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uji multi

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Published by: Iip Saripudin on Aug 09, 2011
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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 a
!
" a
1
#
1
" a
$
#
$
" a
%
#
&
"a
&
#
&
''''''''.. (1)
$. kemudian lakukan estimasi regresi untuk :
#
1
b
!
" b
1
#
$
" b
$
#
%
" b
&
#
&
...........................................($)
(ketik : #
1
) #
$
#
%
#
&
#
$
b
!
" b
1
#
1
" b
$
#
%
" b
&
#
&
...........................................(%)
(ketik : #
$
) #
1
#
%
#
&
#
%
b
!
" b
1
#
1
" b
$
#
$
" b
&
#
&
...........................................(&)
(ketik : #
%
) #
1
#
$
#
&
#
&
b
!
" b
1
#
1
" b$ #
$
" b
&
#
%
...........................................(*)
(ketik : #
&
) #
1
#
$
#
%
+eterangan : Y ,ndeks -arga .aham
#1 /ilai tukar
#$ .uku bunga
#% ,n0lasi
#& 1olume
Dependent Variable: INDEKS?
Method: Pooled Least Squares
Date: 07/7/ !i"e: #:0$
Sa"ple: %00#M0 %00M%
In&luded obser'ations: (#
)ross*se&tions in&luded: $
!otal pool +balan&ed, obser'ations: -$.
Variable )oe//i&ient Std0 Error t*Statisti& Prob0
) #01%$0$ 0%(%$1( 0.($. 000000
NIL2I3!4K25? *00(#%11 0017(#1 *.00$1-7 000000
S4K4364N72? *000710(- 0000.%$( *0.0#-1 000000
IN8L2SI? *00071 0000##.( *%0.%-.11 0000(7
V9L4ME? 000%1#$ 0000-00- #0%.-7-0 000000
8i:ed E//e&ts +)ross,
3INP)**) *0$.1$
3626P**) *0.-#7-(
366)2**) *%0(#.(
366NI**) 00%%-7$
366NP**) 00.7#77#
3665I**) %001%0
36DMN**) %0($..1
36EKS**) *0.7(-.#
36KS;**) *000#-11
36M5I**) 0#1.$-
36N72**) 000(.-7%
36NII**) *007$#(#
36NLI**) 001%-((%
36S;D**) 000(01-(
36VI)**) *0-%#%17
3M2<2**) 00-.$$%
3ME72**) 0.7%7#7
3NISP**) 00-$#-01
3PN6N**) 00%7#(
E//e&ts Spe&i/i&ation
)ross*se&tion /i:ed +du""= 'ariables,
5*squared 00$%(0- Mean dependent 'ar .0%0-1.
2d>usted 5*squared 00$%70$$ S0D0 dependent 'ar 0#7%((7
S0E0 o/ re?ression 001$7.(% 2@ai@e in/o &riterion 0007$(0
Su" squared resid %#(077%0 S&hAarB &riterion 00(-##1
Lo? li@elihood *7(01.(0 8*statisti& $%%0$$$%
Durbin*;atson stat 00$1. Prob+8*statisti&, 00000000
Dependent Variable: NIL2I3!4K25?
Method: Pooled Least Squares
Date: 07/7/ !i"e: #:0%
Sa"ple: %00#M0 %00M%
In&luded obser'ations: (#
)ross*se&tions in&luded: $
!otal pool +balan&ed, obser'ations: -$.
Variable )oe//i&ient Std0 Error t*Statisti& Prob0
) $0%(7#1 000-%$1 .070%$17 000000
S4K4364N72? *0000$$$- 0000%# *(0($#%#( 000000
IN8L2SI? 0000#%- 00000(0 -0%0100- 000000
V9L4ME? *0000%%%0 00000$1 *%0#1077 000-%
8i:ed E//e&ts +)ross,
3INP)**) 0007.$
3626P**) 0000%1(1
366)2**) 0000111-
366NI**) 000-0.$
366NP**) 0000(#(-
3665I**) 000%01%
36DMN**) 000.%$.
36EKS**) 000000-
36KS;**) 0000#0
36M5I**) 000%0$$.
36N72**) 000(1%
36NII**) 000$(17
36NLI**) 000-70
36S;D**) *0000#$01
36VI)**) *000%#(#(
3M2<2**) *000#07(#
3ME72**) *00011.#$
3NISP**) *000100$0
3PN6N**) *000(%-
E//e&ts Spe&i/i&ation
)ross*se&tion /i:ed +du""= 'ariables,
5*squared 000-%..# Mean dependent 'ar $0(%070
2d>usted 5*squared 000#00%# S0D0 dependent 'ar 0007#%%0
S0E0 o/ re?ression 0007%7$ 2@ai@e in/o &riterion *%01$071.
Su" squared resid (01%1#%. S&hAarB &riterion *%01..#
Lo? li@elihood $%$0(07 8*statisti& #0...$$
Durbin*;atson stat 001-%..$ Prob+8*statisti&, 00000000
7a"bar 9utput untu@ 'ariable Nilai !u@ar
Dependent Variable: S4K4364N72?
Method: Pooled Least Squares
Date: 07/7/ !i"e: #:0.
Sa"ple: %00#M0 %00M%
In&luded obser'ations: (#
)ross*se&tions in&luded: $
!otal pool +balan&ed, obser'ations: -$.
Variable )oe//i&ient Std0 Error t*Statisti& Prob0
) -%0-.$- #0$.0.-# 00-$7%$ 000000
NIL2I3!4K25? *#07(7($$ 00-1(1# *(0($#%#( 000000
IN8L2SI? 00%((#01 000.117 70.-17 000000
V9L4ME? *000#.(( 000$$$7 *%010$7$0 000%0
8i:ed E//e&ts +)ross,
3INP)**) 007-7$-
3626P**) 00-%0#$#
366)2**) 00-#0#-0
366NI**) 007(##$.
366NP**) 00.#7--
3665I**) 00($1-01
36DMN**) 00(0$(($
36EKS**) 007((.#.
36KS;**) 00--##.1
36M5I**) 00$077-
36N72**) 00(-%0(%
36NII**) 00((1-#(
36NLI**) 0077#7
36S;D**) *00%0.7$1
36VI)**) *07(1.0
3M2<2**) *%0-07.
3ME72**) *0$...70
3NISP**) *0($%.%.
3PN6N**) *0.#-.#
E//e&ts Spe&i/i&ation
)ross*se&tion /i:ed +du""= 'ariables,
5*squared 00$#.# Mean dependent 'ar (07-(.-
2d>usted 5*squared 00(1($. S0D0 dependent 'ar 07.(%#
S0E0 o/ re?ression 0-$.0# 2@ai@e in/o &riterion 107(0-0
Su" squared resid 1$(70%.1 S&hAarB &riterion 10(--#-
Lo? li@elihood *%$$-0%7( 8*statisti& (0#70
Durbin*;atson stat 00%($$( Prob+8*statisti&, 00000000
7a"bar 9utput untu@ 'ariable Su@u bun?a
Dependent Variable: IN8L2SI?
Method: Pooled Least Squares
Date: 07/7/ !i"e: #:07
Sa"ple: %00#M0 %00M%
In&luded obser'ations: (#
)ross*se&tions in&luded: $
!otal pool +balan&ed, obser'ations: -$.
Variable )oe//i&ient Std0 Error t*Statisti& Prob0
) *#00%1%1 70..-%. *-0.%-( 000000
NIL2I3!4K25? #00( 00770-7 -0%0100- 000000
S4K4364N72? 00-7107# 0001%#.% 70.-17 000000
V9L4ME? 000.1-$( 000%($0 %0%-.0.% 000%#%
8i:ed E//e&ts +)ross,
3INP)**) *%0#-(.$.
3626P**) *%0($-7-
366)2**) *%0%7-$
366NI**) *%0--1#1-
366NP**) *%01.#7#0
3665I**) *%07011$
36DMN**) *%0-((0-7
36EKS**) *%01$#.10
36KS;**) *%0%1..$%
36M5I**) *%07%107
36N72**) *%0.#.1-7
36NII**) *%0.($#(
36NLI**) *%0#-11(-
36S;D**) 00-#0$$
36VI)**) .0%0((1
3M2<2**) .0.-(10(
3ME72**) .0#-1$.0
3NISP**) .01-%00.
3PN6N**) .00((1
E//e&ts Spe&i/i&ation
)ross*se&tion /i:ed +du""= 'ariables,
5*squared 007-##$( Mean dependent 'ar %0#1#$.7
2d>usted 5*squared 007-%%% S0D0 dependent 'ar #0#$(-(
S0E0 o/ re?ression %0%#1-71 2@ai@e in/o &riterion #0#.770-
Su" squared resid 7$%%0$%0 S&hAarB &riterion #0-#(00
Lo? li@elihood *1-#10%%$ 8*statisti& %1001-00
Durbin*;atson stat 00%#7(.0 Prob+8*statisti&, 00000000
7a"bar 9utput untu@ 'ariable In/lasi
Dependent Variable: V9L4ME?
Method: Pooled Least Squares
Date: 07/7/ !i"e: #:0(
Sa"ple: %00#M0 %00M%
In&luded obser'ations: (#
)ross*se&tions in&luded: $
!otal pool +balan&ed, obser'ations: -$.
Variable )oe//i&ient Std0 Error t*Statisti& Prob0
) %(0($($ .0#%0%07 #0#(($1# 000000
NIL2I3!4K25? *0.(#107 00.$%$ *%0#1077 000-%
S4K4364N72? *000711( 0001..# *%010$7$0 000%0
IN8L2SI? 000-0.( 000%%#.- %0%-.0.% 000%#%
8i:ed E//e&ts +)ross,
3INP)**) 00.7(%.
3626P**) *10--#-00
366)2**) *10%7$$
366NI**) %0-77$0
366NP**) *00(070$7
3665I**) #0-$1%.
36DMN**) %070$-
36EKS**) *0$0%$$1
36KS;**) *%0(%%-.7
36M5I**) #0(%7((
36N72**) 10.%%-#0
36NII**) #010-(-7
36NLI**) 00-(#$
36S;D**) *0-171.0
36VI)**) 0071-.1
3M2<2**) *7000101
3ME72**) *107$000(
3NISP**) *%0(.$1
3PN6N**) 10.0.1
E//e&ts Spe&i/i&ation
)ross*se&tion /i:ed +du""= 'ariables,
5*squared 007%%-#. Mean dependent 'ar %0(#0#
2d>usted 5*squared 007((## S0D0 dependent 'ar 10777(7
S0E0 o/ re?ression %000%(%0 2@ai@e in/o &riterion #0%#0.7(
Su" squared resid .1107.$ S&hAarB &riterion #01#771
Lo? li@elihood *11.%00. 8*statisti& $-0$0
Durbin*;atson stat 01$$. Prob+8*statisti&, 00000000
7a"bar 9utput untu@ 'ariable in/lasi
Untuk persamaan (1) nilai 2
$
adalah sebesar 00$%(0- selanjutn3a disebut 2
$

1
Untuk persamaan ($) nilai 2
$
adalah sebesar 000-%..# selanjutn3a disebut 2
$

$
Untuk persamaan (%) nilai 2
$
adalah sebesar 00$#.# selanjutn3a disebut 2
$

%
Untuk persamaan (&) nilai 2
$
adalah sebesar 007-##$( selanjutn3a disebut 2
$

&
Untuk persamaan (*) nilai 2
$
adalah sebesar 007%%-#. selanjutn3a disebut 2
$

*

+etentuan :
4ila nilai 2
$

1
5 2
$

$ 6
2
$

%6
2
$

&6
2
$

*
maka model tidak diketemukan adan3a
multikolonearitas.
4ila nilai 2
$

1
7 2
$

$ 6
2
$

%6
2
$

&6
2
$

*
maka model diketemukan adan3a
multikolonearitas
Analisa Hasil Output, menunjukan bahwa nilai 2
$

1
5 2
$

$ 6
2
$

%6
2
$

&6
2
$

*
maka dalam
model tidak diketemukan adan3a multikolonearitas
Uji -eteroskedastisitas
Uji 8hite
-asil 9utput white -eteroskedastisitas
Dependent Variable: INDEKS?
Method: Pooled Least Squares
Date: 07/7/ !i"e: -:#
Sa"ple: %00#M0 %00M%
In&luded obser'ations: (#
)ross*se&tions in&luded: $
!otal pool +balan&ed, obser'ations: -$.
;hite &ross*se&tion standard errors C &o'arian&e +no d0/0 &orre&tion,
Variable )oe//i&ient Std0 Error t*Statisti& Prob0
) #01%$0$ 0.7%-1( (0-.7%71 000000
NIL2I3!4K25? *00(#%11 0077-7 *#07#1$-$ 000000
S4K4364N72? *000710(- 0000-$(1 *%0%--$ 000000
IN8L2SI? *00071 00001(7- *100%7#$0 0000%-
V9L4ME? 000%1#$ 0000171# -07((# 000000
8i:ed E//e&ts +)ross,
3INP)**) *0$.1$
3626P**) *0.-#7-(
366)2**) *%0(#.(
366NI**) 00%%-7$
366NP**) 00.7#77#
3665I**) %001%0
36DMN**) %0($..1
36EKS**) *0.7(-.#
36KS;**) *000#-11
36M5I**) 0#1.$-
36N72**) 000(.-7%
36NII**) *007$#(#
36NLI**) 001%-((%
36S;D**) 000(01-(
36VI)**) *0-%#%17
3M2<2**) 00-.$$%
3ME72**) 0.7%7#7
3NISP**) 00-$#-01
3PN6N**) 00%7#(
E//e&ts Spe&i/i&ation
)ross*se&tion /i:ed +du""= 'ariables,
5*squared 00$%(0- Mean dependent 'ar .0%0-1.
2d>usted 5*squared 00$%70$$ S0D0 dependent 'ar 0#7%((7
S0E0 o/ re?ression 001$7.(% 2@ai@e in/o &riterion 0007$(0
Su" squared resid %#(077%0 S&hAarB &riterion 00(-##1
Lo? li@elihood *7(01.(0 8*statisti& $%%0$$$%
Durbin*;atson stat 00$1. Prob+8*statisti&, 00000000
hasil u>i "enanda@an White cross-section standard errors & covariance (no d.f. correction)
Uji Hausman
)orrelated 5ando" E//e&ts * Daus"an !est
Pool: P9L
!est &ross*se&tion random effects
!est Su""ar=
)hi*Sq0
Statisti& )hi*Sq0 d0/0 Prob0
)ross*se&tion rando" 10$0#7-7 # 00#$0
)ross*se&tion rando" e//e&ts test &o"parisons:
Variable 8i:ed 5ando" Var+Di//0, Prob0
V9L4ME? 000%1#$ 000%7%. 00000000 00#%7
NIL2I3!4K25? *00(#%11 *00(#770 0000000 007-%-
IN8L2SI? *00071 *000.-# 00000000 007#$(
S4K4364N72? *000710(- *000717 00000000 00(($
)ross*se&tion rando" e//e&ts test equation:
Dependent Variable: INDEKS?
Method: Panel Least Squares
Date: 07/7/ !i"e: .:0%
Sa"ple: %00#M0 %00M%
In&luded obser'ations: (#
)ross*se&tions in&luded: $
!otal pool +balan&ed, obser'ations: -$.
Variable )oe//i&ient Std0 Error t*Statisti& Prob0
) #01%$0$ 0%(%$1( 0.($. 000000
V9L4ME? 000%1#$ 0000-00- #0%.-7-0 000000
NIL2I3!4K25? *00(#%11 0017(#1 *.00$1-7 000000
IN8L2SI? *00071 0000##.( *%0.%-.11 0000(7
S4K4364N72? *000710(- 0000.%$( *0.0#-1 000000
E//e&ts Spe&i/i&ation
)ross*se&tion /i:ed +du""= 'ariables,
5*squared 00$%(0- Mean dependent 'ar .0%0-1.
2d>usted 5*squared 00$%70$$ S0D0 dependent 'ar 0#7%((7
S0E0 o/ re?ression 001$7.(% 2@ai@e in/o &riterion 0007$(0
Su" squared resid %#(077%0 S&hAarB &riterion 00(-##1
Lo? li@elihood *7(01.(0 Dannan*Euinn &riter0 001.7#(
8*statisti& $%%0$$$% Durbin*;atson stat 00$1.
Prob+8*statisti&, 00000000
Dependent Variable: INDEKS?
Method: Pooled E7LS +)ross*se&tion rando" e//e&ts,
Date: 07/$/ !i"e: %%:#%
Sa"ple: %00#M0 %00M%
In&luded obser'ations: (#
)ross*se&tions in&luded: $
!otal pool +balan&ed, obser'ations: -$.
SAa"= and 2rora esti"ator o/ &o"ponent 'arian&es
Variable )oe//i&ient Std0 Error t*Statisti& Prob0
) #01%0% 01%(.. 00(11$# 000000
NIL2I3!4K25? *00(#770 0017(1( *.00.$1- 000000
S4K4364N72? *000717 0000.%$. *0.%7% 000000
IN8L2SI? *000.-# 0000##. *%0.%%-% 0000$
V9L4ME? 000%7%. 0000#$$( #01#..%- 000000
5ando" E//e&ts +)ross,
3INP)**) *0$.%%.
3626P**) *0.--7(
366)2**) *%0(17##
366NI**) 00%001
366NP**) 00.7#.-%
3665I**) %00$$.(-
36DMN**) %0(.7#%
36EKS**) *0.7-$.$
36KS;**) *0001%%7
36M5I**) 0#11$.$
36N72**) 000(-1-(
36NII**) *007$-#%.
36NLI**) 001%--7(
36S;D**) 000(0(#
36VI)**) *0-%1#1
3M2<2**) 00-((7#
3ME72**) 0.7$#-
3NISP**) 00-$##$
3PN6N**) 00%--0
E//e&ts Spe&i/i&ation
S0D0 5ho
)ross*se&tion rando" 01($%$% 00$%#1
Idios=n&rati& rando" 001$7.(% 0007-7
;ei?hted Statisti&s
5*squared 0010$%0 Mean dependent 'ar 00$170.
2d>usted 5*squared 00%(71- S0D0 dependent 'ar 00#%.7%
S0E0 o/ re?ression 001$77$- Su" squared resid %-07.(
8*statisti& -$0$7.% Durbin*;atson stat 00($117
Prob+8*statisti&, 00000000
4nAei?hted Statisti&s
5*squared 000#7%1 Mean dependent 'ar .0%0-1.
Su" squared resid 11-0(% Durbin*;atson stat 000#17.
5edundant 8i:ed E//e&ts !ests
Pool: M4LNIL2I!4K25
Test cross-section fixed effects
E//e&ts !est Statisti& d0/0 Prob0
)ross*se&tion 8 7$$$0#(0%1% +(F-71, 000000
Uji Redundant Fixed Effect Test
5edundant 8i:ed E//e&ts !ests
Pool: M4LNIL2I!4K25
!est &ross*se&tion /i:ed e//e&ts
E//e&ts !est Statisti& d0/0 Prob0
)ross*se&tion 8
7$$$0#
(0%170
(07 +(F-71, 0
)ross*se&tion /i:ed e//e&ts test equation:
Dependent Variable: INDEKS?
Method: Panel E7LS +)ross*se&tion S45,
Date: 07/%0/ !i"e: 0(:-(
Sa"ple: %00#M0 %00M%
In&luded obser'ations: (#
)ross*se&tions in&luded: $
!otal pool +balan&ed, obser'ations: -$.
4se pre*spe&i/ied 7LS Aei?hts
Variable )oe//i&ient Std0 Error t*Statisti& Prob0
)
0001%7.#.
0%(0%$$
00.(.#.$7#7%
#-%11
000#-#7-.1%..#1.
% 00$.1711$00-$.($-
NIL2I3!4K25?
0010.%(1%.$
.$(7$1
0007#07$$1(
0%.-(-# #01##$7(7.#0(7
107#%(07-(-.077%(e
*0-
S4K4364N72?
*
000(.7-(#
#7##7.%.
0000111.7-1
-.#%01. *%70.(171.0.10.(%%
-00-((1$%.#0(%%e
*1(
IN8L2SI?
000#1$(%%1
%7.17-(
00000--171
%.7%#77.. %.011$1%..--$-
%01#$7(#%..0%.0-e
*%-
V9L4ME?
00%%%-(($%(
-(7$10%
00000710(.-
7%#%##7%7 10#0(1(#1011%7-# 0
;ei?hted Statisti&s
5*squared
00%%(.%#.--
-71$## Mean dependent 'ar -00.(1.(#(1-#(
2d>usted 5*squared
00%%..(-10(
1(#$ S0D0 dependent 'ar %107#(%-.#77$(1
S0E0 o/ re?ression
#01#$.77#0
7(##%# Su" squared resid 1%7.070$.7--$1%$$
8*statisti&
70((7#%$7
(-7$. Durbin*;atson stat
0007($%$#.17.%$1-
$
Prob+8*statisti&,
10($($#$1
(.($e*((
4nAei?hted Statisti&s
5*squared
*
00.0.1$7.#1
%$$-.#. Mean dependent 'ar .0%0-1-(01%$#.7-
Su" squared resid
---(0#1$1
17#0. Durbin*;atson stat 000.$%(.(##-1000%

Dependent Variable: INDEKS? .

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