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? .

16896 -6.0000 0.205136 1.073085 -0.004468 0.127418 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.D.265750 0.000000 .E.007980 1.60453 -2.0087 0.282938 0.9992 0.436951 0.022579 0.32909 -0.137843 0.085443 922.014533 1.103201 2. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.005005 11.7720 -781.472887 1.0000 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.011731 0.524237 0.927099 0.594503 0.109357 -11.674774 2.3680 0.625633 4.928105 0.678564 -0. Error t-Statistic Prob.654758 -2.0000 -1.325882 0.006298 0.021349 1.080358 -1.156992 1.794814 0.0000 0.963119 -1.191316 Dependent Variable: NILAI_TUKAR? Mean dependent var S.841618 1.842133 -0.672747 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 6.086572 -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 14.397682 248.

316641 4. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.0000 0.0152 0.003335 0.019837 0.040024 0.166699 0.D.018321 0.015293 0.000105 0.390736 -2.011570 -0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) Gambar Output untuk variable Nilai Tukar Dependent Variable: SUKU_BUNGA? 9.020312 0.E.002220 0.024848 -0.009995 0.0000 0.030090 -0.004011 0.000913 607.000000 .2937 -8.0000 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 9.001124 0.000810 0.018215 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.894248 5.072719 8.052664 0.004215 -0.182070 0.004903 -0.287431 -0.011769 0.016296 0.015069 0.323426 1929.807 0.074220 -2.008485 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.020996 0.002383 0.203005 -2.040784 -0.430771 0.033649 -0. Error t-Statistic Prob.352669 Mean dependent var S.

647515 0.0000 0.893503 0. Error t-Statistic Prob.11470 0.115076 -1.65371 -2.0000 0.809889 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 52.288403 -0. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.538314 0.183896 1.206793 -1.715795 0.016337 0.56951 -4.960654 0.046188 4.645614 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.194641 0.540450 0.554463 0.711747 -0.761824 3.278 0.0210 0.966670 -1.787899 0. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) Gambar Output untuk variable Suku bunga Dependent Variable: INFLASI? 8.000000 .855145 18.263 -2995.715865 1.883548 0.783601 -2.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.309790 0.781050 3.788646 0.852082 0.218998 Mean dependent var S.D.019997 10.784496 0.59729 -8.520494 0.0000 0.591604 3987.892626 -1.907751 0.E.894248 17.

243573 7922.467705 4.541800 230.553435 -2.364740 -2.0000 0.0242 -2.689481 -2.453960 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. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 2.256062 0.658308 6.3500 0.217519 -2.032462 0.498158 4.920 -3543.352006 6. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.028190 -5.21323 4.65371 2.011883 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.458696 -2.E.0000 0.229 0.703391 -2.000000 .236692 -2.063598 7. Error t-Statistic Prob.453385 0.573074 0.646357 -2.011811 0.771057 0.723071 -2.D.247860 Gambar Output untuk variable Inflasi Dependent Variable: VOLUME? Mean dependent var S.611258 5.540991 6.201883 6.751222 2.203005 17. 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 -40.434967 4.189575 -2.394630 -2.754498 0.166526 0.588057 -2.0000 0.

1910 0.622540 4.790008 -2.003103 -3.769 -3362.D.537360 0.711095 -1.002820 6313.420207 0.430771 -2.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.061 1.309790 2.073138 0.0242 0.822567 4.240678 4.022465 4.314773 195.127199 2.031664 0.E.581491 -1.84041 3.519326 2. Error t-Statistic Prob.173563 -7. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.671826 -3.305857 0.554500 -3.186913 3. 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. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 12.0152 0.81989 -1.722546 0.488934 -2.827188 3.000000 .161063 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.139916 Gambar Output untuk variable inflasi Mean dependent var S.718844 2.256062 0.807097 4.0000 0.684307 -0.157790 -0.050681 6.692911 0.777187 4.902993 -2.0210 0.

R2 3. R2 4.928105 selanjutnya disebut R2 1 Untuk persamaan (2) nilai R2 adalah sebesar 0. R2 5 maka model diketemukan adanya multikolonearitas Analisa Hasil Output.Untuk persamaan (1) nilai R2 adalah sebesar 0.754498 selanjutnya disebut R2 4 Untuk persamaan (5) nilai R2 adalah sebesar 0.722546 selanjutnya disebut R2 5 Ketentuan : Bila nilai R2 1 > R2 2 . Bila nilai R2 1 < R2 2 . R2 5 maka dalam model tidak diketemukan adanya multikolonearitas .052664 selanjutnya disebut R2 2 Untuk persamaan (3) nilai R2 adalah sebesar 0. R2 4. menunjukan bahwa nilai R2 1 > R2 2 . R2 4. R2 3. R2 5 maka model tidak diketemukan adanya multikolonearitas. R2 3.194641 selanjutnya disebut R2 3 Untuk persamaan (4) nilai R2 adalah sebesar 0.

0000 0.005983 0.436951 0.674774 2.794814 0.014533 1.594503 0.672747 0.325882 0.524237 0.022579 0.086572 -0.0025 0. Error t-Statistic Prob.21559 -3.103201 2.003734 8.073085 -0.177517 0.0000 0.672538 0.718184 0.080358 -1.743959 -12.189663 -1.027490 5.0000 0.567273 -4.654758 -2.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. 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 14.021349 1.011731 0.003875 0.0000 -1.678564 -0.f.32909 -0.841618 1.963119 -1. correction) Variable Coefficient Std.842133 -0.156992 1.127418 Effects Specification Cross-section fixed (dummy variables) .

205136 1. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 6.928105 0.191316 Mean dependent var S.927099 0.D.7720 -781.472887 1. correction) .397682 248.f.9992 0. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.007980 1.3680 0.E.085443 922.R-squared Adjusted R-squared S.000000 hasil uji menandakan White cross-section standard errors & covariance (no d.

0.021349 -0.191316 .000000 Mean dependent var S.7498 0.282938 0.32909 0.073085 1.011731 -0.472887 1.004468 0.7525 0.0000 0.007980 1.005005 0.073117 0. Error t-Statistic Prob.f. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter.842133 -0.841770 -0.0087 0.085443 1.000000 0.927099 0.036748 0.1427 0.397682 248.8189 Cross-section random effects test comparisons: Variable VOLUME? NILAI_TUKAR? INFLASI? SUKU_BUNGA? Fixed 0. Prob.011731 -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.011654 -0.7720 -781.Uji Hausman Correlated Random Effects .16896 4.625633 -11.265750 -6.021726 -0.3680 922. C VOLUME? NILAI_TUKAR? INFLASI? SUKU_BUNGA? 14. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.137843 0.000001 0.109357 -2. Durbin-Watson stat 6.006298 11. Statistic Chi-Sq.000000 0.0000 0.E.Hausman Test Pool: POL Test cross-section random effects Test Summary Cross-section random Chi-Sq.928105 0.60453 0.0000 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S. 3.4190 Random Var(Diff.205136 1.000000 0.842133 -0. d.) Prob.D.9992 0.904757 4 0.021349 -0.0000 0.

014376 .000000 Mean dependent var S.0000 0.961226 -1.841770 -0.080814 -1.128735 0.397795 59.D.E.426172 251.099685 2. dependent var Sum squared resid Durbin-Watson stat 0.073117 -0.006296 0.0000 0.021726 1.158874 1. Cross-section random Idiosyncratic random 1.346625 0.189337 Unweighted Statistics R-squared Sum squared resid 0.612252 4.83394 -6.004998 10.004461 0.433969 0.821 Mean dependent var Durbin-Watson stat 6.186742 -1.32102 -0.91762 0.041723 3315.594149 0.085358 -0.61272 -2.671945 0.9243 0. of regression F-statistic Prob(F-statistic) 0.325578 0.0091 0.193706 0.795426 0.674652 2.0000 0.397682 Rho 0.013227 1.D.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.7618 0.205136 0.125510 Effects Specification S. Error t-Statistic Prob.321866 0.130920 0.011654 0.106935 -11.675969 -0.651578 -2.0000 -1.523413 0.021003 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 14.389292 0.137838 0.837441 1.0757 Weighted Statistics R-squared Adjusted R-squared S.

(18.0000 .480232 d.Redundant Fixed Effects Tests Pool: MULNILAITUKAR Test cross-section fixed effects Effects Test Cross-section F Statistic 17999. Prob.1573) 0.f.

0740799318 3.34967740 784424 117.1573) 0 Std.134497187640871 -05 0.6864697472 0.06836848311548 S.134978426602605e 267247766 26.0789294637629135 9 Durbin-Watson stat Unweighted Statistics R-squared Sum squared resid 0.0454756326164361 452331 2 0.222588928 5879302 Prob.306283269 6987193 0. 0. 17999. Prob.819894913 18689e-88 Mean dependent var 15.205135803294675 0. dependent var 23.742807585607728e 0265854 4.058181392640822e 56420136 -27.D.7482564717983 Sum squared resid 327607.9637339010596895 0.68373606306822 -138 0.0005513731 2.0692868445301002 . of regression F-statistic Prob(F-statistic) 0.11339312665595 -125 0.439311 374016 Mean dependent var Durbin-Watson stat 6.228624655 5739144 0.4 8023170 807 Cross-section F (18.0007301865 724244727 304.Uji Redundant Fixed Effect Test Redundant Fixed Effects Tests Pool: MULNILAITUKAR Test cross-section fixed effects Effects Test Statistic d.0031336753 5. 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 3.226685308 3849111 14.9675593299 0.8384303327541 0 Weighted Statistics R-squared Adjusted R-squared S.031217646 02802199 0.014398223 21763758 0.606397643 2995646 5558.086751841 47447626 0.f.E.

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