Hasil Pengujian Portofolio 2x2

Pengujian ini menggunakan 18 sampel.

Portofolio yang menjadi outlier telah dibuang sehingga data portofolio yang digunakan adalah
portofolio BL, BR, BC, dan BA. Hasil pengujian setelah membuang outlier adalah sebagai
berikut:

CEM

Dependent Variable: Y
Method: Panel Least Squares
Date: 08/20/20 Time: 00:39
Sample: 2015M05 2019M04
Periods included: 48
Cross-sections included: 4
Total panel (balanced) observations: 192

Variable Coefficient Std. Error t-Statistic Prob.

C -0.002632 0.004357 -0.604119 0.5465

X1 0.913607 0.082167 11.11890 0.0000
X2 -0.106523 0.027734 -3.840894 0.0002
X3 -0.129654 0.036692 -3.533537 0.0005
X4 -0.042802 0.037501 -1.141356 0.2552
X5 -0.079993 0.034461 -2.321263 0.0214

R-squared 0.814607 Mean dependent var -0.044838

Adjusted R-squared 0.809623 S.D. dependent var 0.046288
S.E. of regression 0.020196 Akaike info criterion -4.935872
Sum squared resid 0.075869 Schwarz criterion -4.834075
Log likelihood 479.8437 Hannan-Quinn criter. -4.894643
F-statistic 163.4550 Durbin-Watson stat 1.989642
Prob(F-statistic) 0.000000
FEM

Dependent Variable: Y
Method: Panel Least Squares
Date: 08/20/20 Time: 00:39
Sample: 2015M05 2019M04
Periods included: 48
Cross-sections included: 4
Total panel (balanced) observations: 192

Variable Coefficient Std. Error t-Statistic Prob.

C -0.002632 0.004360 -0.603645 0.5468

X1 0.913607 0.082232 11.11018 0.0000
X2 -0.106523 0.027756 -3.837881 0.0002
X3 -0.129654 0.036721 -3.530765 0.0005
X4 -0.042802 0.037531 -1.140461 0.2556
X5 -0.079993 0.034488 -2.319442 0.0215

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.817311 Mean dependent var -0.044838

Adjusted R-squared 0.809324 S.D. dependent var 0.046288
S.E. of regression 0.020212 Akaike info criterion -4.919313
Sum squared resid 0.074762 Schwarz criterion -4.766617
Log likelihood 481.2540 Hannan-Quinn criter. -4.857470
F-statistic 102.3377 Durbin-Watson stat 2.019088
Prob(F-statistic) 0.000000
Uji Chow

Redundant Fixed Effects Tests

Equation: Untitled
Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 0.902766 (3,183) 0.4409

Cross-section Chi-square 2.820671 3 0.4201

Cross-section fixed effects test equation:

Dependent Variable: Y
Method: Panel Least Squares
Date: 08/20/20 Time: 00:44
Sample: 2015M05 2019M04
Periods included: 48
Cross-sections included: 4
Total panel (balanced) observations: 192

Variable Coefficient Std. Error t-Statistic Prob.

C -0.002632 0.004357 -0.604119 0.5465

X1 0.913607 0.082167 11.11890 0.0000
X2 -0.106523 0.027734 -3.840894 0.0002
X3 -0.129654 0.036692 -3.533537 0.0005
X4 -0.042802 0.037501 -1.141356 0.2552
X5 -0.079993 0.034461 -2.321263 0.0214

R-squared 0.814607 Mean dependent var -0.044838

Adjusted R-squared 0.809623 S.D. dependent var 0.046288
S.E. of regression 0.020196 Akaike info criterion -4.935872
Sum squared resid 0.075869 Schwarz criterion -4.834075
Log likelihood 479.8437 Hannan-Quinn criter. -4.894643
F-statistic 163.4550 Durbin-Watson stat 1.989642
Prob(F-statistic) 0.000000

Hasil uji chow menyatakan bahwa CEM adalah model yang terpilih
REM

Tidak dapat dilakukan karena kurangnya jumlah cross section.

Uji Normalitas
24
Series: Standardized Residuals
20 Sample 2015M05 2019M04
Observations 192
16
Mean -5.04e-19
Median -0.000572
12
Maximum 0.066898
Minimum -0.066632
8
Std. Dev. 0.019784
Skewness -0.185295
4 Kurtosis 3.712257

0 Jarque-Bera 5.157176
-0.06 -0.04 -0.02 0.00 0.02 0.04 0.06
Probability 0.075881

Hasil pengujian menyatakan residual data terdistribusi normal