Nama : Raihan Fitri Khairani

NIM : 190503130
Mata Kuliah : Statistika Penelitian
Kelas : ARC
Tanggal : 9 November 2021

1. Estimasi CEM, FEM dan REM

A. Estimasi CEM

Dependent Variable: GDP

Method: Panel Least Squares
Date: 11/09/21 Time: 21:33
Sample: 1990 1997
Periods included: 8
Cross-sections included: 4
Total panel (balanced) observations: 32

Variable Coefficient Std. Error t-Statistic Prob.

C 47.26178 18.96804 2.491653 0.0187

UNEMPLOYMENT 0.212845 0.187495 1.135205 0.2656
INFLATION -0.156791 0.222660 -0.704171 0.4869

R-squared 0.080043    Mean dependent var 50.33201

Adjusted R-squared 0.016598    S.D. dependent var 29.60211
S.E. of regression 29.35541    Akaike info criterion 9.685891
Sum squared resid 24990.47    Schwarz criterion 9.823304
Log likelihood -151.9743    Hannan-Quinn criter. 9.731439
F-statistic 1.261613    Durbin-Watson stat 1.976858
Prob(F-statistic) 0.298282

B. Estimasi FEM

Dependent Variable: GDP

Method: Panel Least Squares
Date: 11/09/21 Time: 22:01
Sample: 1990 1997
Periods included: 8
Cross-sections included: 4
Total panel (balanced) observations: 32

Variable Coefficient Std. Error t-Statistic Prob.

C 41.50509 20.55434 2.019286 0.0539

UNEMPLOYMENT 0.261827 0.202004 1.296149 0.2063
INFLATION -0.100821 0.238446 -0.422826 0.6759

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.112925    Mean dependent var 50.33201
Adjusted R-squared -0.057667    S.D. dependent var 29.60211
S.E. of regression 30.44368    Akaike info criterion 9.836994
Sum squared resid 24097.25    Schwarz criterion 10.11182
Log likelihood -151.3919    Hannan-Quinn criter. 9.928091
F-statistic 0.661960    Durbin-Watson stat 2.019211
Prob(F-statistic) 0.655436

C. Estimasi REM

Dependent Variable: GDP

Method: Panel EGLS (Cross-section random effects)
Date: 11/09/21 Time: 22:04
Sample: 1990 1997
Periods included: 8
Cross-sections included: 4
Total panel (balanced) observations: 32
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.

C 47.26178 19.67123 2.402584 0.0229

UNEMPLOYMENT 0.212845 0.194446 1.094626 0.2827
INFLATION -0.156791 0.230915 -0.678999 0.5025

Effects Specification
S.D. Rho

Cross-section random 0.000000 0.0000

Idiosyncratic random 30.44368 1.0000

Weighted Statistics

R-squared 0.080043    Mean dependent var 50.33201

Adjusted R-squared 0.016598    S.D. dependent var 29.60211
S.E. of regression 29.35541    Sum squared resid 24990.47
F-statistic 1.261613    Durbin-Watson stat 1.976858
Prob(F-statistic) 0.298282

Unweighted Statistics

R-squared 0.080043    Mean dependent var 50.33201

Sum squared resid 24990.47    Durbin-Watson stat 1.976858
 2. Memilih Uji Chow, Uji Hausman, dan Uji LM

a. Uji Chow (FEM vs CEM)

Redundant Fixed Effects Tests

Equation: MODEL_FEM
Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 0.321248 (3,26) 0.8099

Cross-section Chi-square 1.164692 3 0.7615

Cross-section fixed effects test equation:

Dependent Variable: GDP
Method: Panel Least Squares
Date: 11/09/21 Time: 22:10
Sample: 1990 1997
Periods included: 8
Cross-sections included: 4
Total panel (balanced) observations: 32

Variable Coefficient Std. Error t-Statistic Prob.

C 47.26178 18.96804 2.491653 0.0187

UNEMPLOYMENT 0.212845 0.187495 1.135205 0.2656
INFLATION -0.156791 0.222660 -0.704171 0.4869

R-squared 0.080043    Mean dependent var 50.33201

Adjusted R-squared 0.016598    S.D. dependent var 29.60211
S.E. of regression 29.35541    Akaike info criterion 9.685891
Sum squared resid 24990.47    Schwarz criterion 9.823304
Log likelihood -151.9743    Hannan-Quinn criter. 9.731439
F-statistic 1.261613    Durbin-Watson stat 1.976858
Prob(F-statistic) 0.298282

Interpretasi : Keputusan didapat apabila nilai Chi-Square adalah <0,05 adalah nilai FEM. Namun nilai Chi-Square
yang diperolah adalah 0.7615 maka keputusan yang didapat adalah UJI CHOW : CEM.

b. Uji Hausman (REM vs FEM)

Correlated Random Effects - Hausman Test

Equation: MODEL_REM
Test cross-section random effects

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

Cross-section random 0.936806 2 0.6260

** WARNING: estimated cross-section random effects variance is zero.

Cross-section random effects test comparisons:

Variable Fixed Random Var(Diff.) Prob.

UNEMPLOYMENT 0.261827 0.212845 0.002996 0.3709

INFLATION -0.100821 -0.156791 0.003535 0.3465

Cross-section random effects test equation:

Dependent Variable: GDP
Method: Panel Least Squares
Date: 11/09/21 Time: 22:22
Sample: 1990 1997
Periods included: 8
Cross-sections included: 4
Total panel (balanced) observations: 32

Variable Coefficient Std. Error t-Statistic Prob.

C 41.50509 20.55434 2.019286 0.0539

UNEMPLOYMENT 0.261827 0.202004 1.296149 0.2063
INFLATION -0.100821 0.238446 -0.422826 0.6759

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.112925    Mean dependent var 50.33201

Adjusted R-squared -0.057667    S.D. dependent var 29.60211
S.E. of regression 30.44368    Akaike info criterion 9.836994
Sum squared resid 24097.25    Schwarz criterion 10.11182
Log likelihood -151.3919    Hannan-Quinn criter. 9.928091
F-statistic 0.661960    Durbin-Watson stat 2.019211
Prob(F-statistic) 0.655436

Interpretasi : Keputusan yang didapat di uji hausman adalah Model REM karena nilai Cross-Section random
sebesar 0.6260 dimana nilai tersebut >0.05.
 C. Lagrange Multiplier Test (REM vs. CEM)

Lagrange Multiplier Tests for Random Effects

Null hypotheses: No effects
Alternative hypotheses: Two-sided (Breusch-Pagan) and one-sided
(all others) alternatives

Test Hypothesis
Cross-section Time Both

Breusch-Pagan 0.142404 0.815540 0.957945

(0.7059) (0.3665) (0.3277)

Honda -0.377365 -0.903073 -0.905406

(0.6470) (0.8168) (0.8174)

King-Wu -0.377365 -0.903073 -0.810360

(0.6470) (0.8168) (0.7911)

Standardized Honda -0.104544 -0.721424 -3.900293

(0.5416) (0.7647) (1.0000)

Standardized King-Wu -0.104544 -0.721424 -3.584610

(0.5416) (0.7647) (0.9998)

Gourieroux, et al. -- -- 0.000000

(1.0000)

Dari output diatas di peroleh nilai Both Breusch-Pagan (0,3277) > 0,05, sehingga dapat disimpulkan
dengan melakukan Uji Lagrange Multiplier maka model yang dipilih adalah Common Effect Model
(CEM).

3. Interpretasi Model Terpilih : Model CEM

Dependent Variable: GDP

Method: Panel Least Squares
Date: 11/09/21 Time: 21:33
Sample: 1990 1997
Periods included: 8
Cross-sections included: 4
Total panel (balanced) observations: 32

Variable Coefficient Std. Error t-Statistic Prob.

C 47.26178 18.96804 2.491653 0.0187

UNEMPLOYMENT 0.212845 0.187495 1.135205 0.2656
INFLATION -0.156791 0.222660 -0.704171 0.4869

R-squared 0.080043    Mean dependent var 50.33201

Adjusted R-squared 0.016598    S.D. dependent var 29.60211
S.E. of regression 29.35541    Akaike info criterion 9.685891
Sum squared resid 24990.47    Schwarz criterion 9.823304
Log likelihood -151.9743    Hannan-Quinn criter. 9.731439
F-statistic 1.261613    Durbin-Watson stat 1.976858
Prob(F-statistic) 0.298282
Hasil Keputusan:

1. Uji Signifikansi Simultan

Nilai Pro(F-Statistic) sebesar 0,29828 > 0,05, sehingga variable X1(Unemployment) dan
X2(Inflation) secara bersama-sama (simultan) tidak ber[engaruh terhadap Y(GDP).
2. Koefisien Determinasi
Nilai Adjusted R-Squared sebesar 0,016598 (17%), menagndung arti bahwa variasi Y yang dapat
dijelaskan oleh X1 dan X2 sebesar 17%. Sedangkan sisanya (100%-17% = 83%) dijelaskan oleh
variable diluar model.
3. Uji Signifikansi Parsial (Individu)
 Nilai Prob X1 (Unemployment) sebesar 0,2656 > 0,05 sehingaa menolak Ha1 yaitu
X1(Unemployment) berpengaruh terhadap Y(GDP) atau menerima H01 bahwa
X1(Unemployment) tidak berpengaruh terhadap Y(GDP).
 Nilai Prob X2(Inflation) sebesar 0,4869 > 0,05 sehingga enolak Ha2 yaitu X2(Inflation)
berpengaruh terhadap Y(GDP) atau menerima H02 bahwa X2(Inflation) tidak berpengaruh
terhadap Y(GDP).