.397682 248.000000 hasil uji menandakan White cross-section standard errors & covariance (no d.927099 0.472887 1.

0000 0.E.036748 0.021349 -0. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.005005 0.841770 -0.8189 Cross-section random effects test comparisons: Variable VOLUME? NILAI_TUKAR? INFLASI? SUKU_BUNGA? Fixed 0.0087 0.472887 1. 0.205136 1.021349 -0.000000 0.109357 -2.16896 4.000001 0.D.927099 0.073117 0. Error t-Statistic Prob.Uji Hausman Correlated Random Effects .7720 -781.7498 0.842133 -0.006298 11.000000 0.0000 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S. C VOLUME? NILAI_TUKAR? INFLASI? SUKU_BUNGA? 14.0000 0.007980 1.842133 -0.1427 0.928105 0.7525 0.4190 Random Var(Diff.000000 Mean dependent var S.282938 0. Statistic Chi-Sq.004468 0.Hausman Test Pool: POL Test cross-section random effects Test Summary Cross-section random Chi-Sq.000000 0.3680 922.265750 -6.625633 -11. d. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter.60453 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.085443 1.073085 1.904757 4 0.9992 0.021726 -0. 3.011731 -0.397682 248. Prob.f.191316 .) Prob.011654 -0.0000 0.011731 -0.32909 0.137843 0. Durbin-Watson stat 6.

006296 0.7618 0. of regression F-statistic Prob(F-statistic) 0. Cross-section random Idiosyncratic random 1. dependent var Sum squared resid Durbin-Watson stat 0.675969 -0.D.594149 0.389292 0.125510 Effects Specification S.0000 0.013227 1.821 Mean dependent var Durbin-Watson stat 6.91762 0.004461 0.186742 -1.795426 0.612252 4.397795 59.073117 -0.085358 -0.321866 0.397682 Rho 0.523413 0.961226 -1.426172 251.61272 -2.021003 0.000000 Mean dependent var S.106935 -11.041723 3315.014376 .E.674652 2.158874 1.0000 0. Error t-Statistic Prob.83394 -6.9243 0.837441 1.325578 0.205136 0.004998 10.671945 0.651578 -2.0000 0.080814 -1.189337 Unweighted Statistics R-squared Sum squared resid 0.128735 0.137838 0.193706 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 14.841770 -0.433969 0.32102 -0.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.346625 0.011654 0.021726 1.0091 0.0757 Weighted Statistics R-squared Adjusted R-squared S.D.0000 -1.130920 0.099685 2.

Redundant Fixed Effects Tests Pool: MULNILAITUKAR Test cross-section fixed effects Effects Test Cross-section F Statistic 17999. (18.1573) 0. Prob.480232 d.0000 .f.

68373606306822 -138 0.058181392640822e 56420136 -27.06836848311548 S.9637339010596895 0.6864697472 0.E. dependent var 23.439311 374016 Mean dependent var Durbin-Watson stat 6.0005513731 2.134497187640871 -05 0.11339312665595 -125 0.742807585607728e 0265854 4.8384303327541 0 Weighted Statistics R-squared Adjusted R-squared S.205135803294675 0.0454756326164361 452331 2 0.226685308 3849111 14.D.0789294637629135 9 Durbin-Watson stat Unweighted Statistics R-squared Sum squared resid 0. 0.1573) 0 Std.Uji Redundant Fixed Effect Test Redundant Fixed Effects Tests Pool: MULNILAITUKAR Test cross-section fixed effects Effects Test Statistic d.031217646 02802199 0.014398223 21763758 0.222588928 5879302 Prob.9675593299 0. of regression F-statistic Prob(F-statistic) 0.0031336753 5.134978426602605e 267247766 26.f.7482564717983 Sum squared resid 327607.4 8023170 807 Cross-section F (18.0007301865 724244727 304.086751841 47447626 0. 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 0.8874297 857961 3.306283269 6987193 0.228624655 5739144 0.0740799318 3.0692868445301002 .34967740 784424 117.819894913 18689e-88 Mean dependent var 15. 17999.606397643 2995646 5558. Prob.

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