Data Panel B

COE
I. STATISTIK DESKRIPTIF
COE PERIOD CNCA CNCA_PERI... SIZE LEV MBR GROWTH

Mean 0.126357 0.166667 0.126795 0.017057 13.38135 2.121862 -1.144912 -0.223760

Median 0.106361 0.000000 0.089135 0.000000 13.40615 1.000000 2.099608 0.002734
Maximum 0.288141 1.000000 1.180424 0.662906 14.39155 73.83000 57.41498 3.148295
Minimum 0.075241 0.000000 -0.296647 -0.139558 12.37466 0.000000 -1087.305 -16.32644
Std. Dev. 0.045510 0.373498 0.187664 0.071487 0.397044 5.621777 72.44776 1.566370
Skewness 1.161922 1.788854 2.679058 4.937528 -0.109899 9.743664 -14.87392 -6.020279
Kurtosis 3.582077 4.200000 13.52390 36.93359 2.821018 118.9866 223.5437 55.17557

Jarque-Bera 54.52114 135.2800 1324.887 11865.55 0.763281 131410.1 470482.2 27239.02

Probability 0.000000 0.000000 0.000000 0.000000 0.682741 0.000000 0.000000 0.000000

Sum 28.80936 38.00000 28.90930 3.888961 3050.947 483.7846 -261.0399 -51.01720

Sum Sq. Dev. 0.470143 31.66667 7.994469 1.160066 35.78524 7174.194 1191450. 556.9477

Observations 228 228 228 228 228 228 228 228

II. PEMILIHAN MODEL TERBAIK

Uji Chow
Effects Test Statistic d.f. Prob.

Cross-section F 3.731500 (37,183) 0.0000

Cross-section Chi-square 128.172251 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 49.596172 7 0.0000

*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
35
Series: Standardized Residuals
30 Sample 2015 2020
Observations 228
25
Mean -8.22e-19
Median -0.000766
20
Maximum 0.113602
Minimum -0.097499
15
Std. Dev. 0.030684
Skewness 0.260293
10
Kurtosis 3.807605

5 Jarque-Bera 8.770740
Probability 0.012458
0
-0.10 -0.05 0.00 0.05 0.10
*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 CNCA CNCA_PERI... SIZE LEV MBR GROWTH

COE 1.000000 -0.391001 0.151323 -0.210132 -0.069186 -0.030260 -0.188878 0.014456

PERIOD -0.391001 1.000000 -0.058404 0.534699 0.111559 0.004801 0.026093 0.007896
CNCA 0.151323 -0.058404 1.000000 0.240793 0.000811 -0.105436 -0.034679 0.175826
CNCA_PERI... -0.210132 0.534699 0.240793 1.000000 0.002140 0.036841 0.012705 0.007508
SIZE -0.069186 0.111559 0.000811 0.002140 1.000000 -0.040781 0.112215 0.148162
LEV -0.030260 0.004801 -0.105436 0.036841 -0.040781 1.000000 -0.004729 -0.572956
MBR -0.188878 0.026093 -0.034679 0.012705 0.112215 -0.004729 1.000000 -0.011636
GROWTH 0.014456 0.007896 0.175826 0.007508 0.148162 -0.572956 -0.011636 1.000000

*korelasi antara variabel < 0,8 atau 0,9, terhindar dari masalah multikolinearitas

c. Uji Heterokedastisitas
Heteroskedasticity Test: Glejser

F-statistic 10.22399 Prob. F(7,220) 0.0000

Obs*R-squared 55.96460 Prob. Chi-Square(7) 0.0000
Scaled explained SS 60.73563 Prob. Chi-Square(7) 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 1.219017 Prob. F(31,196) 0.2101

Obs*R-squared 36.85370 Prob. Chi-Square(31) 0.2163
Scaled explained SS 49.21943 Prob. Chi-Square(31) 0.0200

*nilai prob chi-square obs*R-squared > 0,05 data sudah terhindar dari heterokedastisitas
resabs (uji glejser)
Variable Coefficient Std. Error t-Statistic Prob.

C 0.254753 0.156233 1.630593 0.1047

PERIOD -0.007697 0.003652 -2.107570 0.0364
CNCA -0.004322 0.007645 -0.565376 0.5725
CNCA_PERIOD 0.004277 0.021379 0.200045 0.8417
SIZE -0.017109 0.011676 -1.465333 0.1445
LEV 0.000229 0.000331 0.691315 0.4902
MBR 2.18E-05 1.53E-05 1.425612 0.1557
GROWTH 0.002610 0.001019 2.560320 0.0113

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

R-squared 0.545402 Mean dependent var 0.126357

Adjusted R-squared 0.436100 S.D. dependent var 0.045510
S.E. of regression 0.034175 Akaike info criterion -3.739791
Sum squared resid 0.213726 Schwarz criterion -3.062947
Log likelihood 471.3362 Hannan-Quinn criter. -3.466705
F-statistic 4.989851 Durbin-Watson stat 1.710698
Prob(F-statistic) 0.000000

*hasil Durbin Watson diantara du dan 4-du (cek tabel Durbin Watson)
Tabel durbin watson hanya sampai n=200, jadi tidak perlu

IV. UJI HIPOTESIS

Uji F
Cross-section fixed (dummy variables)

R-squared 0.545402 Mean dependent var 0.126357

Adjusted R-squared 0.436100 S.D. dependent var 0.045510
S.E. of regression 0.034175 Akaike info criterion -3.739791
Sum squared resid 0.213726 Schwarz criterion -3.062947
Log likelihood 471.3362 Hannan-Quinn criter. -3.466705
F-statistic 4.989851 Durbin-Watson stat 1.710698
Prob(F-statistic) 0.000000

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

C 2.530620 0.348901 7.253124 0.0000

PERIOD -0.027374 0.008155 -3.356473 0.0010
CNCA 0.017696 0.017073 1.036539 0.3013
CNCA_PERIOD 0.018770 0.047745 0.393128 0.6947
SIZE -0.179643 0.026074 -6.889781 0.0000
LEV 0.000787 0.000740 1.063793 0.2888
MBR -8.85E-05 3.42E-05 -2.591373 0.0103
GROWTH 0.000762 0.002276 0.334625 0.7383
Koefisien Determinasi (R2)
Cross-section fixed (dummy variables)

R-squared 0.545402 Mean dependent var 0.126357

Adjusted R-squared 0.436100 S.D. dependent var 0.045510
S.E. of regression 0.034175 Akaike info criterion -3.739791
Sum squared resid 0.213726 Schwarz criterion -3.062947
Log likelihood 471.3362 Hannan-Quinn criter. -3.466705
F-statistic 4.989851 Durbin-Watson stat 1.710698
Prob(F-statistic) 0.000000

B. COD
I. STATISTIK DESKRIPTIF
COD PERIOD CNCA CNCA_PERI... SIZE LEV MBR INCOV GROWTH

Mean 0.029017 0.166667 0.126795 0.017057 13.38135 2.121862 -1.144912 48.03907 -0.223760
Median 0.025880 0.000000 0.089135 0.000000 13.40615 1.000000 2.099608 7.089780 0.002734
Maxim um 0.126718 1.000000 1.180424 0.662906 14.39155 73.83000 57.41498 1110.794 3.148295
Minimum 0.000629 0.000000 -0.296647 -0.139558 12.37466 0.000000 -1087.305 -28.42985 -16.32644
Std. Dev. 0.020200 0.373498 0.187664 0.071487 0.397044 5.621777 72.44776 143.9929 1.566370
Skewness 1.101034 1.788854 2.679058 4.937528 -0.109899 9.743664 -14.87392 5.009136 -6.020279
Kurtosis 5.011977 4.200000 13.52390 36.93359 2.821018 118.9866 223.5437 30.07687 55.17557

Jarque-Bera 84.52296 135.2800 1324.887 11865.55 0.763281 131410.1 470482.2 7918.464 27239.02
Probability 0.000000 0.000000 0.000000 0.000000 0.682741 0.000000 0.000000 0.000000 0.000000

Sum 6.615815 38.00000 28.90930 3.888961 3050.947 483.7846 -261.0399 10952.91 -51.01720
Sum Sq. Dev. 0.092622 31.66667 7.994469 1.160066 35.78524 7174.194 1191450. 4706605. 556.9477

Observations 228 228 228 228 228 228 228 228 228

II. PEMILIHAN MODEL TERBAIK

Uji Chow
Effects Test Statistic d.f. Prob.

Cross-section F 13.546147 (37,182) 0.0000

Cross-section Chi-square 301.596539 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 8 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 202.8471 0.365610 203.2127

(0.0000) (0.5454) (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 9.22e-18
20
Median -0.002916
Maximum 0.095930
16
Minimum -0.029627
12 Std. Dev. 0.018851
Skewness 1.247275
8 Kurtosis 5.642374

4 Jarque-Bera 125.4467
Probability 0.000000
0
-0.02 0.00 0.02 0.04 0.06 0.08 0.10
*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 CNCA CNCA_PERI... SIZE

COD 1.000000 0.076791 -0.009248 0.042504 -0.037156

PERIOD 0.076791 1.000000 -0.058404 0.534699 0.111559
CNCA -0.009248 -0.058404 1.000000 0.240793 0.000811
CNCA_PERI... 0.042504 0.534699 0.240793 1.000000 0.002140
SIZE -0.037156 0.111559 0.000811 0.002140 1.000000
LEV 0.267846 0.004801 -0.105436 0.036841 -0.040781
MBR 0.013224 0.026093 -0.034679 0.012705 0.112215
INCOV -0.375000 0.012768 -0.076819 -0.074542 -0.147631
GROWTH -0.098423 0.007896 0.175826 0.007508 0.148162
LEV MBR INCOV GROWTH

0.267846 0.013224 -0.375000 -0.098423

0.004801 0.026093 0.012768 0.007896
-0.105436 -0.034679 -0.076819 0.175826
0.036841 0.012705 -0.074542 0.007508
-0.040781 0.112215 -0.147631 0.148162
1.000000 -0.004729 -0.106457 -0.572956
-0.004729 1.000000 0.032867 -0.011636
-0.106457 0.032867 1.000000 0.043567
-0.572956 -0.011636 0.043567 1.000000
*korelasi antara variabel < 0,8 atau 0,9, terhindar dari masalah multikolinearitas
c. Uji Heterokedastisitas

Heteroskedasticity Test: Glejser

F-statistic 4.118139 Prob. F(8,219) 0.0001

Obs*R-squared 29.81398 Prob. Chi-Square(8) 0.0002
Scaled explained SS 31.91231 Prob. Chi-Square(8) 0.0001

*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 0.624456 Prob. F(40,187) 0.9605

Obs*R-squared 26.86616 Prob. Chi-Square(40) 0.9444
Scaled explained SS 60.52969 Prob. Chi-Square(40) 0.0196

resabs (uji glejser)

Variable Coefficient Std. Error t-Statistic Prob.

C 0.098996 0.036402 2.719549 0.0071

PERIOD 0.003211 0.002038 1.575465 0.1166
CNCA 0.001760 0.004030 0.436721 0.6627
CNCA_PERIOD -0.004988 0.011614 -0.429441 0.6680
SIZE -0.006473 0.002719 -2.380411 0.0182
LEV 0.000239 0.000167 1.433938 0.1530
MBR 1.57E-05 8.71E-06 1.805691 0.0723
INCOV 1.58E-07 5.40E-06 0.029231 0.9767
GROWTH -0.000905 0.000546 -1.658067 0.0987

d. Uji Autokorelasi
Weighted Statistics

R-squared 0.102006 Mean dependent var 0.008057

Adjusted R-squared 0.069202 S.D. dependent var 0.010889
S.E. of regression 0.010505 Sum squared resid 0.024169
F-statistic 3.109608 Durbin-Watson stat 1.289789
Prob(F-statistic) 0.002399

*hasil Durbin Watson diantara du dan 4-du (cek tabel Durbin Watson)
Tabel durbin watson hanya sampai n=200, jadi tidak perlu
IV. UJI HIPOTESIS

Uji F
Weighted Statistics

R-squared 0.102006 Mean dependent var 0.008057

Adjusted R-squared 0.069202 S.D. dependent var 0.010889
S.E. of regression 0.010505 Sum squared resid 0.024169
F-statistic 3.109608 Durbin-Watson stat 1.289789
Prob(F-statistic) 0.002399

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

C 0.061133 0.066271 0.922463 0.3573

PERIOD 0.004688 0.002405 1.949107 0.0526
CNCA -0.003634 0.004955 -0.733341 0.4641
CNCA_PERIOD -0.001879 0.014009 -0.134103 0.8934
SIZE -0.002319 0.004951 -0.468509 0.6399
LEV 4.39E-05 0.000213 0.206602 0.8365
MBR -6.70E-06 1.02E-05 -0.655468 0.5129
INCOV -3.00E-05 6.88E-06 -4.360567 0.0000
GROWTH 0.000121 0.000667 0.182061 0.8557

Koefisien Determinasi (R2)

Weighted Statistics

R-squared 0.102006 Mean dependent var 0.008057

Adjusted R-squared 0.069202 S.D. dependent var 0.010889
S.E. of regression 0.010505 Sum squared resid 0.024169
F-statistic 3.109608 Durbin-Watson stat 1.289789
Prob(F-statistic) 0.002399