analisis regresi panel

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analisis regresi panel

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Jakarta - 2015

Econometric model

economic model

economic variables and parameters.

statistical model

sampling process with its parameters.

data

observed values of the variables.

Apa itu data panel?

Darimana data panel diperoleh?

There are other names for panel data, such as (Gujarati

& Porter, 2008: 591):

pooled data (pooling of time series and cross-sectional

observations), combination of time series and cross-section

data,

longitudinal data (a study over time of a variable or group of

subjects),

event history analysis (studying the movement over time of

subjects through successive states or conditions), and

cohort analysis (e.g., following the career path of 1965

graduates of a business school).

Although there are subtle variations, all these names

essentially connote movement over time of cross-sectional

units. We will therefore use the term panel data in a generic

sense to include one or more of these terms. And we will call

regression models based on such data panel data regression

models.

Data

Sebutkan data panel di BPS

Data

Panel data around the world, accessed easly

Benefits of Panel Data (Baltagi, 2013)

Control for individual heterogenity

More informative data, more variability,

more degrees of freedom, less collinearity

among variables, and more efficiency

Dynamic of adjustment

More complicated behavioral model

Benefits of Panel Data (Greene, 2012)

Time and individual variation in behavior unobservable

in cross sections or aggregate time series

Observable and unobservable individual heterogeneity

Rich hierarchical structures

More complicated models

Features that cannot be modeled with only cross

section or aggregate time series data alone

Dynamics in economic behavior

Benefits of Panel Data (Gujarati & Porter, 2008)

Since panel data relate to individuals, firms, states, countries,

etc., over time, there is bound to be heterogeneity in these

units. Panel data estimation can take such heterogeneity

explicitly

more informative data, more variability, less collinearity

among variables, more degrees of freedom and more

efficiency.

By studying the repeated cross section of observations, panel

data are better suited to study the dynamics of change.

better detect and measure effects that simply cannot be

observed in pure cross-section or pure time series data.

enables to study more complicated behavioral models

can minimize the bias that might result if we aggregate

individuals or firms into broad aggregates.

Bentuk Umum

= + +

Simbol mengikuti Baltagi (2013), simbol dalam buku lain seperti Greene (2012), dll berbeda

intercept

Error component

= + +

= + + two-way error

componen

= + one-way error componen

= unobservable individual-specific effect

= disturbance

Di Greene, tertulis:

(menyesuaikan)

= + +

Analisis Regresi Data Panel

Hanya ini yg

kita pelajari

di STIS

Single equation Multi-equation

Static Static

One-way error component One-way error component

Balanced panel Balanced panel

Unbalanced panel Unbalanced panel

Two-way error component Two-way error component

Balanced panel Balanced panel

Unbalanced panel Unbalanced panel

Dynamic Dynamic

One-way error component One-way error component

Balanced panel Balanced panel

Unbalanced panel Unbalanced panel

Two-way error component Two-way error component

Balanced panel Balanced panel

Unbalanced panel Unbalanced panel

Model Regresi Data Panel

Bentuk Umum (Greene, 2012:386),

perhatikan simbul-simbul yg berbeda. Penulisan hipotesis, asumsi, dsb

harus menyesuaikan dg simbul pd model

The fundamental advantage of a panel data set over

a cross section is that it will allow the researcher

great flexibility in modeling differences in behavior

across individuals. The basic framework for this

discussion is a regression model of the form

preferences, and so on, all of which are taken to be constant over time t.

1. Common Effect Model (Pooled Regression).Greene (2012)

averaged model under the assumption that any latent

heterogeneity has been averaged out

ordinary least squares provides consistent and efficient

estimates of the common and the slope vector .

Example:

Perlu Uji Asumsi Klasik?

Iya. Selama metode estimasi menggunakan

OLS, maka asumsi-asumsi yang melekat pada

OLS harus terpenuhi.

(2012:390)

2. Fixed-Effect Model (Least Square Dummy

Variable).Greene (2012:400)

Hati-hati ketika menggunakan LSDV, karena:

1) too many dummy variables, will run up against the degrees

of freedom problem. That is, will lack enough observations

to do a meaningful statistical analysis.

2) many dummy variables in the model, both individual and

interactive or multiplicative, there is always the possibility

of multicollinearity, which might make precise estimation

of one or more parameters difficult. High R-square, little Xs

significant

3) in some situations the LSDV may not be able to identify

the impact of time-invariant variables. (such as distance of

cities, races, etc). Incidentally, the time-invariant variables

are sometimes called nuisance variables or lurking

variables.

Hati-hati ketika menggunakan LSDV, karena:

several possibilities, including:

a) The error variance is homoskedastic for all cross-section

units, or heteroscedastic

b) The error term is non-autocorrelated, or autocorrelated,

say, of the AR(1) type.

c) The inter-cross sectional error term is correlated with

other, or no such correlation.

Penjelasan untuk no.4, setelah model diuji

asumsi, dengan menguji struktur variance-

covariance-nya, sesuaikan metode

estimasinya.

a. STATA provides heteroscedasticity-corrected standard errors in the

panel data regression models.

b. Dynamic panel

c. This leads to the so-called seemingly unrelated regression (SURE) model,

originally proposed by Arnold Zellner. See A. Zellner, An Efficient Method of

Estimating Seemingly Unrelated Regressions and Tests for Aggregation

Bias, Journal of the American Statistical Association, vol. 57, 1962,

pp. 348368.

3. Random Effect Model.Greene (2012)

The fixed effects model allows the unobserved individual

effects to be correlated with the included variables. We then

modeled the differences between units strictly as parametric

shifts of the regression function. For example, an intercountry

comparison may well include the full set of countries for which it

is reasonable to assume that the model is constant.

If the individual effects are strictly uncorrelated with the

regressors, then it might be appropriate to model the individual

specific constant terms as randomly distributed across cross-

sectional units. This view would be appropriate if we believed

that sampled cross-sectional units were drawn from a large

population.

The payoff to this form is that it greatly reduces the number

of parameters to be estimated.

The cost is the possibility of inconsistent estimators, should

the assumption turn out to be inappropriate.

3. Random Effect Model.Greene (2012)

Asum

si yg

hrs

dipen

uhi

Model summary

Common effect/pooled regression

yit=+X'it+uit, i = 1,2,...N dan t = 1,2,...T

Fixed effect the dummy variable model,

Individual specific constant terms

= + + +

= (+ ) + +

= i + +

Random effect the error components

model, Compound (composed) disturbance

= + + +

= + + ( + )

Metode Estimasi Model Common Effect

STRUKTUR MATRIKS VARIANS-KOVARIANS RESIDUAL

Metode Estimasi

Variance-Covariance Cross-sectional correlation

Homocedastis Tidak Ada Ordinary Least Square (OLS)

Generalized Least Square

Heterocedastis Tidak Ada (GLS)/Weighted Least Square (WLS)/

cross sectional weight

Feasible Generalized Least Square

(FGLS)/Seemingly Unrelated

Heterocedastis Ada

Regression (SUR) atau Maximum

Likelihood Estimator (MLE),

Feasible Generalized Least Square

Heterocedastis Ada Serial Correlation (FGLS) dengan proses autoregressive

(AR)

Metode Estimasi Model Fixed Effect

Metode Estimasi

Variance-Covariance Cross-sectional correlation

Homocedastis Tidak Ada Ordinary Least Square (OLS)/LSDV

Metode Estimasi Model Random Effect

untuk mendapatkan estimator yang efisien bagi

model random effects. Metode yang tepat untuk

mengestimasi model random effects adalah

Genaralized Least Squares (GLS).

Bagaimana menguji struktur varians-

kovarians?

Bagaimana menentukan apakah model

common, fixed atau random effect?

Kuliah berikutnya

TUGAS

INDIVIDU: cari satu set data panel yang

mereprentasikan dependent variable dan

beberapa explanatory variable

KELOMPOK:

Mencari pasangan kelompok. Satu kelas = 12

kelompok

Topik kelompok, boleh dari data salah satu

anggota kelompok

Gambaran topik sudah ada pada kuliah berikutnya

Presentasi pada kuliah ke-5 atau ke-6

Upaya submit bisa dimulai setelah kuliah ke-7

PAPER

(jumlah halaman dan font menyesuaikan dengan jurnal yang dituju,

sementara bebas)

Judul

Abstrak

JEL (jika diminta)

PENDAHULUAN (terintegrasi antara latar

belakang, masalah dan tujuan)

TEORI (terintegrasi pustaka dengan teori dan

kerangka pemikiran)

METODE (regresi data panel)

HASIL

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