Multikolinearitas

Year Y X2 X3 X4
1936 62.8 43.41 17.1 3.96
1937 65 46.44 18.65 5.48
1938 63.9 44.35 17.09 4.37
1939 67.5 47.82 19.28 4.51
1940 71.3 51.02 23.24 4.88
1941 76.6 58.71 18.11 6.37
1945 86.3 87.69 30.29 8.96
1946 95.7 76.73 28.26 9.76
1947 98.3 75.91 27.91 9.31
1948 100.3 77.62 32.3 9.85
1949 103.2 78.01 31.39 7.21
1950 108.9 83.57 35.61 7.39
1951 108.5 90.59 37.58 7.98
1952 111.4 95.47 35.17 7.42
Kita lihat tampilan output regresi

Dependent Variable: Y
Method: Least Squares
Date: 10/13/21 Time: 09:13
Sample: 1 14
Included observations: 14

Variable Coefficient Std. Error t-Statistic Prob.  

C 21.38982 6.137207 3.485269 0.0059

X2 0.277756 0.309004 0.898873 0.3899
X3 1.552486 0.663888 2.338475 0.0414
X4 0.788528 1.341222 0.587917 0.5696

R-squared 0.927079     Mean dependent var 87.12143

Adjusted R-squared 0.905203     S.D. dependent var 18.64313
S.E. of regression 5.740055     Akaike info criterion 6.567771
Sum squared resid 329.4823     Schwarz criterion 6.750359
Log likelihood -41.97440     Hannan-Quinn criter. 6.550869
F-statistic 42.37841     Durbin-Watson stat 2.674918
Prob(F-statistic) 0.000005

Output korelasi yang diperoleh adalah sebagai berikut :

X2 X3 X4
0.9449958857 0.8106989118
X2 1 640558 227629
0.9449958857 0.7267736096
X3 640558 1 912483
0.8106989118 0.7267736096
X4 227629 912483 1

berdasarkan hasil ouput matrik korelasi antara x2 dan x3 sebesar 0,944, korelasi antara x2 dan x4 adalah 0.810 dan
korelasi antara x3 dan x4 adalah 0.726. Terdapat korelasi antara variable independent yang tinggi diaats 0.90. Jadi
disimpulkan terdapat multikolinearitas
Cara mengobati multikolinearitas :
s
Heterokedastisitas
Soal :

country stock price consumer price

Australia 5 4.3
austria 11.1 4.6
belgium 3.2 2.4
canada 7.9 2.4
chile 25.5 26.4
denmark 3.8 4.2
finland 11.1 5.5
france 9.9 4.7
germany 13.3 2.2
india 1.5 4
ireland 6.4 4
israel 8.9 8.4
italy 8.1 3.3
japan 13.5 4.7
mexico 4.7 5.2
netherlands 7.5 3.6
new zealand 4.7 3.6
sweden 8 4
united kingdom 7.5 3.9
united states 9 2.1

Pertama, Kita harus memperoleh hasil regresi seperti ini

Dependent Variable: Y
Method: Least Squares
Date: 10/13/21 Time: 08:33
Sample: 1 20
Included observations: 20 1. Uji Glejser

Variable Coefficient Std. Error t-Statistic Prob.  

C 4.610282 1.084906 4.249478 0.0005

X 0.757433 0.149941 5.051559 0.0001

R-squared 0.586380     Mean dependent var 8.530000

Adjusted R-squared 0.563402     S.D. dependent var 5.131954
S.E. of regression 3.390969     Akaike info criterion 5.374748
Sum squared resid 206.9761     Schwarz criterion 5.474321
Log likelihood -51.74748     Hannan-Quinn criter. 5.394186
F-statistic 25.51825     Durbin-Watson stat 2.607212
Prob(F-statistic) 0.000083

Heteroskedasticity Test: Glejser

F-statistic 0.966537     Prob. F(1,18) 0.3386

Obs*R-squared 1.019203     Prob. Chi-Square(1) 0.3127
Scaled explained SS 0.863970     Prob. Chi-Square(1) 0.3526
Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 10/13/21 Time: 08:35
Sample: 1 20
Included observations: 20

Variable Coefficient Std. Error t-Statistic Prob.  

C 3.043757 0.618319 4.922633 0.0001

X -0.084013 0.085455 -0.983126 0.3386

R-squared 0.050960     Mean dependent var 2.608988

Adjusted R-squared -0.001764     S.D. dependent var 1.930909
S.E. of regression 1.932611     Akaike info criterion 4.250261
Sum squared resid 67.22976     Schwarz criterion 4.349834
Log likelihood -40.50261     Hannan-Quinn criter. 4.269699
F-statistic 0.966537     Durbin-Watson stat 1.757224
Prob(F-statistic) 0.338576

Hasil tampilan diatas menunjukkan bahwa variable X signifikan pada 0,05 (diatas 0,05)yang mengidentifikasi tidak
terdapat heterokedastisitas. Oleh karena itu, dapat disimpulkan bahwa uji Glejser mengidikasikan tidak ada
heterokedastisitas dalam model.

2. Uji White

Heteroskedasticity Test: White

F-statistic 0.539021     Prob. F(2,17) 0.5930

Obs*R-squared 1.192653     Prob. Chi-Square(2) 0.5508
Scaled explained SS 0.772479     Prob. Chi-Square(2) 0.6796

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 10/13/21 Time: 08:40
Sample: 1 20
Included observations: 20

Variable Coefficient Std. Error t-Statistic Prob.  

C 19.13241 11.82977 1.617310 0.1242

X^2 0.061848 0.113112 0.546784 0.5916
X -2.323006 3.322171 -0.699243 0.4939

R-squared 0.059633     Mean dependent var 10.34880

Adjusted R-squared -0.050999     S.D. dependent var 13.42726
S.E. of regression 13.76539     Akaike info criterion 8.219673
Sum squared resid 3221.260     Schwarz criterion 8.369032
Log likelihood -79.19673     Hannan-Quinn criter. 8.248829
F-statistic 0.539021     Durbin-Watson stat 1.592845
Prob(F-statistic) 0.592965

Output diatas menunjukkan nilai obs*R-squared mempunyai nilai probabilitas Chi-Square yang signifikan (Nilai
p=0,5508). Dengan demikian maka hipotesis alternatif (Ha) adanya heterokedastisitas dalm model dapat ditolak.
3. Uji BPG

Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic 0.810639     Prob. F(1,18) 0.3798

Obs*R-squared 0.861894     Prob. Chi-Square(1) 0.3532
Scaled explained SS 0.558248     Prob. Chi-Square(1) 0.4550

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 10/13/21 Time: 08:44
Sample: 1 20
Included observations: 20

Variable Coefficient Std. Error t-Statistic Prob.  

C 13.12904 4.317481 3.040903 0.0070

X -0.537244 0.596702 -0.900355 0.3798

R-squared 0.043095     Mean dependent var 10.34880

Adjusted R-squared -0.010067     S.D. dependent var 13.42726
S.E. of regression 13.49467     Akaike info criterion 8.137106
Sum squared resid 3277.911     Schwarz criterion 8.236680
Log likelihood -79.37106     Hannan-Quinn criter. 8.156544
F-statistic 0.810639     Durbin-Watson stat 1.580511
Prob(F-statistic) 0.379820

Output diatas menunjukkan nilai obs*R-squared mempunyai nilai probabilitas Chi-Square yang signifikan (Nilai
p=0,3532). Dengan demikian maka hipotesis nol bahwa model homoskedastisitas adanya heterokedastisitas dalam
model dapat ditolak.

b. metode grafik

Dependent Variable: Y
Method: Least Squares
Date: 10/13/21 Time: 08:46
Sample: 1 20
Included observations: 20

Variable Coefficient Std. Error t-Statistic Prob.  

C 4.610282 1.084906 4.249478 0.0005

X 0.757433 0.149941 5.051559 0.0001

R-squared 0.586380     Mean dependent var 8.530000

Adjusted R-squared 0.563402     S.D. dependent var 5.131954
S.E. of regression 3.390969     Akaike info criterion 5.374748
Sum squared resid 206.9761     Schwarz criterion 5.474321
Log likelihood -51.74748     Hannan-Quinn criter. 5.394186
F-statistic 25.51825     Durbin-Watson stat 2.607212
Prob(F-statistic) 0.000083

kita lakukan regresi dulu pakai hasil yang paling awal

Interpretasi untuk scatterplot diatas adalah : Nampak bahwa residual tersebar mengikuti pola tertentu.
Hal ini mengidentifikasi kemungkinan tidak adanya heterokedastisitas dalam model.