Data Panel A

COE
I. STATISTIK DESKRIPTIF
COE PERIOD SIZE LEV MBR

Mean 0.126357 0.166667 13.38135 1.660810 3.336072

Median 0.106361 0.000000 13.40615 1.015000 2.112644
Maximum 0.288141 1.000000 14.39155 9.810000 15.15404
Minimum 0.075241 0.000000 12.37466 0.050000 0.112667
Std. Dev. 0.045510 0.373498 0.397044 2.084714 3.341705
Skewness 1.161922 1.788854 -0.109899 2.440763 2.014487
Kurtosis 3.582077 4.200000 2.821018 8.878010 6.688242

Jarque-Bera 54.52114 135.2800 0.763281 554.6129 283.4397

Probability 0.000000 0.000000 0.682741 0.000000 0.000000

Sum 28.80936 38.00000 3050.947 378.6646 760.6245

Sum Sq. Dev. 0.470143 31.66667 35.78524 986.5497 2534.907

Observations 228 228 228 228 228

II. PEMILIHAN MODEL TERBAIK

Uji Chow
Effects Test Statistic d.f. Prob.

Cross-section F 3.956696 (37,186) 0.0000

Cross-section Chi-square 132.373530 37 0.0000

*jika prob chi-square < 0,05 model terpilih fixed effect model (fem)

Uji Hausman
Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob.

Cross-section random 0.000000 4 1.0000

*jika prob cross section < 0,05 model terpilih fixed effect model (fem). Jika prob > 0,05
model terpilih random effect model (rem)

Uji Lagrange Multiplier

Test Hypothesis
Cross-sectio... Time Both

Breusch-Pagan 8.055678 792.1838 800.2395

(0.0045) (0.0000) (0.0000)
*jika prob Breusch-Pagan < 0,05 model terpilih random effect model (rem). Jika prob > 0,05
model terpilih common effect (cem)
III. UJI ASUMSI KLASIK
a. Uji Normalitas
32
Series: Standardized Residuals
28 Sample 2015 2020
Observations 228
24
Mean 1.92e-16
20
Median -0.004727
Maximum 0.153016
16
Minimum -0.061384
12 Std. Dev. 0.042161
Skewness 0.973211
8 Kurtosis 3.649125

4 Jarque-Bera 39.99426
Probability 0.000000
0
-0.05 0.00 0.05 0.10 0.15
*data tidak terdistribusi normal : prob. Jarque-bera < 0,05. Namun, menurut Central Limit
Theorem (CLT) dan berdasarkan hasil penelitian para ahli jumlah sample (n) > 30 dapat
dikatakan data terdistribusi normal karena termasuk kedalam kategori data sample besar.

b. Uji Multikolinearitas
COE PERIOD SIZE LEV MBR

COE 1.000000 -0.391001 -0.069186 -0.085118 0.005558

PERIOD -0.391001 1.000000 0.111559 0.102848 -0.105890
SIZE -0.069186 0.111559 1.000000 0.112727 -0.263216
LEV -0.085118 0.102848 0.112727 1.000000 -0.092405
MBR 0.005558 -0.105890 -0.263216 -0.092405 1.000000
*korelasi antara variabel < 0,8 atau 0,9, terhindar dari masalah multikolinearitas

c. Uji Heterokedastisitas
Heteroskedasticity Test: Glejser

F-statistic 18.63027 Prob. F(4,223) 0.0000

Obs*R-squared 57.10790 Prob. Chi-Square(4) 0.0000
Scaled explained SS 61.38914 Prob. Chi-Square(4) 0.0000

resabs
Variable Coefficient Std. Error t-Statistic Prob.

C 0.204852 0.066822 3.065651 0.0024

PERIOD -0.030090 0.004064 -7.404797 0.0000
SIZE -0.012171 0.004970 -2.448809 0.0151
LEV -0.000418 0.000892 -0.468222 0.6401
MBR -0.001120 0.000556 -2.013792 0.0452

*nilai prob < 0,05, terjangkit masalah heterokedastisitas. Karena model terbaik yang terpilih
adalah random effect (rem), maka uji heterokedastisitas tidak perlu dilakukan karena REM
telah menggunakan metode GLS dan beberapa peneliti menyebutkan bahwa apabila
menggunakan REM yang menggunakan metode GLS dapat mengabaikan pelanggaran uji
asumsi klasik.

d. Uji Autokorelasi
Weighted Statistics

R-squared 0.187264 Mean dependent var 0.080327

Adjusted R-squared 0.172685 S.D. dependent var 0.042291
S.E. of regression 0.038466 Sum squared resid 0.329964
F-statistic 12.84543 Durbin-Watson stat 1.320847
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.141751 Mean dependent var 0.126357

Sum squared resid 0.403500 Durbin-Watson stat 1.080129

*hasil Durbin Watson diantara du dan 4-du (cek tabel Durbin Watson) (n=38, observasi=228)
n = 38, k=4
dl = 1,2614
du = 1,7223

IV. UJI HIPOTESIS

Uji F
Weighted Statistics

R-squared 0.187264 Mean dependent var 0.080327

Adjusted R-squared 0.172685 S.D. dependent var 0.042291
S.E. of regression 0.038466 Sum squared resid 0.329964
F-statistic 12.84543 Durbin-Watson stat 1.320847
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.141751 Mean dependent var 0.126357

Sum squared resid 0.403500 Durbin-Watson stat 1.080129

Uji t
Variable Coefficient Std. Error t-Statistic Prob.

C 0.345633 0.122528 2.820838 0.0052

PERIOD -0.045443 0.006304 -7.208387 0.0000
SIZE -0.015766 0.009120 -1.728649 0.0853
LEV -0.000514 0.001589 -0.323781 0.7464
MBR 3.61E-05 0.000965 0.037468 0.9701
Koefisien Determinasi (R2)
Weighted Statistics

R-squared 0.187264 Mean dependent var 0.080327

Adjusted R-squared 0.172685 S.D. dependent var 0.042291
S.E. of regression 0.038466 Sum squared resid 0.329964
F-statistic 12.84543 Durbin-Watson stat 1.320847
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.141751 Mean dependent var 0.126357

Sum squared resid 0.403500 Durbin-Watson stat 1.080129

B. COD
I. STATISTIK DESKRIPTIF
 COD PERIOD SIZE LEV MBR INCOV

Mean 0.029017 0.166667 13.38135 2.121862 -1.144912 48.03907

Median 0.025880 0.000000 13.40615 1.000000 2.099608 7.089780
Maximum 0.126718 1.000000 14.39155 73.83000 57.41498 1110.794
Minimum 0.000629 0.000000 12.37466 0.000000 -1087.305 -28.42985
Std. Dev. 0.020200 0.373498 0.397044 5.621777 72.44776 143.9929
Skewness 1.101034 1.788854 -0.109899 9.743664 -14.87392 5.009136
Kurtosis 5.011977 4.200000 2.821018 118.9866 223.5437 30.07687

Jarque-Bera 84.52296 135.2800 0.763281 131410.1 470482.2 7918.464

Probability 0.000000 0.000000 0.682741 0.000000 0.000000 0.000000

Sum 6.615815 38.00000 3050.947 483.7846 -261.0399 10952.91

Sum Sq. Dev. 0.092622 31.66667 35.78524 7174.194 1191450. 4706605.

Observations 228 228 228 228 228 228

II. PEMILIHAN MODEL TERBAIK

Uji Chow
Effects Test Statistic d.f. Prob.

Cross-section F 13.865826 (37,185) 0.0000

Cross-section Chi-square 302.764438 37 0.0000

*jika prob chi-square < 0,05 model terpilih fixed effect model (fem)

Uji Hausman
Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob.

Cross-section random 16.003869 5 0.0068

*jika prob cross section < 0,05 model terpilih fixed effect model (fem). Jika prob > 0,05
model terpilih random effect model (rem)

III. UJI ASUMSI KLASIK

a. Uji Normalitas
80
Series: Standardized Residuals
70 Sample 2015 2020
Observations 228
60
Mean -3.34e-19
50
Median -0.000583
Maximum 0.069724
40
Minimum -0.035887
30 Std. Dev. 0.009249
Skewness 1.991013
20 Kurtosis 17.70631

10 Jarque-Bera 2205.256
Probability 0.000000
0
-0.04 -0.02 0.00 0.02 0.04 0.06
*data tidak terdistribusi normal : prob. Jarque-bera < 0,05. Namun, menurut Central Limit
Theorem (CLT) dan berdasarkan hasil penelitian para ahli jumlah sample (n) > 30 dapat
dikatakan data terdistribusi normal karena termasuk kedalam kategori data sample besar.

b. Uji Multikolinearitas
COD PERIOD SIZE LEV MBR INCOV

COD 1.000000 0.076791 -0.037156 0.267846 0.013224 -0.375000

PERIOD 0.076791 1.000000 0.111559 0.004801 0.026093 0.012768
SIZE -0.037156 0.111559 1.000000 -0.040781 0.112215 -0.147631
LEV 0.267846 0.004801 -0.040781 1.000000 -0.004729 -0.106457
MBR 0.013224 0.026093 0.112215 -0.004729 1.000000 0.032867
INCOV -0.375000 0.012768 -0.147631 -0.106457 0.032867 1.000000
*korelasi antara variabel < 0,8 atau 0,9, terhindar dari masalah multikolinearitas

c. Uji Heterokedastisitas
.16

.12

.08

.12 .04

.08
.00

.04
-.04

.00

-.04

-.08
25 50 75 100 125 150 175 200 225

Residual Actual Fitted

Heteroskedasticity Test: Glejser

F-statistic 8.076552 Prob. F(5,222) 0.0000

Obs*R-squared 35.09098 Prob. Chi-Square(5) 0.0000
Scaled explained SS 38.38176 Prob. Chi-Square(5) 0.0000

*terbebas dari heterokedastisitas, nilai prob < 0,05, terjadi masalah heterokedastisitas.
Kemudian diatasi dengan mengganti koefisien estimasi Huber White, sehingga menjadi:

Heteroskedasticity Test: White

F-statistic 1.379967 Prob. F(19,208) 0.1392

Obs*R-squared 25.52316 Prob. Chi-Square(19) 0.1440
Scaled explained SS 60.70907 Prob. Chi-Square(19) 0.0000

d. Uji Autokorelasi
Cross-section fixed (dummy variables)

R-squared 0.790349 Mean dependent var 0.029017

Adjusted R-squared 0.742753 S.D. dependent var 0.020200
S.E. of regression 0.010245 Akaike info criterion -6.155817
Sum squared resid 0.019418 Schwarz criterion -5.509055
Log likelihood 744.7632 Hannan-Quinn criter. -5.894868
F-statistic 16.60524 Durbin-Watson stat 1.584900
Prob(F-statistic) 0.000000

*hasil Durbin Watson diantara 4-du dan 4-dl (cek tabel Durbin Watson)
du = 1,8094
4-dl = 4-1,7279 = 2,2721
4-du = 4-1,8094 = 2,1906

IV. UJI HIPOTESIS

Uji F
Cross-section fixed (dummy variables)

R-squared 0.790349 Mean dependent var 0.029017

Adjusted R-squared 0.742753 S.D. dependent var 0.020200
S.E. of regression 0.010245 Akaike info criterion -6.155817
Sum squared resid 0.019418 Schwarz criterion -5.509055
Log likelihood 744.7632 Hannan-Quinn criter. -5.894868
F-statistic 16.60524 Durbin-Watson stat 1.584900
Prob(F-statistic) 0.000000
Uji t
Variable Coefficient Std. Error t-Statistic Prob.

C 0.022867 0.102039 0.224102 0.8229

PERIOD 0.004268 0.002031 2.101800 0.0369
SIZE 0.000511 0.007639 0.066936 0.9467
LEV -8.94E-05 0.000162 -0.550335 0.5828
MBR -8.66E-06 1.02E-05 -0.851204 0.3958
INCOV -2.55E-05 7.17E-06 -3.553576 0.0005

Koefisien Determinasi (R2)

Cross-section fixed (dummy variables)

R-squared 0.790349 Mean dependent var 0.029017

Adjusted R-squared 0.742753 S.D. dependent var 0.020200
S.E. of regression 0.010245 Akaike info criterion -6.155817
Sum squared resid 0.019418 Schwarz criterion -5.509055
Log likelihood 744.7632 Hannan-Quinn criter. -5.894868
F-statistic 16.60524 Durbin-Watson stat 1.584900
Prob(F-statistic) 0.000000