HASIL REGRESI

Dependent Variable: RETURN_SAHAM

Method: Panel EGLS (Cross-section random effects)
Date: 01/02/23 Time: 02:41
Sample: 2011 2015
Periods included: 5
Cross-sections included: 9
Total panel (unbalanced) observations: 31
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

LOGTATO -6.21E+08 2.32E+08 -2.682680 0.0125

LOGDER 9.32E+08 4.74E+08 1.968070 0.0598
LOGPBV 2.47E+08 2.94E+08 0.840192 0.4085
INFLASI 1.74E+08 1.68E+08 1.034163 0.3106
C -7.65E+09 6.75E+09 -1.132921 0.2676

Effects Specification
S.D.   Rho  

Cross-section random 1.74E+09 0.4190

Idiosyncratic random 2.04E+09 0.5810

Weighted Statistics

R-squared 0.339653    Mean dependent var 1.05E+09

Adjusted R-squared 0.238061    S.D. dependent var 2.20E+09
S.E. of regression 1.95E+09    Sum squared resid 9.92E+19
F-statistic 3.343313    Durbin-Watson stat 1.752730
Prob(F-statistic) 0.024585

Unweighted Statistics

R-squared 0.264686    Mean dependent var 2.21E+09

Sum squared resid 1.52E+20    Durbin-Watson stat 1.140638
UJI LIKELIHOOD RATIO

Redundant Fixed Effects Tests

Equation: Untitled
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 2.231537 (8,18) 0.0750

Cross-section Chi-square 21.360108 8 0.0062

Cross-section fixed effects test equation:

Dependent Variable: RETURN_SAHAM
Method: Panel Least Squares
Date: 01/02/23 Time: 02:42
Sample: 2011 2015
Periods included: 5
Cross-sections included: 9
Total panel (unbalanced) observations: 31

Variable Coefficient Std. Error t-Statistic Prob.  

LOGTATO -5.34E+08 2.62E+08 -2.042484 0.0514

LOGDER 7.77E+08 4.91E+08 1.581604 0.1258
LOGPBV 2.62E+08 2.33E+08 1.123126 0.2716
INFLASI 1.67E+08 1.93E+08 0.866241 0.3943
C -6.52E+09 6.74E+09 -0.966918 0.3425

R-squared 0.277162    Mean dependent var 2.21E+09

Adjusted R-squared 0.165956    S.D. dependent var 2.63E+09
S.E. of regression 2.40E+09    Akaike info criterion 46.18219
Sum squared resid 1.50E+20    Schwarz criterion 46.41348
Log likelihood -710.8240    Hannan-Quinn criter. 46.25758
F-statistic 2.492332    Durbin-Watson stat 1.120973
Prob(F-statistic) 0.067699

UJI HAUSMAN TEST

Correlated Random Effects - Hausman Test

Equation: Untitled
Test cross-section random effects

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

Cross-section random 1.128571 4 0.8897

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

LOGTATO - - 19203947474 0.6193

643053910.6 621280759.71 16831.9
 44836 0760
955568596.4 932043291.34 35042452647
LOGDER 66196 0673 559681 0.9000
500798967.7 247274183.88 13128051294
LOGPBV 69606 1891 9298920 0.4841
182213573.0 173797035.83 11315945555
INFLASI 40458 2559 17440.0 0.8024

Cross-section random effects test equation:

Dependent Variable: RETURN_SAHAM
Method: Panel Least Squares
Date: 01/02/23 Time: 02:43
Sample: 2011 2015
Periods included: 5
Cross-sections included: 9
Total panel (unbalanced) observations: 31

Variable Coefficient Std. Error t-Statistic Prob.  

C -1.11E+10 8.65E+09 -1.281171 0.2164

LOGTATO -6.43E+08 2.36E+08 -2.728282 0.0138
LOGDER 9.56E+08 5.09E+08 1.876470 0.0769
LOGPBV 5.01E+08 4.67E+08 1.072847 0.2975
INFLASI 1.82E+08 1.71E+08 1.063156 0.3018

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.637092    Mean dependent var 2.21E+09

Adjusted R-squared 0.395153    S.D. dependent var 2.63E+09
S.E. of regression 2.04E+09    Akaike info criterion 46.00928
Sum squared resid 7.52E+19    Schwarz criterion 46.61063
Log likelihood -700.1439    Hannan-Quinn criter. 46.20531
F-statistic 2.633278    Durbin-Watson stat 2.324764
Prob(F-statistic) 0.031041

UJI NORMALITAS
UJI MULTIKOL

Variance Inflation Factors

Date: 01/02/23 Time: 02:50
Sample: 1 90
Included observations: 90

Coefficient Uncentered Centered

Variable Variance VIF VIF

TATO  153613.4  4.589416  1.018760

DER  10322.69  1.450785  1.058766
PBV  3883.505  1.461285  1.074829
INFLASI  7.01E+15  7.278740  1.002483
C  4.02E+17  11.33252  NA

UJI HETEROSKEDASTISITAS

Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic 4.226933    Prob. F(4,85) 0.0036

Obs*R-squared 14.93210    Prob. Chi-Square(4) 0.0048
Scaled explained SS 39.62933    Prob. Chi-Square(4) 0.0000

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 01/02/23 Time: 02:51
Sample: 1 90
Included observations: 90

Variable Coefficient Std. Error t-Statistic Prob.  

 C 4.50E+18 2.45E+18 1.833761 0.0702
TATO -1.81E+12 1.52E+12 -1.192116 0.2365
DER 9.86E+11 3.93E+11 2.507029 0.0141
PBV 4.81E+11 2.41E+11 1.994135 0.0493
INFLASI -3.35E+17 3.24E+17 -1.034465 0.3039

R-squared 0.165912    Mean dependent var 3.02E+18

Adjusted R-squared 0.126661    S.D. dependent var 7.40E+18
S.E. of regression 6.92E+18    Akaike info criterion 89.65270
Sum squared resid 4.07E+39    Schwarz criterion 89.79158
Log likelihood -4029.372    Hannan-Quinn criter. 89.70871
F-statistic 4.226933    Durbin-Watson stat 2.031775
Prob(F-statistic) 0.003609

UJI AUTOKORELASI

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 0.645612    Prob. F(2,83) 0.5270

Obs*R-squared 1.378674    Prob. Chi-Square(2) 0.5019

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 01/02/23 Time: 02:51
Sample: 1 90
Included observations: 90
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.  

TATO -9.391282 394.9905 -0.023776 0.9811

DER -80.40953 124.2759 -0.647024 0.5194
PBV 4.156648 63.12402 0.065849 0.9477
INFLASI 8316666. 84452951 0.098477 0.9218
C 49760792 6.39E+08 0.077900 0.9381
RESID(-1) 0.147671 0.132740 1.112480 0.2691
RESID(-2) 0.024567 0.112026 0.219298 0.8270

R-squared 0.015319    Mean dependent var 1.48E-07

Adjusted R-squared -0.055863    S.D. dependent var 1.75E+09
S.E. of regression 1.79E+09    Akaike info criterion 45.52880
Sum squared resid 2.67E+20    Schwarz criterion 45.72323
Log likelihood -2041.796    Hannan-Quinn criter. 45.60721
F-statistic 0.215204    Durbin-Watson stat 1.953264
Prob(F-statistic) 0.970999