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Dr. Werner R. Murhadi
PANEL DATA
WITH EVIEWS
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Data Panel merupakan kombinasi Time series dan cross section
Data panel mampu menurunkan masalah omitted variables (model
yang mengabaikan variabel yang relevan).
Ada 3 metode yg dpt dipakai untuk data panel:
1. Pooled Least Square (PLS), estimasi data panel dg memakai
OLS. Biasa juga disebuat common effect.
2. Fixed Effect (FE) dg menambahkan model dummy pada data.
3. Random Effect (RE), memperhitungkan error dr data panel dg
metode LS.
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Pendekatan PLS scr sederhana menggabungkan (pooled) seluruh
data time series dan cross section.
Pendekatan FE memperhitungkan kemungkinan bahwa peneliti
menghadapi masalah omitted variables, yg mungkin membawa
perubahan pada intercept time series atau cross section. Model ini
menambahkan dummy untuk mengijinkan adanya perubahan
intercept ini.
Pendekatan RE memperbaiki efisiensi proses LS dg
memperhitungkan error dari cross section dan time series.
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Model PLS
Model FE
Model RE
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Uji digunakan untuk menentukan apakah model PLS atau FE
m = jumlah restricted variable
n = jumlah sampel
k = jumlah variabel bebas
Hipotesis:
Ho = model PLS
H1 = Model Fixed Effect
Bila F hitung > F tabel, kita tolak Ho
Pemilihan Model Data Panel
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Uji Hausman untuk menentukan apakah model FE atau RE
Rumus untuk mendapatkan nilai chisquare uji hasuman:
Matrix b_diff = b_fixed – b_random
matrix var_diff = cov_fixed – cov_random
matrix qform = @ transpose(b_diff)*@inverse(var_diff)*b_diff
Hipotesis:
Ho: RE, sedangkan H1 = FE
Bila chi square hitung > chi square tabel, dan p-value signifikan,
maka Ho ditolak (H1 diterima FE lebih tepat!)
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Contoh :data test
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