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?

Method: Pooled Least SquaresDate: 07/17/11 Time: 14:09Sample: 2004M01 2010M12Included observations: 84Cross-sections included: 19Total pool (balanced) observations: 1596

Variable Coefficient Std. Error t-Statistic Prob.  

C 14.32909 1.282938 11.16896 0.0000NILAI_TUKAR? -0.842133 0.137843 -6.109357 0.0000SUKU_BUNGA? -0.073085 0.006298 -11.60453 0.0000

INFLASI? -0.011731 0.004468 -2.625633 0.0087VOLUME? 0.021349 0.005005 4.265750 0.0000

Fixed Effects (Cross)_INPC--C -1.963119_BABP--C -1.654758_BBCA--C -2.841618_BBNI--C 1.022579_BBNP--C 0.674774_BBRI--C 2.103201

_BDMN--C 2.189663_BEKS--C -1.678564_BKSW--C -0.014533_BMRI--C 1.436951_BNGA--C 0.086572_BNII--C -0.794814_BNLI--C 0.325882

_BSWD--C 0.080358_BVIC--C -1.524237_MAYA--C 0.156992_MEGA--C 1.672747_NISP--C 0.594503_PNBN--C 0.127418

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.928105     Mean dependent var 6.205136Adjusted R-squared 0.927099     S.D. dependent var 1.472887S.E. of regression 0.397682     Akaike info criterion 1.007980Sum squared resid 248.7720     Schwarz criterion 1.085443Log likelihood -781.3680     F-statistic 922.9992Durbin-Watson stat 0.191316     Prob(F-statistic) 0.000000

Dependent Variable: NILAI_TUKAR?

Method: Pooled Least SquaresDate: 07/17/11 Time: 14:02Sample: 2004M01 2010M12Included observations: 84Cross-sections included: 19Total pool (balanced) observations: 1596

Variable Coefficient Std. Error t-Statistic Prob.  

C 9.287431 0.015293 607.2937 0.0000SUKU_BUNGA? -0.009995 0.001124 -8.894248 0.0000

INFLASI? 0.004215 0.000810 5.203005 0.0000VOLUME? -0.002220 0.000913 -2.430771 0.0152

Fixed Effects (Cross)_INPC--C 0.011769_BABP--C 0.002383_BBCA--C 0.003335_BBNI--C 0.015069_BBNP--C 0.008485_BBRI--C 0.020312

_BDMN--C 0.016296_BEKS--C 0.000105_BKSW--C 0.004011_BMRI--C 0.020996_BNGA--C 0.018321_BNII--C 0.019837_BNLI--C 0.011570

_BSWD--C -0.004903_BVIC--C -0.024848_MAYA--C -0.040784_MEGA--C -0.033649_NISP--C -0.030090_PNBN--C -0.018215

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.052664     Mean dependent var 9.182070Adjusted R-squared 0.040024     S.D. dependent var 0.074220S.E. of regression 0.072719     Akaike info criterion -2.390736Sum squared resid 8.323426     Schwarz criterion -2.316641Log likelihood 1929.807     F-statistic 4.166699Durbin-Watson stat 0.352669     Prob(F-statistic) 0.000000

Gambar Output untuk variable Nilai TukarDependent Variable: SUKU_BUNGA?

Method: Pooled Least SquaresDate: 07/17/11 Time: 14:06Sample: 2004M01 2010M12Included observations: 84Cross-sections included: 19Total pool (balanced) observations: 1596

Variable Coefficient Std. Error t-Statistic Prob.  

C 52.56951 4.960654 10.59729 0.0000NILAI_TUKAR? -4.787899 0.538314 -8.894248 0.0000

INFLASI? 0.288403 0.016337 17.65371 0.0000VOLUME? -0.046188 0.019997 -2.309790 0.0210

Fixed Effects (Cross)_INPC--C 0.715795_BABP--C 0.520494_BBCA--C 0.540450_BBNI--C 0.784496_BBNP--C 0.647515_BBRI--C 0.893503

_BDMN--C 0.809889_BEKS--C 0.788646_BKSW--C 0.554463_BMRI--C 0.907751_BNGA--C 0.852082_BNII--C 0.883548_BNLI--C 0.711747

_BSWD--C -0.206793_BVIC--C -1.783601_MAYA--C -2.115076_MEGA--C -1.966670_NISP--C -1.892626_PNBN--C -1.645614

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.194641     Mean dependent var 8.715865Adjusted R-squared 0.183896     S.D. dependent var 1.761824S.E. of regression 1.591604     Akaike info criterion 3.781050Sum squared resid 3987.263     Schwarz criterion 3.855145Log likelihood -2995.278     F-statistic 18.11470Durbin-Watson stat 0.218998     Prob(F-statistic) 0.000000

Gambar Output untuk variable Suku bungaDependent Variable: INFLASI?

Method: Pooled Least SquaresDate: 07/17/11 Time: 14:07Sample: 2004M01 2010M12Included observations: 84Cross-sections included: 19Total pool (balanced) observations: 1596

Variable Coefficient Std. Error t-Statistic Prob.  

C -40.21323 7.166526 -5.611258 0.0000NILAI_TUKAR? 4.011811 0.771057 5.203005 0.0000SUKU_BUNGA? 0.573074 0.032462 17.65371 0.0000

VOLUME? 0.063598 0.028190 2.256062 0.0242Fixed Effects (Cross)

_INPC--C -2.458696_BABP--C -2.189575_BBCA--C -2.217519_BBNI--C -2.553435_BBNP--C -2.364740_BBRI--C -2.703391

_BDMN--C -2.588057_BEKS--C -2.394630_BKSW--C -2.236692_BMRI--C -2.723071_BNGA--C -2.646357_BNII--C -2.689481_BNLI--C -2.453385

_BSWD--C 0.540991_BVIC--C 6.201883_MAYA--C 6.658308_MEGA--C 6.453960_NISP--C 6.352006_PNBN--C 6.011883

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.754498     Mean dependent var 2.434967Adjusted R-squared 0.751222     S.D. dependent var 4.498158S.E. of regression 2.243573     Akaike info criterion 4.467705Sum squared resid 7922.920     Schwarz criterion 4.541800Log likelihood -3543.229     F-statistic 230.3500Durbin-Watson stat 0.247860     Prob(F-statistic) 0.000000

Gambar Output untuk variable InflasiDependent Variable: VOLUME?

Method: Pooled Least SquaresDate: 07/17/11 Time: 14:08Sample: 2004M01 2010M12Included observations: 84Cross-sections included: 19Total pool (balanced) observations: 1596

Variable Coefficient Std. Error t-Statistic Prob.  

C 28.81989 6.420207 4.488934 0.0000NILAI_TUKAR? -1.684307 0.692911 -2.430771 0.0152SUKU_BUNGA? -0.073138 0.031664 -2.309790 0.0210

INFLASI? 0.050681 0.022465 2.256062 0.0242Fixed Effects (Cross)

_INPC--C 0.671826_BABP--C -3.554500_BBCA--C -3.127199_BBNI--C 2.157790_BBNP--C -0.807097_BBRI--C 4.519326

_BDMN--C 2.711095_BEKS--C -1.902993_BKSW--C -2.822567_BMRI--C 4.827188_BNGA--C 3.622540_BNII--C 4.305857_BNLI--C 0.581491

_BSWD--C -1.537360_BVIC--C 0.173563_MAYA--C -7.003103_MEGA--C -3.790008_NISP--C -2.186913_PNBN--C 3.161063

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.722546     Mean dependent var 12.84041Adjusted R-squared 0.718844     S.D. dependent var 3.777187S.E. of regression 2.002820     Akaike info criterion 4.240678Sum squared resid 6313.769     Schwarz criterion 4.314773Log likelihood -3362.061     F-statistic 195.1910Durbin-Watson stat 1.139916     Prob(F-statistic) 0.000000

Gambar Output untuk variable inflasi

Untuk persamaan (1) nilai R2 adalah sebesar 0.928105 selanjutnya disebut R2 1

Untuk persamaan (2) nilai R2 adalah sebesar 0.052664 selanjutnya disebut R2 2

Untuk persamaan (3) nilai R2 adalah sebesar 0.194641 selanjutnya disebut R2 3

Untuk persamaan (4) 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 , R2 3, R2 4, R2 5 maka model tidak diketemukan adanya

multikolonearitas.

Bila nilai R2 1 < R2 2 , R2 3, R2 4, R2 5 maka model diketemukan adanya

multikolonearitas

Analisa Hasil Output, menunjukan bahwa nilai R2 1 > R2 2 , R2 3, R2 4, R2 5 maka dalam

model tidak diketemukan adanya multikolonearitas

Uji Heteroskedastisitas

Uji White

Hasil Output white Heteroskedastisitas

Dependent Variable: INDEKS?Method: Pooled Least SquaresDate: 07/17/11 Time: 15:14Sample: 2004M01 2010M12Included observations: 84Cross-sections included: 19Total pool (balanced) observations: 1596White cross-section standard errors & covariance (no d.f. correction)

Variable Coefficient Std. Error t-Statistic Prob.  

C 14.32909 1.672538 8.567273 0.0000NILAI_TUKAR? -0.842133 0.177517 -4.743959 0.0000SUKU_BUNGA? -0.073085 0.005983 -12.21559 0.0000

INFLASI? -0.011731 0.003875 -3.027490 0.0025VOLUME? 0.021349 0.003734 5.718184 0.0000

Fixed Effects (Cross)_INPC--C -1.963119_BABP--C -1.654758_BBCA--C -2.841618_BBNI--C 1.022579_BBNP--C 0.674774_BBRI--C 2.103201

_BDMN--C 2.189663_BEKS--C -1.678564_BKSW--C -0.014533_BMRI--C 1.436951_BNGA--C 0.086572_BNII--C -0.794814_BNLI--C 0.325882

_BSWD--C 0.080358_BVIC--C -1.524237_MAYA--C 0.156992_MEGA--C 1.672747_NISP--C 0.594503_PNBN--C 0.127418

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.928105     Mean dependent var 6.205136Adjusted R-squared 0.927099     S.D. dependent var 1.472887S.E. of regression 0.397682     Akaike info criterion 1.007980Sum squared resid 248.7720     Schwarz criterion 1.085443Log likelihood -781.3680     F-statistic 922.9992Durbin-Watson stat 0.191316     Prob(F-statistic) 0.000000

hasil uji menandakan White cross-section standard errors & covariance (no d.f. correction)

Uji Hausman

Correlated Random Effects - Hausman TestPool: POLTest cross-section random effects

Test SummaryChi-Sq. Statistic Chi-Sq. d.f. Prob. 

Cross-section random 3.904757 4 0.4190

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

VOLUME? 0.021349 0.021726 0.000000 0.1427NILAI_TUKAR? -0.842133 -0.841770 0.000001 0.7525

INFLASI? -0.011731 -0.011654 0.000000 0.7498SUKU_BUNGA? -0.073085 -0.073117 0.000000 0.8189

Cross-section random effects test equation:Dependent Variable: INDEKS?Method: Panel Least SquaresDate: 07/17/11 Time: 16:02Sample: 2004M01 2010M12Included observations: 84Cross-sections included: 19Total pool (balanced) observations: 1596

Variable Coefficient Std. Error t-Statistic Prob.  

C 14.32909 1.282938 11.16896 0.0000VOLUME? 0.021349 0.005005 4.265750 0.0000

NILAI_TUKAR? -0.842133 0.137843 -6.109357 0.0000INFLASI? -0.011731 0.004468 -2.625633 0.0087

SUKU_BUNGA? -0.073085 0.006298 -11.60453 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.928105    Mean dependent var 6.205136Adjusted R-squared 0.927099    S.D. dependent var 1.472887S.E. of regression 0.397682    Akaike info criterion 1.007980Sum squared resid 248.7720    Schwarz criterion 1.085443Log likelihood -781.3680    Hannan-Quinn criter. 1.036748F-statistic 922.9992    Durbin-Watson stat 0.191316Prob(F-statistic) 0.000000

Dependent Variable: INDEKS?Method: Pooled EGLS (Cross-section random effects)Date: 07/19/11 Time: 22:42Sample: 2004M01 2010M12Included observations: 84Cross-sections included: 19Total pool (balanced) observations: 1596Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

C 14.32102 1.321866 10.83394 0.0000NILAI_TUKAR? -0.841770 0.137838 -6.106935 0.0000SUKU_BUNGA? -0.073117 0.006296 -11.61272 0.0000

INFLASI? -0.011654 0.004461 -2.612252 0.0091VOLUME? 0.021726 0.004998 4.346625 0.0000

Random Effects (Cross)_INPC--C -1.961226_BABP--C -1.651578_BBCA--C -2.837441_BBNI--C 1.021003_BBNP--C 0.674652_BBRI--C 2.099685

_BDMN--C 2.186742_BEKS--C -1.675969_BKSW--C -0.013227_BMRI--C 1.433969_BNGA--C 0.085358_BNII--C -0.795426_BNLI--C 0.325578

_BSWD--C 0.080814_BVIC--C -1.523413_MAYA--C 0.158874_MEGA--C 1.671945_NISP--C 0.594149_PNBN--C 0.125510

Effects SpecificationS.D.   Rho  

Cross-section random 1.389292 0.9243Idiosyncratic random 0.397682 0.0757

Weighted Statistics

R-squared 0.130920    Mean dependent var 0.193706Adjusted R-squared 0.128735    S.D. dependent var 0.426172S.E. of regression 0.397795    Sum squared resid 251.7618F-statistic 59.91762    Durbin-Watson stat 0.189337Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.041723    Mean dependent var 6.205136Sum squared resid 3315.821    Durbin-Watson stat 0.014376

Redundant Fixed Effects TestsPool: MULNILAITUKARTest cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 17999.480232 (18,1573) 0.0000

Uji Redundant Fixed Effect Test

Redundant Fixed Effects TestsPool: MULNILAITUKARTest cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F

17999.48023170

807 (18,1573) 0

Cross-section fixed effects test equation:Dependent Variable: INDEKS?Method: Panel EGLS (Cross-section SUR)Date: 07/20/11 Time: 08:58Sample: 2004M01 2010M12Included observations: 84Cross-sections included: 19Total pool (balanced) observations: 1596Use pre-specified GLS weights

Variable Coefficient Std. Error t-Statistic Prob.  

C0.031217646

028021990.6864697472

4523310.0454756326164361

2 0.9637339010596895

NILAI_TUKAR?0.306283269

69871930.0740799318

0265854 4.1344971876408713.742807585607728e

-05

SUKU_BUNGA?

-0.086751841

474476260.0031336753

56420136 -27.683736063068225.058181392640822e

-138

INFLASI?0.014398223

217637580.0005513731

267247766 26.113393126655952.134978426602605e

-125

VOLUME?0.222588928

58793020.0007301865

724244727 304.8384303327541 0

Weighted Statistics

R-squared0.228624655

5739144    Mean dependent var 15.06836848311548

Adjusted R-squared0.226685308

3849111    S.D. dependent var 23.7482564717983

S.E. of regression14.34967740

784424    Sum squared resid 327607.9675593299

F-statistic117.8874297

857961    Durbin-Watson stat0.0789294637629135

9

Prob(F-statistic)3.819894913

18689e-88

Unweighted Statistics

R-squared

-0.606397643

2995646    Mean dependent var 6.205135803294675

Sum squared resid5558.439311

374016    Durbin-Watson stat 0.0692868445301002