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LAMPIRAN OUTPUT EVIEWS DESKRIPTIF STATISTIK
Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis
PRICE 6.401903 6.375867 8.665613 4.025352 0.960962 -0.162316 2.548091
BVEIT 5.557667 2.872967 68.68162 -8.698224 8.557263 4.370455 28.73991
EARN 1.178630 0.336988 24.68283 -2.794102 3.763141 4.900036 27.65303
GW 0.450071 0.079987 6.336199 0.000000 0.786895 3.257255 19.01699
GWAM -1.110771 0.000000 0.000000 -7.018737 1.921864 -1.420783 3.587426
GWIMP 0.031037 0.000000 2.970558 0.000000 0.227735 11.44891 144.4685
Jarque-Bera Probability
2.528465 0.282456
6034.731 0.000000
5747.810 0.000000
2441.692 0.000000
68.75979 0.000000
167724.0 0.000000
Sum Sum Sq. Dev.
1254.773 180.0724
1089.303 14279.22
231.0114 2761.439
88.21394 120.7448
-217.7111 720.2445
6.083255 10.11335
Observations
196
196
196
196
196
196
Persamaan 1 MODEL REGRESI LINIER 1. Metode Common effect: Dependent Variable: PRICE Method: Panel Least Squares Date: 04/30/21 Time: 13:17 Sample: 2009 2015 Periods included: 7 Cross-sections included: 28 Total panel (balanced) observations: 196 Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT EARN GW GWAM
6.187392 0.015961 -0.028756 -0.429371 -0.317750
0.066461 0.008142 0.018826 0.054731 0.023067
93.09839 1.960289 -1.527464 -7.845054 -13.77490
0.0000 0.0514 0.1283 0.0000 0.0000
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0.653706 Mean dependent var 0.646454 S.D. dependent var 0.571386 Akaike info criterion 62.35796 Schwarz criterion -165.8801 Hannan-Quinn criter. 90.13867 Durbin-Watson stat 0.000000
6.401903 0.960962 1.743674 1.827299 1.777530 0.179975
2. Metode Fixed effect: Dependent Variable: PRICE Method: Panel Least Squares Date: 04/30/21 Time: 13:18 Sample: 2009 2015 Periods included: 7 Cross-sections included: 28 Total panel (balanced) observations: 196 Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT EARN GW GWAM
6.429478 0.000681 -0.005598 -0.192548 -0.055728
0.035086 0.002868 0.011438 0.042963 0.021041
183.2491 0.237299 -0.489368 -4.481722 -2.648528
0.0000 0.8127 0.6252 0.0000 0.0089
Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0.977787 Mean dependent var 0.973588 S.D. dependent var 0.156173 Akaike info criterion 3.999956 Schwarz criterion 103.2875 Hannan-Quinn criter. 232.8725 Durbin-Watson stat 0.000000
6.401903 0.960962 -0.727424 -0.192221 -0.510748 0.872786
3. Metode Random effect Dependent Variable: PRICE Method: Panel EGLS (Cross-section random effects) Date: 04/30/21 Time: 13:18 Sample: 2009 2015 Periods included: 7 Cross-sections included: 28 Total panel (balanced) observations: 196 Swamy and Arora estimator of component variances Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT EARN GW GWAM
6.404468 0.000320 -0.001510 -0.231105 -0.091332
0.110654 0.002855 0.010931 0.041139 0.019785
57.87811 0.112171 -0.138134 -5.617628 -4.616275
0.0000 0.9108 0.8903 0.0000 0.0000
Effects Specification
Cross-section random Idiosyncratic random
S.D.
Rho
0.557242 0.156173
0.9272 0.0728
Weighted Statistics R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)
0.202839 Mean dependent var 0.186145 S.D. dependent var 0.166291 Sum squared resid 12.15010 Durbin-Watson stat 0.000000
0.674371 0.184330 5.281679 0.642051
Unweighted Statistics R-squared Sum squared resid
0.382144 Mean dependent var 111.2588 Durbin-Watson stat
6.401903 0.023486
Uji Pemilihan Model: 1. Uji Chow Redundant Fixed Effects Tests Equation: REGRESI_FIXED_PERS1 Test cross-section fixed effects Effects Test Cross-section F Cross-section Chi-square
Statistic
d.f.
Prob.
88.618681 538.335154
(27,164) 27
0.0000 0.0000
Karena Probabilitas pada F hitung kurang dari 0,05 (0,000 < 0,05) maka model yang lebih baik adalah Fixed effect daripada Common effect. 2. Uji Hausman Correlated Random Effects - Hausman Test Equation: REGRESI_RANDOM_PERS1 Test cross-section random effects Test Summary Cross-section random
Chi-Sq. Statistic
Chi-Sq. d.f.
Prob.
29.551206
4
0.0000
Karena Probabilitas Chi square hitung kurang dari 0,05 (0,00 < 0,05) maka model yang lebih baik adalah Fixed effect daripada Random effect.
3. Uji Langrange Multiplier Lagrange multiplier (LM) test for panel data Date: 04/30/21 Time: 13:04 Sample: 2009 2015 Total panel observations: 196 Probability in () Null (no rand. effect) Alternative Breusch-Pagan Honda King-Wu GHM
Cross-section One-sided
Period One-sided
Both
397.6770 (0.0000) 19.94184 (0.0000) 19.94184 (0.0000) ---
1.970367 (0.1604) -1.403698 (0.9198) -1.403698 (0.9198) ---
399.6474 (0.0000) 13.10845 (0.0000) 7.233537 (0.0000) 397.6770 (0.0000)
Karena nilai LM kurang dari 0,05 (0,000 < 0,05), maka model yang lebih baik adalah Random effect daripada Common effect. Jadi model regresi yang digunakan dalam penelitian ini adalah model Fixed effect.
UJI ASUMSI KLASIK 1. Uji Normalitas 70
Series: Standardized Residuals Sample 2009 2015 Observations 196
60 50 40 30 20 10 0 -0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis
4.53e-18 -0.000344 1.024232 -0.555847 0.143222 1.255552 18.88561
Jarque-Bera Probability
2112.377 0.000000
2. Uji Multikolinearitas Variance Inflation Factors Date: 04/30/21 Time: 13:29 Sample: 1 196 Included observations: 196
Variable
Coefficient Variance
Uncentered VIF
Centered VIF
C BVEIT EARN GW GWAM
0.004417 6.63E-05 0.000354 0.002996 0.000532
2.651724 4.128720 3.293383 1.472131 1.567986
NA 2.899440 2.997801 1.107854 1.173855
3. Uji Heteroskedastisitas Heteroskedasticity Test: White F-statistic Obs*R-squared Scaled explained SS
0.399906 Prob. F(4,191) 1.627866 Prob. Chi-Square(4) 4.032606 Prob. Chi-Square(4)
0.8086 0.8038 0.4016
Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 04/30/21 Time: 13:31 Sample: 1 196 Included observations: 196 Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT^2 EARN^2 GW^2 GWAM^2
0.345424 -7.68E-05 -0.000200 -0.014280 -0.000919
0.061718 0.000179 0.001033 0.016562 0.005404
5.596815 -0.429420 -0.193991 -0.862189 -0.170060
0.0000 0.6681 0.8464 0.3897 0.8651
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 4.
0.008305 Mean dependent var -0.012463 S.D. dependent var 0.733090 Akaike info criterion 102.6475 Schwarz criterion -214.7242 Hannan-Quinn criter. 0.399906 Durbin-Watson stat 0.808563
0.318153 0.728564 2.242083 2.325709 2.275939 0.367942
5. Uji Autokorelasi Dependent Variable: PRICE Method: Panel Least Squares Date: 04/30/21 Time: 13:18 Sample: 2009 2015 Periods included: 7 Cross-sections included: 28 Total panel (balanced) observations: 196 Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT EARN GW GWAM
6.429478 0.000681 -0.005598 -0.192548 -0.055728
0.035086 0.002868 0.011438 0.042963 0.021041
183.2491 0.237299 -0.489368 -4.481722 -2.648528
0.0000 0.8127 0.6252 0.0000 0.0089
Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0.977787 Mean dependent var 0.973588 S.D. dependent var 0.156173 Akaike info criterion 3.999956 Schwarz criterion 103.2875 Hannan-Quinn criter. 232.8725 Durbin-Watson stat 0.000000
6.401903 0.960962 -0.727424 -0.192221 -0.510748 0.872786
Persamaan 2 MODEL REGRESI LINIER 4. Metode Common effect: Dependent Variable: PRICE Method: Panel Least Squares Date: 04/30/21 Time: 13:22 Sample: 2009 2015 Periods included: 7 Cross-sections included: 28 Total panel (balanced) observations: 196 Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT
6.629257 -0.000987
0.078124 0.011003
84.85610 -0.089734
0.0000 0.9286
EARN GW GWIMP R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0.031536 -0.634857 0.860111
0.025036 0.071746 0.247553
1.259640 -8.848623 3.474450
0.350719 Mean dependent var 0.337121 S.D. dependent var 0.782390 Akaike info criterion 116.9176 Schwarz criterion -227.4807 Hannan-Quinn criter. 25.79287 Durbin-Watson stat 0.000000
0.2093 0.0000 0.0006 6.401903 0.960962 2.372252 2.455878 2.406108 0.116270
5. Metode Fixed effect: Dependent Variable: PRICE Method: Panel Least Squares Date: 04/30/21 Time: 13:24 Sample: 2009 2015 Periods included: 7 Cross-sections included: 28 Total panel (balanced) observations: 196 Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT EARN GW GWIMP
6.479932 0.001049 -0.003959 -0.192863 0.245201
0.026427 0.002791 0.011150 0.041871 0.061209
245.1967 0.375732 -0.355045 -4.606075 4.005978
0.0000 0.7076 0.7230 0.0000 0.0001
Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0.978901 Mean dependent var 0.974913 S.D. dependent var 0.152205 Akaike info criterion 3.799275 Schwarz criterion 108.3319 Hannan-Quinn criter. 245.4525 Durbin-Watson stat 0.000000
6. Metode Random effect
Dependent Variable: PRICE Method: Panel EGLS (Cross-section random effects)
6.401903 0.960962 -0.778897 -0.243694 -0.562221 1.141455
Date: 04/30/21 Time: 13:25 Sample: 2009 2015 Periods included: 7 Cross-sections included: 28 Total panel (balanced) observations: 196 Swamy and Arora estimator of component variances Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT EARN GW GWIMP
6.486891 0.000934 -0.001241 -0.214459 0.251510
0.153900 0.002786 0.010908 0.041010 0.061110
42.14993 0.335203 -0.113801 -5.229421 4.115704
0.0000 0.7378 0.9095 0.0000 0.0001
S.D.
Rho
0.802589 0.152205
0.9653 0.0347
Effects Specification
Cross-section random Idiosyncratic random Weighted Statistics R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)
0.186155 Mean dependent var 0.169112 S.D. dependent var 0.154139 Sum squared resid 10.92213 Durbin-Watson stat 0.000000
0.457702 0.169099 4.537925 0.895152
Unweighted Statistics R-squared Sum squared resid
0.184512 Mean dependent var 146.8469 Durbin-Watson stat
6.401903 0.015323
Uji Pemilihan Model: 4. Uji Chow Redundant Fixed Effects Tests Equation: REGRESI_FIXED_PERS2 Test cross-section fixed effects Effects Test Cross-section F Cross-section Chi-square
Statistic
d.f.
Prob.
180.847429 671.625203
(27,164) 27
0.0000 0.0000
Karena Probabilitas pada F hitung kurang dari 0,05 (0,000 < 0,05) maka model yang lebih baik adalah Fixed effect daripada Common effect.
5. Uji Hausman Correlated Random Effects - Hausman Test Equation: REGRESI_RANDOM_PERS2 Test cross-section random effects Test Summary Cross-section random
Chi-Sq. Statistic
Chi-Sq. d.f.
Prob.
8.884674
4
0.0640
Karena Probabilitas Chi square hitung lebih dari 0,05 (0,0640 > 0,05) maka model yang lebih baik adalah random effect daripada random effect.
6. Uji Langrange Multiplier
Lagrange multiplier (LM) test for panel data Date: 04/30/21 Time: 13:04 Sample: 2009 2015 Total panel observations: 196 Probability in () Null (no rand. effect) Alternative Breusch-Pagan Honda King-Wu GHM
Cross-section One-sided
Period One-sided
Both
488.9512 (0.0000) 22.11224 (0.0000) 22.11224 (0.0000) ---
2.319838 (0.1277) -1.523101 (0.9361) -1.523101 (0.9361) ---
491.2711 (0.0000) 14.55872 (0.0000) 8.050994 (0.0000) 488.9512 (0.0000)
Karena nilai LM kurang dari 0,05 (0,000 < 0,05), maka model yang lebih baik adalah Random effect daripada Common effect. Jadi model regresi yang digunakan dalam penelitian ini adalah model random effect. UJI ASUMSI KLASIK 6. Uji Normalitas
32
Series: Standardized Residuals Sample 2009 2015 Observations 196
28 24 20 16 12 8 4
Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis
-1.88e-15 -0.048940 2.006810 -2.508310 0.867791 -0.242836 2.846999
Jarque-Bera Probability
2.117501 0.346889
0 -2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
7. Uji Multikolinearitas Variance Inflation Factors Date: 04/30/21 Time: 13:32 Sample: 1 196 Included observations: 196
Variable
Coefficient Variance
Uncentered VIF
Centered VIF
C BVEIT EARN GW GWIMP
0.006103 0.000121 0.000627 0.005148 0.061283
1.954218 4.021704 3.106340 1.349232 1.031380
NA 2.824287 2.827545 1.015366 1.012478
8. Uji Heteroskedastisitas Heteroskedasticity Test: White F-statistic Obs*R-squared Scaled explained SS
0.468964 Prob. F(4,191) 1.906242 Prob. Chi-Square(4) 3.353326 Prob. Chi-Square(4)
0.7585 0.7530 0.5005
Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 04/30/21 Time: 13:33 Sample: 1 196 Included observations: 196 Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT^2 EARN^2 GW^2 GWIMP^2 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0.625154 -0.000166 -0.000506 -0.002448 -0.030786
0.087906 0.000282 0.001618 0.025957 0.130966
7.111583 -0.586945 -0.312692 -0.094300 -0.235072
0.009726 Mean dependent var -0.011013 S.D. dependent var 1.157443 Akaike info criterion 255.8777 Schwarz criterion -304.2373 Hannan-Quinn criter. 0.468964 Durbin-Watson stat 0.758471
0.0000 0.5579 0.7549 0.9250 0.8144 0.596518 1.151121 3.155482 3.239108 3.189338 0.106585
8. Uji Autokorelasi Dependent Variable: PRICE Method: Panel EGLS (Cross-section random effects) Date: 04/30/21 Time: 13:25 Sample: 2009 2015 Periods included: 7 Cross-sections included: 28 Total panel (balanced) observations: 196 Swamy and Arora estimator of component variances Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BVEIT EARN GW GWIMP
6.486891 0.000934 -0.001241 -0.214459 0.251510
0.153900 0.002786 0.010908 0.041010 0.061110
42.14993 0.335203 -0.113801 -5.229421 4.115704
0.0000 0.7378 0.9095 0.0000 0.0001
S.D.
Rho
0.802589 0.152205
0.9653 0.0347
Effects Specification
Cross-section random Idiosyncratic random Weighted Statistics R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)
0.186155 Mean dependent var 0.169112 S.D. dependent var 0.154139 Sum squared resid 10.92213 Durbin-Watson stat 0.000000
0.457702 0.169099 4.537925 0.895152
Unweighted Statistics R-squared Sum squared resid
0.184512 Mean dependent var 146.8469 Durbin-Watson stat
6.401903 0.015323
