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? .

325882 0.189663 -1.205136 1.137843 0.524237 0.654758 -2.672747 0. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.963119 -1.594503 0.0000 -1.086572 -0.073085 -0.103201 2.625633 4.841618 1.011731 0.007980 1.794814 0.0000 0.60453 -2.022579 0.191316 Dependent Variable: NILAI_TUKAR? Mean dependent var S.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.436951 0.674774 2.004468 0.7720 -781.156992 1.006298 0.842133 -0.282938 0.9992 0.397682 248. 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 14.005005 11.000000 .927099 0.0087 0.265750 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 6.16896 -6.080358 -1.D.472887 1.32909 -0.021349 1.0000 0.E.014533 1. Error t-Statistic Prob.127418 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.085443 922.3680 0.0000 0.109357 -11.678564 -0.928105 0.

020996 0.040024 0.004215 -0.166699 0.203005 -2.000913 607.003335 0.015293 0.001124 0.002383 0.024848 -0.430771 0.018215 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.018321 0.072719 8.323426 1929.020312 0.009995 0.E.000000 .287431 -0.019837 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 9.011570 -0.D. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.004903 -0.807 0.2937 -8.000810 0.390736 -2.352669 Mean dependent var S.182070 0.004011 0.316641 4.016296 0.894248 5.002220 0.052664 0.0000 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) Gambar Output untuk variable Nilai Tukar Dependent Variable: SUKU_BUNGA? 9. Error t-Statistic Prob.015069 0.011769 0.0152 0.0000 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.033649 -0.0000 0.000105 0.008485 0.074220 -2.040784 -0.030090 -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 52.893503 0.59729 -8.183896 1.309790 0.711747 -0.65371 -2.788646 0.000000 .019997 10.892626 -1.907751 0.647515 0.809889 0.0000 0.761824 3.715865 1.016337 0.784496 0.894248 17.0000 0.960654 0.288403 -0.883548 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.787899 0.538314 0.206793 -1.263 -2995.E.781050 3.783601 -2.645614 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.11470 0.540450 0.0000 0.194641 0.715795 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) Gambar Output untuk variable Suku bunga Dependent Variable: INFLASI? 8.218998 Mean dependent var S.278 0.115076 -1.0210 0.520494 0.554463 0.56951 -4.046188 4. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.D.852082 0.855145 18. Error t-Statistic Prob.966670 -1.591604 3987.

063598 7.920 -3543.0242 -2.0000 0.754498 0.434967 4.540991 6. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 2.364740 -2.453960 6.189575 -2.028190 -5.011811 0.658308 6.588057 -2.65371 2.229 0.0000 0.573074 0.E.166526 0.243573 7922. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.646357 -2.21323 4.751222 2.458696 -2. 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 -40.394630 -2. Error t-Statistic Prob.723071 -2.D.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.011883 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.217519 -2.771057 0.3500 0.541800 230.201883 6.611258 5.247860 Gambar Output untuk variable Inflasi Dependent Variable: VOLUME? Mean dependent var S.000000 .703391 -2.352006 6.256062 0.498158 4.689481 -2.203005 17.467705 4.553435 -2.453385 0.032462 0.0000 0.236692 -2.

003103 -3.000000 .488934 -2.0000 0.807097 4.420207 0.84041 3.E.822567 4.127199 2.718844 2.161063 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.240678 4.002820 6313.1910 0.139916 Gambar Output untuk variable inflasi Mean dependent var S.692911 0.554500 -3.902993 -2.157790 -0.769 -3362.309790 2.314773 195.671826 -3.022465 4.173563 -7.622540 4.722546 0.031664 0.581491 -1.305857 0.519326 2. 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.D.073138 0.81989 -1.790008 -2.777187 4.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.827188 3. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 12.050681 6.186913 3.061 1.684307 -0.430771 -2.256062 0.537360 0.0152 0.711095 -1. of regression Sum squared resid Log likelihood Durbin-Watson stat 0. Error t-Statistic Prob.0210 0.0242 0.

R2 4. R2 3.928105 selanjutnya disebut R2 1 Untuk persamaan (2) nilai R2 adalah sebesar 0. Bila nilai R2 1 < R2 2 . R2 3. R2 4. menunjukan bahwa nilai R2 1 > R2 2 .Untuk persamaan (1) nilai R2 adalah sebesar 0.194641 selanjutnya disebut R2 3 Untuk persamaan (4) nilai R2 adalah sebesar 0. R2 4.052664 selanjutnya disebut R2 2 Untuk persamaan (3) nilai R2 adalah sebesar 0. R2 3.754498 selanjutnya disebut R2 4 Untuk persamaan (5) nilai R2 adalah sebesar 0. R2 5 maka model tidak diketemukan adanya multikolonearitas.722546 selanjutnya disebut R2 5 Ketentuan : Bila nilai R2 1 > R2 2 . R2 5 maka model diketemukan adanya multikolonearitas Analisa Hasil Output. R2 5 maka dalam model tidak diketemukan adanya multikolonearitas .

027490 5.718184 0.0000 0. correction) Variable Coefficient Std.080358 -1.436951 0.654758 -2.672538 0.003734 8.022579 0.32909 -0.21559 -3.177517 0.794814 0.073085 -0.021349 1.325882 0.0000 0.594503 0.842133 -0.0000 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 14.005983 0.086572 -0.678564 -0.0025 0.841618 1.743959 -12.963119 -1. Error t-Statistic Prob.156992 1.189663 -1.0000 -1.567273 -4.127418 Effects Specification Cross-section fixed (dummy variables) .674774 2.672747 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.524237 0.f.014533 1.103201 2.011731 0.003875 0.

of regression Sum squared resid Log likelihood Durbin-Watson stat 0.R-squared Adjusted R-squared S.085443 922.928105 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 6.191316 Mean dependent var S.000000 hasil uji menandakan White cross-section standard errors & covariance (no d.E.472887 1.7720 -781.D.9992 0.397682 248.927099 0.f.3680 0. correction) .007980 1.205136 1.

137843 0.7498 0.904757 4 0.000000 0.005005 0.036748 0.073085 1.0000 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.007980 1.16896 4.D.927099 0.021349 -0.0087 0. Prob.3680 922.E. 3.0000 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.191316 .60453 0.841770 -0.073117 0.842133 -0.1427 0.000000 0.Hausman Test Pool: POL Test cross-section random effects Test Summary Cross-section random Chi-Sq. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter.928105 0. d.006298 11. Statistic Chi-Sq. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.011654 -0. Error t-Statistic Prob.000000 0.000000 Mean dependent var S.0000 0.021349 -0.7525 0.011731 -0.8189 Cross-section random effects test comparisons: Variable VOLUME? NILAI_TUKAR? INFLASI? SUKU_BUNGA? Fixed 0.842133 -0.282938 0.011731 -0.f. 0.472887 1.000001 0.109357 -2.32909 0.265750 -6.021726 -0.Uji Hausman Correlated Random Effects .397682 248.) Prob.0000 0.625633 -11.7720 -781.4190 Random Var(Diff.004468 0. Durbin-Watson stat 6. C VOLUME? NILAI_TUKAR? INFLASI? SUKU_BUNGA? 14.205136 1.9992 0.085443 1.

189337 Unweighted Statistics R-squared Sum squared resid 0.021003 0.E.073117 -0.821 Mean dependent var Durbin-Watson stat 6.837441 1. of regression F-statistic Prob(F-statistic) 0.099685 2.011654 0.193706 0.91762 0.61272 -2.000000 Mean dependent var S.130920 0.041723 3315.0757 Weighted Statistics R-squared Adjusted R-squared S.085358 -0.671945 0.426172 251.674652 2.080814 -1.004461 0.0091 0.795426 0.961226 -1.006296 0.397795 59.321866 0.0000 0.325578 0.D.014376 . dependent var Sum squared resid Durbin-Watson stat 0.83394 -6.106935 -11.594149 0.9243 0.021726 1.137838 0.205136 0.0000 0.651578 -2.612252 4.004998 10.397682 Rho 0.128735 0.125510 Effects Specification S.389292 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.675969 -0.D.186742 -1.346625 0.0000 0.158874 1. 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 -0.013227 1. Cross-section random Idiosyncratic random 1. Error t-Statistic Prob.0000 -1.433969 0.523413 0.32102 -0.7618 0.

0000 . Prob. (18.f.480232 d.Redundant Fixed Effects Tests Pool: MULNILAITUKAR Test cross-section fixed effects Effects Test Cross-section F Statistic 17999.1573) 0.

226685308 3849111 14.0740799318 3. 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 0.228624655 5739144 0.7482564717983 Sum squared resid 327607.1573) 0 Std.222588928 5879302 Prob.11339312665595 -125 0.34967740 784424 117.205135803294675 0.E. of regression F-statistic Prob(F-statistic) 0.f.058181392640822e 56420136 -27.606397643 2995646 5558.031217646 02802199 0.9637339010596895 0.9675593299 0.0031336753 5. 17999.086751841 47447626 0.439311 374016 Mean dependent var Durbin-Watson stat 6.4 8023170 807 Cross-section F (18.8384303327541 0 Weighted Statistics R-squared Adjusted R-squared S. 0.0789294637629135 9 Durbin-Watson stat Unweighted Statistics R-squared Sum squared resid 0.6864697472 0.306283269 6987193 0.8874297 857961 3.742807585607728e 0265854 4.134978426602605e 267247766 26.06836848311548 S.134497187640871 -05 0.68373606306822 -138 0.0692868445301002 .819894913 18689e-88 Mean dependent var 15. Prob.0005513731 2.0454756326164361 452331 2 0.D.014398223 21763758 0.Uji Redundant Fixed Effect Test Redundant Fixed Effects Tests Pool: MULNILAITUKAR Test cross-section fixed effects Effects Test Statistic d.0007301865 724244727 304. dependent var 23.

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