Nama : Aditya Nugroho Dosen : Dr. M.

Rustam, SE,
ME.
Nim : B2092221013
Mata Kuliah : Statistika Untuk
Bisnis
Magister Akuntansi Kelas A weekend

CONSTRUCTION :

Kode PBV DER TATO ROE

Nama Perusahaan Tahun
Saham (Y) (X1) (X2) (X3)
ACST Acset Indonusa Tbk. [S] 2019 1.01 14 0.30 -148.9
ACST Acset Indonusa Tbk. [S] 2020 2.74 2.69 0.25 -97.5
ACST Acset Indonusa Tbk. [S] 2021 1.88 1.14 0.36 -0.676
ADHI Adhi Karya (Persero) Tbk. [S] 2019 0.64 4.01 0.27 7.18
ADHI Adhi Karya (Persero) Tbk. [S] 2020 0.98 5.72 0.23 0.37
ADHI Adhi Karya (Persero) Tbk. [S] 2021 0.57 6.28 0.18 0.00
CSIS Cahayasakti Investindo Sukses Tbk. [S] 2019 0.55 1.25 0.06 -6.27
CSIS Cahayasakti Investindo Sukses Tbk. [S] 2020 0.31 1.04 0.15 2.98
CSIS Cahayasakti Investindo Sukses Tbk. [S] 2021 0.71 0.88 0.11 0.00
DGIK Nusa Konstruksi Enjiniring Tbk. [S] 2019 0.42 1.48 0.46 -2.07
DGIK Nusa Konstruksi Enjiniring Tbk. [S] 2020 0.43 0.73 0.29 -5.64
DGIK Nusa Konstruksi Enjiniring Tbk. [S] 2021 1.69 0.54 0.23 0.02
IDPR Indonesia Pondasi Raya Tbk. [S] 2019 0.60 0.63 0.35 1.15
IDPR Indonesia Pondasi Raya Tbk. [S] 2020 0.43 0.69 0.30 -27.5
IDPR Indonesia Pondasi Raya Tbk. [S] 2021 0.59 1.32 0.41 -0.445
Jaya Konstruksi Manggala Pratama Tbk.
JKON 2019 3.21 1.04 0.61 2.22
[S]
Jaya Konstruksi Manggala Pratama Tbk.
JKON 2020 2.50 0.76 0.42 -2.48
[S]
Jaya Konstruksi Manggala Pratama Tbk.
JKON 2021 0.78 0.60 0.47 0.00
[S]
MTRA Mitra Pemuda Tbk. [S] 2019 2.23 2.38 0.67 4.16
MTRA Mitra Pemuda Tbk. [S] 2020 1.61 2.38 0.67 4.16
MTRA Mitra Pemuda Tbk. [S] 2021 1.86 2.18 0.16 0.09
NRCA Nusa Raya Cipta Tbk. [S] 2019 0.77 1.01 0.77 11.4
NRCA Nusa Raya Cipta Tbk. [S] 2020 0.77 0.95 0.71 7.17
NRCA Nusa Raya Cipta Tbk. [S] 2021 0.64 0.93 0.47 0.01
PBSA Paramita Bangun Sarana Tbk. [S] 2019 2.03 0.3 0.51 -2.33
PBSA Paramita Bangun Sarana Tbk. [S] 2020 1.71 0.25 0.58 8.24
PBSA Paramita Bangun Sarana Tbk. [S] 2021 2.05 0.24 0.23 0.09
PTPP PP (Persero) Tbk. [S] 2019 0.59 2.3 0.29 4.36
PTPP PP (Persero) Tbk. [S] 2020 0.81 2.79 0.19 0.25
PTPP PP (Persero) Tbk. [S] 2021 0.43 2.96 0.20 0.02

COMMON EFFECT MODEL:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 11/28/22 Time: 16:50
Sample: 2019 2021
Periods included: 3
Cross-sections included: 10
Total panel (balanced) observations: 30

Variable Coefficient Std. Error t-Statistic Prob.  

C 0.881102 0.352022 2.502976 0.0189

DER -0.111427 0.074589 -1.493884 0.1472
ROE -0.011128 0.006122 -1.817778 0.0806
TATO 1.239380 0.760691 1.629282 0.1153

R-squared 0.189397    Mean dependent var 1.184667

Adjusted R-squared 0.095866    S.D. dependent var 0.806998
S.E. of regression 0.767342    Akaike info criterion 2.431798
Sum squared resid 15.30916    Schwarz criterion 2.618624
Log likelihood -32.47696    Hannan-Quinn criter. 2.491565
F-statistic 2.024969    Durbin-Watson stat 0.873332
Prob(F-statistic) 0.135040

FIXED EFFECT MODEL:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 11/28/22 Time: 16:53
Sample: 2019 2021
Periods included: 3
Cross-sections included: 10
Total panel (balanced) observations: 30

Variable Coefficient Std. Error t-Statistic Prob.  

C 1.408571 0.360881 3.903141 0.0011

DER -0.163592 0.091650 -1.784965 0.0921
ROE -0.007987 0.008593 -0.929406 0.3657
TATO 0.160522 0.947876 0.169350 0.8675

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.732494    Mean dependent var 1.184667

Adjusted R-squared 0.543667    S.D. dependent var 0.806998
S.E. of regression 0.545147    Akaike info criterion 1.923160
Sum squared resid 5.052148    Schwarz criterion 2.530345
Log likelihood -15.84740    Hannan-Quinn criter. 2.117404
F-statistic 3.879174    Durbin-Watson stat 2.059855
Prob(F-statistic) 0.005636

RANDOM EFFECT MODEL :

Dependent Variable: PBV
Method: Panel EGLS (Cross-section random effects)
Date: 11/28/22 Time: 16:56
Sample: 2019 2021
Periods included: 3
Cross-sections included: 10
Total panel (balanced) observations: 30
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

C 1.210304 0.368670 3.282893 0.0029

DER -0.155341 0.074393 -2.088116 0.0467
ROE -0.010015 0.006652 -1.505652 0.1442
TATO 0.613515 0.771288 0.795442 0.4336

Effects Specification
S.D.   Rho  

Cross-section random 0.589486 0.5390

Idiosyncratic random 0.545147 0.4610

Weighted Statistics

R-squared 0.157422    Mean dependent var 0.557971

Adjusted R-squared 0.060201    S.D. dependent var 0.558313
S.E. of regression 0.541247    Sum squared resid 7.616659
F-statistic 1.619222    Durbin-Watson stat 1.449903
Prob(F-statistic) 0.209050

Unweighted Statistics

R-squared 0.146102    Mean dependent var 1.184667

Sum squared resid 16.12684    Durbin-Watson stat 0.684785

UJI CHOW
H0 = Model FEM terpilih (Cross section Chi-Square < 0.05)

H0 = Model CEM terpilih (Cross section Chi-Square > 0.05)

Redundant Fixed Effects Tests

Equation: MODEL_FEM
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 3.834874 (9,17) 0.0083

Cross-section Chi-square 33.259129 9 0.0001

Cross-section fixed effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 11/28/22 Time: 17:27
Sample: 2019 2021
Periods included: 3
Cross-sections included: 10
Total panel (balanced) observations: 30

Variable Coefficient Std. Error t-Statistic Prob.  

C 0.881102 0.352022 2.502976 0.0189

DER -0.111427 0.074589 -1.493884 0.1472
ROE -0.011128 0.006122 -1.817778 0.0806
TATO 1.239380 0.760691 1.629282 0.1153

R-squared 0.189397    Mean dependent var 1.184667

Adjusted R-squared 0.095866    S.D. dependent var 0.806998
S.E. of regression 0.767342    Akaike info criterion 2.431798
Sum squared resid 15.30916    Schwarz criterion 2.618624
Log likelihood -32.47696    Hannan-Quinn criter. 2.491565
F-statistic 2.024969    Durbin-Watson stat 0.873332
Prob(F-statistic) 0.135040

Pada uji Chow FEM Terpilih maka dilanjutkan Uji Hausman

UJI HAUSMAN
H0 = Model FEM terpilih (Cross section Chi-Square < 0.05)

H0 = Model REM terpilih (Cross section Chi-Square > 0.05)

Correlated Random Effects - Hausman Test

Equation: MODEL_REM
Test cross-section random effects

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

Cross-section random 2.629334 3 0.4524

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

DER -0.163592 -0.155341 0.002865 0.8775

ROE -0.007987 -0.010015 0.000030 0.7093
TATO 0.160522 0.613515 0.303583 0.4110

Cross-section random effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 11/28/22 Time: 18:03
Sample: 2019 2021
Periods included: 3
Cross-sections included: 10
Total panel (balanced) observations: 30

Variable Coefficient Std. Error t-Statistic Prob.  

C 1.408571 0.360881 3.903141 0.0011

DER -0.163592 0.091650 -1.784965 0.0921
ROE -0.007987 0.008593 -0.929406 0.3657
TATO 0.160522 0.947876 0.169350 0.8675

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.732494    Mean dependent var 1.184667

Adjusted R-squared 0.543667    S.D. dependent var 0.806998
S.E. of regression 0.545147    Akaike info criterion 1.923160
Sum squared resid 5.052148    Schwarz criterion 2.530345
Log likelihood -15.84740    Hannan-Quinn criter. 2.117404
F-statistic 3.879174    Durbin-Watson stat 2.059855
Prob(F-statistic) 0.005636

Pada Uji Hausman, REM terpilih maka dilanjutkan Uji Langrange

UJI LANGRANGE
 Lagrange multiplier (LM) test for panel data
Date: 11/28/22 Time: 19:11
Sample: 2019 2021
Total panel observations: 30
Probability in ()

Null (no rand. effect) Cross-section Period Both

Alternative One-sided One-sided

Honda  2.213081 -1.212520  0.707504

(0.0134) (0.8873) (0.2396)
King-Wu  2.213081 -1.212520 -0.153104
(0.0134) (0.8873) (0.5608)
SLM  2.940312 -0.981998 --
(0.0016) (0.8369) --
GHM -- --  4.897728
-- -- (0.0350)

Uji Asumsi Klasik

1. Uji Normalitas

Berdasarkan gambar diatas,yang merupakan hasil uji normalitas, menunjukan angka probabilitas
sebesar 0.449292 > 0.05 maka dapat disimpulkan bahwa data terdistribusi normal

2. Uji Multikolinieritas
 DER ROE TATO

DER  1.000000 -0.700661 -0.208850

ROE -0.700661  1.000000  0.187378
TATO -0.208850  0.187378  1.000000

Berdasarkan table diatas, Nilai Correlation antar DER, ROE, TATO -0.208850 < 0.90 maka
tidak terjadi masalah multikolinieritas.

3. Uji Auto Korelasi

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 0.528796    Prob. F(2,24) 0.5960

Obs*R-squared 1.266193    Prob. Chi-Square(2) 0.5309

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/29/22 Time: 16:26
Sample: 1 30
Included observations: 30
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.  

C 0.037070 0.361347 0.102589 0.9191

DER -0.000826 0.078818 -0.010485 0.9917
ROE -0.000302 0.006433 -0.046913 0.9630
TATO -0.103903 0.781447 -0.132962 0.8953
RESID(-1) 0.157665 0.207863 0.758507 0.4555
RESID(-2) -0.159406 0.206988 -0.770121 0.4487

R-squared 0.042206    Mean dependent var 1.28E-16

Adjusted R-squared -0.157334    S.D. dependent var 0.726569
S.E. of regression 0.781639    Akaike info criterion 2.522008
Sum squared resid 14.66301    Schwarz criterion 2.802247
Log likelihood -31.83012    Hannan-Quinn criter. 2.611659
F-statistic 0.211518    Durbin-Watson stat 1.999388
Prob(F-statistic) 0.954287

Berdasarkan table diatas , Nilai Probabilitas chi. Square (yang Obs *R squared) sebesar 0.53 > 0.05
maka tidak terjadi masalah autokorelasi

4. Uji Heteroskedastisitas
Heteroskedasticity Test: White
F-statistic 1.030475    Prob. F(9,20) 0.4505
Obs*R-squared 9.504190    Prob. Chi-Square(9) 0.3921
Scaled explained SS 4.444911    Prob. Chi-Square(9) 0.8798

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/29/22 Time: 16:36
Sample: 1 30
Included observations: 30

Variable Coefficient Std. Error t-Statistic Prob.  

C 0.403141 0.848559 0.475089 0.6399

DER^2 -0.024666 0.052677 -0.468249 0.6447
DER*ROE -0.001479 0.005475 -0.270170 0.7898
DER*TATO -0.853069 0.846686 -1.007540 0.3257
DER 0.295614 0.478311 0.618038 0.5435
ROE^2 -0.000157 0.000422 -0.371245 0.7144
ROE*TATO -0.312882 0.246870 -1.267396 0.2196
ROE 0.063948 0.082874 0.771633 0.4494
TATO^2 7.388881 6.456530 1.144404 0.2660
TATO -2.449933 4.335214 -0.565124 0.5783

R-squared 0.316806    Mean dependent var 0.510305

Adjusted R-squared 0.009369    S.D. dependent var 0.579200
S.E. of regression 0.576480    Akaike info criterion 1.997450
Sum squared resid 6.646591    Schwarz criterion 2.464516
Log likelihood -19.96176    Hannan-Quinn criter. 2.146869
F-statistic 1.030475    Durbin-Watson stat 1.758627
Prob(F-statistic) 0.450452

Berdasarkan table diatas , Nilai Probabilitas chi. Square (yang Obs *R squared) sebesar 0.3921 > 0.05
maka tidak terjadi masalah Heteroskedastisitas.