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Panel Data Analysis: Fixed vs. Random Effects

The document analyzes models for panel data including common effect model, fixed effect model, random effect model, and tests for each model. It performs regression analysis and provides coefficients, standard errors, test statistics and probabilities for each variable. It also analyzes the assumptions of each model.

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rani laeli
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42 views6 pages

Panel Data Analysis: Fixed vs. Random Effects

The document analyzes models for panel data including common effect model, fixed effect model, random effect model, and tests for each model. It performs regression analysis and provides coefficients, standard errors, test statistics and probabilities for each variable. It also analyzes the assumptions of each model.

Uploaded by

rani laeli
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd

MODEL CEM (Common Effect)

Dependent Variable: Y
Method: Panel Least Squares
Date: 03/16/22 Time: 21:37
Sample: 2016 2020
Periods included: 5
Cross-sections included: 10
Total panel (unbalanced) observations: 46

Variable Coefficient Std. Error t-Statistic Prob.

C 31.49146 7.416359 4.246216 0.0001


X1 6.19E-11 6.24E-11 0.993189 0.3266
X2 -2.74E-12 3.44E-12 -0.796234 0.4306
X3 -1.56E-06 7.70E-07 -2.031078 0.0489
X4 0.000173 0.000660 0.262603 0.7942
X5 0.182758 0.108607 1.682740 0.1002

Root MSE 1.720877 R-squared 0.273139


Mean dependent var 32.34500 Adjusted R-squared 0.182282
S.D. dependent var 2.040783 S.E. of regression 1.845435
Akaike info criterion 4.184414 Sum squared resid 136.2252
Schwarz criterion 4.422933 Log likelihood -90.24153
Hannan-Quinn criter. 4.273765 F-statistic 3.006233
Durbin-Watson stat 1.707027 Prob(F-statistic) 0.021403

FIXXED EFFECT MODEL


Dependent Variable: Y
Method: Panel Least Squares
Date: 03/16/22 Time: 21:40
Sample: 2016 2020
Periods included: 5
Cross-sections included: 10
Total panel (unbalanced) observations: 46

Variable Coefficient Std. Error t-Statistic Prob.

C -17.16416 24.47908 -0.701177 0.4884


X1 8.86E-11 1.71E-10 0.519361 0.6072
X2 5.37E-12 6.10E-12 0.880459 0.3854
X3 -6.25E-06 1.90E-06 -3.286211 0.0025
X4 0.004959 0.002047 2.422492 0.0215
X5 0.608284 0.686968 0.885461 0.3827

Effects Specification

Cross-section fixed (dummy variables)

Root MSE 1.234743 R-squared 0.625799


Mean dependent var 32.34500 Adjusted R-squared 0.456805
S.D. dependent var 2.040783 S.E. of regression 1.504093
Akaike info criterion 3.911777 Sum squared resid 70.13115
Schwarz criterion 4.508073 Log likelihood -74.97086
Hannan-Quinn criter. 4.135153 F-statistic 3.703085
Durbin-Watson stat 3.318346 Prob(F-statistic) 0.001166
OUTPUT UJI CHOW
Redundant Fixed Effects Tests
Equation: Untitled
Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 3.246164 (9,31) 0.0069


Cross-section Chi-square 30.541341 9 0.0004

Cross-section fixed effects test equation:


Dependent Variable: Y
Method: Panel Least Squares
Date: 03/16/22 Time: 21:45
Sample: 2016 2020
Periods included: 5
Cross-sections included: 10
Total panel (unbalanced) observations: 46

Variable Coefficient Std. Error t-Statistic Prob.

C 31.49146 7.416359 4.246216 0.0001


X1 6.19E-11 6.24E-11 0.993189 0.3266
X2 -2.74E-12 3.44E-12 -0.796234 0.4306
X3 -1.56E-06 7.70E-07 -2.031078 0.0489
X4 0.000173 0.000660 0.262603 0.7942
X5 0.182758 0.108607 1.682740 0.1002

Root MSE 1.720877 R-squared 0.273139


Mean dependent var 32.34500 Adjusted R-squared 0.182282
S.D. dependent var 2.040783 S.E. of regression 1.845435
Akaike info criterion 4.184414 Sum squared resid 136.2252
Schwarz criterion 4.422933 Log likelihood -90.24153
Hannan-Quinn criter. 4.273765 F-statistic 3.006233
Durbin-Watson stat 1.707027 Prob(F-statistic) 0.021403

Probabilitas dibawah 0,05 maka H0 ditolak dan H1 diterima maka artinya model FEM adalah yang
paling sesuai karena

MODEL REM
Dependent Variable: Y
Method: Panel EGLS (Cross-section random effects)
Date: 03/16/22 Time: 21:49
Sample: 2016 2020
Periods included: 5
Cross-sections included: 10
Total panel (unbalanced) observations: 46
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.

X1 4.32E-11 7.20E-11 0.600449 0.5516


X2 -1.79E-12 3.89E-12 -0.459659 0.6482
X3 -1.96E-06 9.87E-07 -1.986317 0.0539
X4 0.001204 0.000853 1.410902 0.1660
X5 0.282990 0.153654 1.841731 0.0729
C 20.57332 9.013616 2.282471 0.0279

Effects Specification
S.D. Rho

Cross-section random 1.098172 0.3477


Idiosyncratic random 1.504093 0.6523

Weighted Statistics

Root MSE 1.504234 R-squared 0.178318


Mean dependent var 17.32309 Adjusted R-squared 0.075608
S.D. dependent var 2.143640 S.E. of regression 1.613111
Sum squared resid 104.0851 F-statistic 1.736126
Durbin-Watson stat 2.173039 Prob(F-statistic) 0.148597

Unweighted Statistics

R-squared 0.223854 Mean dependent var 32.34500


Sum squared resid 145.4620 Durbin-Watson stat 1.554915

UJI HAUSMAN
Correlated Random Effects - Hausman Test
Equation: Untitled
Test cross-section random effects

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

Cross-section random 10.979984 5 0.0518

Cross-section random effects test comparisons:

Variable Fixed Random Var(Diff.) Prob.

X1 0.000000 0.000000 0.000000 0.7691


X2 0.000000 -0.000000 0.000000 0.1281
X3 -0.000006 -0.000002 0.000000 0.0083
X4 0.004959 0.001204 0.000003 0.0436
X5 0.608284 0.282990 0.448316 0.6271

Cross-section random effects test equation:


Dependent Variable: Y
Method: Panel Least Squares
Date: 03/16/22 Time: 21:50
Sample: 2016 2020
Periods included: 5
Cross-sections included: 10
Total panel (unbalanced) observations: 46

Variable Coefficient Std. Error t-Statistic Prob.

C -17.16416 24.47908 -0.701177 0.4884


X1 8.86E-11 1.71E-10 0.519361 0.6072
X2 5.37E-12 6.10E-12 0.880459 0.3854
X3 -6.25E-06 1.90E-06 -3.286211 0.0025
X4 0.004959 0.002047 2.422492 0.0215
X5 0.608284 0.686968 0.885461 0.3827

Effects Specification

Cross-section fixed (dummy variables)

Root MSE 1.234743 R-squared 0.625799


Mean dependent var 32.34500 Adjusted R-squared 0.456805
S.D. dependent var 2.040783 S.E. of regression 1.504093
Akaike info criterion 3.911777 Sum squared resid 70.13115
Schwarz criterion 4.508073 Log likelihood -74.97086
Hannan-Quinn criter. 4.135153 F-statistic 3.703085
Durbin-Watson stat 3.318346 Prob(F-statistic) 0.001166

Probabilitas diatas 0,05 lebih dari maka H0 diterima H1 ditolak artinya REM model yang sesuai.
Ketika kurang dari 0,05 maka FEM adalah model yang sesuai

UJI ASUMSI

UJI NORMALITAS
Correlated Random Effects - Hausman Test
Equation: Untitled
Test cross-section random effects

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

Cross-section random 10.979984 5 0.0518

Cross-section random effects test comparisons:

Variable Fixed Random Var(Diff.) Prob.

X1 0.000000 0.000000 0.000000 0.7691


X2 0.000000 -0.000000 0.000000 0.1281
X3 -0.000006 -0.000002 0.000000 0.0083
X4 0.004959 0.001204 0.000003 0.0436
X5 0.608284 0.282990 0.448316 0.6271

Cross-section random effects test equation:


Dependent Variable: Y
Method: Panel Least Squares
Date: 03/16/22 Time: 21:50
Sample: 2016 2020
Periods included: 5
Cross-sections included: 10
Total panel (unbalanced) observations: 46

Variable Coefficient Std. Error t-Statistic Prob.

C -17.16416 24.47908 -0.701177 0.4884


X1 8.86E-11 1.71E-10 0.519361 0.6072
X2 5.37E-12 6.10E-12 0.880459 0.3854
X3 -6.25E-06 1.90E-06 -3.286211 0.0025
X4 0.004959 0.002047 2.422492 0.0215
X5 0.608284 0.686968 0.885461 0.3827

Effects Specification

Cross-section fixed (dummy variables)

Root MSE 1.234743 R-squared 0.625799


Mean dependent var 32.34500 Adjusted R-squared 0.456805
S.D. dependent var 2.040783 S.E. of regression 1.504093
Akaike info criterion 3.911777 Sum squared resid 70.13115
Schwarz criterion 4.508073 Log likelihood -74.97086
Hannan-Quinn criter. 4.135153 F-statistic 3.703085
7
Series: Standardized Residuals
6 Sampl e 2016 2020
Obs ervati ons 46
5
Mea n -7.72e-17
4
Medi an -0.071289
3 Maxi mum 3.070476
Mi ni mum -2.011469
2 Std. Dev. 1.248387
Skewnes s 0.832293
1 Kurtos i s 3.160950

0
-2 -1 0 1 2 3 Jarque-Bera 5.360437
Probabi l i ty 0.068548

Nilai Probabilitas lebih besar dari 0,05 yaitu 0,068 artinya data terdistribusi normal

UJI MULTIKOLINEARITAS
X1 X2 X3 X4 X5
X1 1 0.98475025... -0.3306557... 0.27812469... -0.4222433...
X2 0.98475025... 1 -0.3711026... 0.17743323... -0.3528260...
X3 -0.3306557... -0.3711026... 1 0.38843620... -0.2351489...
X4 0.27812469... 0.17743323... 0.38843620... 1 -0.7511848...
X5 -0.4222433... -0.3528260... -0.2351489... -0.7511848... 1

UJI HETEROKEDASTISITAS
Dependent Variable: RESABS
Method: Panel Least Squares
Date: 03/16/22 Time: 22:33
Sample: 2016 2020
Periods included: 5
Cross-sections included: 10
Total panel (unbalanced) observations: 46

Variable Coefficient Std. Error t-Statistic Prob.

C 0.218186 3.259949 0.066929 0.9470


X1 -3.57E-12 2.74E-11 -0.130210 0.8971
X2 -2.11E-13 1.51E-12 -0.139366 0.8899
X3 -3.15E-08 3.38E-07 -0.093084 0.9263
X4 0.000127 0.000290 0.436929 0.6645
X5 -0.028502 0.047740 -0.597031 0.5539

Root MSE 0.756432 R-squared 0.090634


Mean dependent var 0.946241 Adjusted R-squared -0.023037
S.D. dependent var 0.801998 S.E. of regression 0.811183
Akaike info criterion 2.540461 Sum squared resid 26.32071
Schwarz criterion 2.778980 Log likelihood -52.43061
Hannan-Quinn criter. 2.629812 F-statistic 0.797335
Durbin-Watson stat 1.989994 Prob(F-statistic) 0.558134

variabel independent memiliki nilai lebih dari 0,05 maka data tidak terdapat masalah
heterokedastisitas

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