KETEPATAN MEMILIH MODEL REGRESI

(Siklus Regresi)
TOPIK YANG DIBAHAS
1. Siklus uji statistik
2. Kunci keberhasilan uji statistik
3. Menggunakan regresi sebagai alat dan
metode analisis
4. Menggunakan regresi single equation
dan multi equation
 Contoh hasil regresi tdk signifikan
Dependent Variable: Investment
Method: Least Squares
Date: 06/10/08 Time: 09:59
Sample: 1969 2005
Included observations: 37
Variable Coefficient Std. Error t-Statistic Prob.
GDP -0.220686 0.158328 -1.393853 0.1773
IR -0.555570 0.390491 -1.422745 0.1688
CPI -4.781396 2.696932 -1.772902 0.0901
C 129.5088 24.78379 5.225546 0.0000
R-squared 0.354875 Mean dependent var 44.88462
Adjusted R-squared 0.494176 S.D. dependent var 12.79790
S.E. of regression 9.102027 Akaike info criterion 7.395509
Sum squared resid 1822.632 Schwarz criterion 7.589063
Log likelihood -92.14162 F-statistic 2.141451
Durbin-Watson stat 2.631298 Prob(F-statistic) 0.897040
 Contoh hasil regresi signifikan uji statistik
Dependent Variable: Log Investment
Method: Least Squares
Date: 06/10/08 Time: 20:56
Sample: 1969 2005
Included observations: 37
Variable Coefficient Std. Error t-Statistic Prob.
C -2.514534 0.669854 -3.753856 0.0007
Log GDP 0.698566 0.099704 7.006393 0.0000
Log IR 0.100918 0.052175 1.934218 0.0617
Log CPI 0.411257 0.121255 3.391671 0.0018
R-squared 0.995533 Mean dependent var 9.585885
Adjusted R-squared 0.995127 S.D. dependent var 1.234014
S.E. of regression 0.086141 Akaike info criterion -1.963846
Sum squared resid 0.244872 Schwarz criterion -1.789693
Log likelihood 40.33115 F-statistic 2451.617
Durbin-Watson stat 0.798455 Prob(F-statistic) 0.000000
 Regression Analysis Evolution
1980-
1926 1960 1990 2000 2010 2017

Linier Simple Advanced Simple Panel Dynamic Panel 1. Bootstraping

Regression Dynammic Dynamic Data Data Analysis. Regression
Regression. Regression. Analysis. 2. Fuzzy
(Ragnar Model ini dapat Econometrics
Frisch) Partial Autoregresive Model ini mengakomoda
(Pada model Adjustment, Model, Moving dapat si data time
ini ditemukan Adaptive Average, Box mengakom series dan
banyak Model, Shock odasi data cross section
masalah
Jenkins,
Absrober, GARCH,Coint time series secara
seperti
autokorelasi,
autoregressiv egration, dan cross bersamaan
heteroskedas e, simple ECM, VAR, section secara
tik, instability, dynamic VECM, secara dynamic.
dll sehingga model. Etc autoregresive bersamaan
model empirik model.
tidak valid)
 REGRESSION ANALYSIS EVOLUTION
Regression

Time Series Panel Data Cross Section

Dynamic Model

Special Case for

Theoritic A Theoritic Cross Section Data
(SEM.......)
Cost/loss ADL VAR
Functon

PAM (1967) AR, MA, ARMA,

ARIMA, ARCH-
SAM (1980) GARCH, BOX-
JENKINS.......
OESAM (1982)

ECM (1987)
N-ECM (1990)
OE-ECM (2006)
Dynamic Panel Data:
Cointegration-Vector Error Correction Model
(VECM)

Fuzzy, Boostraping Cointegration-VECM

for Panel Data
Aspek Uji Statistik (Hipotesis)
• Bagmn hubungan teori dan fakta?
• Apa arti uji asumsi klasik?
• Apa Arti uji t, F dll?
• Apa makna signifikan 5%, 10%
• Apa makna tidak signifikan?
• Bagaimana bukti kontribusi?
7
1. PENGANTAR
• Theory explains long run and general behaviour
• Equilibrium and disequilibrium dalam bisnis
• Anticipated and unanticipated variable (shock)
• Data stationary and non stationary
• Dynamic and static model
• Loss function of economic agents
• The general to specific approach
Model Teoritis

Gt = F (Yt , Nt)
Gt = Gross Investment
Yt= Gross National product
Nt= Nominal Interest rate

Gt* = o + 1 Yt + 2 Nt + e t
Siklus Uji Statistik
Gt = F (Yt , Nt)
Gt* = o + 1 Yt + 2 Nt + et
Berdasarkan analisis data, o, 1 , 2 diperoleh,
tetapi bentuk fungsi empirik salah

SEHINGGA :
Kuadrat residual (RSS) Tinggi
e2 tinggi
n–k
AKIBATNYA :

1. NILAI STANDARD ERROR KOEFISIEN

REGRESI TINGGI
2. NILAI T HITUNG RENDAH
3. NILAI F HITUNG RENDAH
4. NILAI KOEFISIEN DETERMINASI (R2)
RENDAH
5. TERJADI PELANGGARAN ASUMSI
KLASIK
 Var 1 =
e2 tinggi,
(Yi2)/(nNi2) x (e2)/n-k)  varian tinggi

SE 1 = (Var 1 )1/2 Varian tinggi, SE tinggi

th 1 = 1 / SE 1 SE tinggi, th rendah

th rendah shg Uji t Tidak signifikan karena

masalah asumsi dan
TIDAK SIGNIFIKAN bentuk model regresi,
bukan maslah teori.
1. Nilai F hitung:

Fh = (b1 gi y1i + b2 gi y2I)/(k-1)

 ei2 / (n-k)

2. Nilai R2:

R2 = 1 - e2 / Gi2

3. Asumsi klasik:

Pelanggaran asumsi klasik juga

TERJADI akibat tingginya nilai e2
2. Kunci Keberhasilan Uji Statistik
Meminimalkan nilai residual (residual
management) dengan cara:
1. Pemilihan teori yang tepat
2. Pemilihan variabel bebas yang cocok dgn
fakta yang diteliti
3. Bentuk fungsi yang menjelaskan fenomena
4. Menentukan pola hubungan antar variabel
3. Regresi: Sebagai alat vs metode

• Regresi sbg alat analisis membantu

menjelaskan ada/tdknya hubungan antar
variabel
• Regresi sebaga metode membantu
menjelaskan berbagai isu yang
‘tersembunyi’, misal: faktor adjustment,
adaptive, pengaruh shock, pengaruh lag,
disequilibrium, nominal dan perubahan,
efisiensi, welfare loss, dll
Partial Adjustment Model (PAM)

G t = F (Y t, N t) ………… (Model teoritis)

Ct = b1(Gt – Gt*)2 + b2(Gt – Gt-1)2 ………. (Loss function)

Gt* = o + 1 Y t + 2 N t + e t ……….(Model diharapkan)

Gt = o + 1 Yt + 2 Nt + 3 Gt-1 + v t ….(Model empiris yang

diestimasi berdasarkan data)

dimana :
Gt = aktual

Gt* = long run desired

 = b1/(b1+b2); 3 = (1- );
o = o /  ; 1 = 1 /  ; 2 = 2 / 
 Contoh regresi Partial Adjustment
Dependent Variable: LREVT
Method: Least Squares
Date: 06/10/08 Time: 21:10
Sample(adjusted): 1969 2005
Included observations: 36 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C -1.484513 0.692522 -2.143634 0.0400
LGEO 0.379049 0.136011 2.786902 0.0090
LGED 0.090872 0.046814 1.941151 0.0614
LGDP 0.262595 0.118919 2.208178 0.0348
LREVT(-1) 0.395620 0.126874 3.118217 0.0039
R-squared 0.996329 Mean dependent var 9.644796
Adjusted R-squared 0.995856 S.D. dependent var 1.197589
S.E. of regression 0.077095 Akaike info criterion -2.159315
Sum squared resid 0.184252 Schwarz criterion -1.939382
Log likelihood 43.86767 F-statistic 2103.664
Durbin-Watson stat 1.359673 Prob(F-statistic) 0.000000
General Error Corection Model (ECM)
loss function:

Ct=b1(Gt–Gt*)2+b2[Gt – Gt-1 - f(Zt – Zt-1 )]2

Gt = F (Yt, Nt), bentuk ECM adalah :

Gt = o + 1 Yt + 2 Nt + 3 ECTt +vt

ECTt = B (Y + N - G)t

Persamaan dalam jangka panjang:

Gt* = o + 1 Y t + 2 N t + e t
o = 0 / 3
1 = 1 / 3
2 = 2 / 3
Pengembangan ECM:
Optimum Exogenous Shock - Error Correction Model
(OE-ECM)

Loss function:

Ct = f1(Gtp – Gt*)2 + f2 [(1-B) (Gtp – pGt*)]2

Dimana:
Gtp = short run planned gross investment
Gt* = long run desired gross investment
ESt o = optimum shock
Diperoleh persamaan general:

Gt = o + 1 Yt + 2 Nt + 3 BYt + 4 BNt + 5 ESt

k
+ i  Bi ESt + 7 ECTt + vt
i=1

ECTt = B (Y + N - G)t
o = 0 / 7
1 = (3 + 7 ) / 7
2 = (4 + 7 ) / 7
5 = short run effect dari exogenous shock
i = long run effect dari exogenous shock
Berdasarkan bentuk tersebut dapat dilakukan pengujian pembatasan
(restriction test) bahwa 10 model-model lainnya merupakan bagian /
bentuk khusus (special case) dari model OE-ECM:

Case 1. Standard New Error Correction Model

Jika, 3 = 4 =  i = 0, untuk i > 1
1. Gt = o + 1 Yt + 2 Nt 5 ESt + 6 BESt + 7 ECTt + vt

Case 2. Standard Error Correction Model

Jika, 5 =  i = 0
2. Gt = o + 1 Yt + 2 Nt + 3 BYt + 4 BNt +
7 ECTt + vt

Case 3. Optimun Endogenous-Shock Absorber Model

Jika, h3 = h4 = h6 = 0
3. Gt = h0 + h1Yt + h2Nt + h5 ESt o + h7 B Gt + v t

Case 4. Shock Absorber Model

Jika, h3 = h4 = h6 = 0 ; dan i = 1;
dan shock = endogenous
4. Gt = h0 + h1Yt + h2Nt + h5 ESt + h7 B Gt + v t
Case 5. Partial Adjustment Model
Jika, h3 = h4 = h5 = h6 = 0
5. Gt = h0 + h1Yt + h2Nt + h7 B Gt + v t

Case 6. Autoregressive of order one

Jika, h1 = h2 = h3 = h4 =h5 = h6 = 0
6. Gt = h0 + h7 BGt + v t

Case 7. Growth rate model

Jika, h1 = h3; h2 = -h4; h5 = h6 = 0; h7 = 1
7. Gt = o + 1 Yt + 2 Nt + v t

Case 8.Leading indicator model

Jika, h1 = h2 =h5 = h6 = h7 = 0
8. Gt = h0 + h3 BYt + h4 BNt + v t

Case 9. Finite distributed lag model

Jika, h5 = h6 = h7 = 0
9. Gt = h0 + h1Yt + h2Nt + h3 BYt + h4 BNt + v t

Case 10. Engle-Granger ECM

Jika, 3 = 4 = 5 = 6 = 0
10. Gt = o + 1 Yt + 2 Nt + 7 ECTt + vt
SELEKSI MODEL
The Proposed
General Model
(OE- ECM)

OISAM, restriction test Encompassing N-ECM, restriction test

from OE-ECM (1989) test from OE-ECM (1992)

SAM, restriction test ECM, restriction test

from OI-SAM (1982) from OE- ECM (1987)

PAM, restriction test

from SAM (1967)
4. Regresi multi equation:
VECTOR AUTOREGRESIF (VAR)

Jika ada model teoritis:

Ge= f (REV), maka:

Untuk analisis hubungan kausalitas dapat digunakan metode

VECM sebagai bentuk khusus dari VAR:

REVt = 11 + 12 GEt-1 + … + 1i GEt-i +  11 REVt-1

+ … + 1i REVt-i + 1 ECTt + v t

GEt = 21 +  22 GEt-1 + … + 2i GEt-i +  21 REVt-1 + … +

 2i REVt-i + 2 ECTt + v t
 Bivariate Causality Test:
Tax - Expenditure

Model F statistik hasil restriction test Coefficient

(lag=1): ECT

∆ LTAX ∆ LGET

∆ LTAX - 0.958 -0.299

(0.327) (-3.568) a
-
∆ LGET 5.052 -0.097
(0.024) b (-1.184)
Keputusan pada model jangka pendek: LTAX LGET
Keputusan pada model jangka panjang: LTAX LGET
 Response of LGET to One S.D. LTAX Innov ation
0.12

0.10

0.08

0.06

0.04
1 2 3 4 5 6 7 8 9 10
Tahun ke
 Evolusi Analisis Regresi

Time Series Cross Section

Dynamic Model

Special Case for

Theoritic A Theoritic Cross Section Data
(SEM.......), dll

Cost/loss VAR
Functon AR, MA, ARMA,
ARIMA, ARCH-
GARCH, BOX-
JENKINS.......
PAM (1967)
Panel Data
SAM (1980)
OESAM (1983)
ECM (1987)
N-ECM (1990)
Cointegration-Vector Error
OE-ECM (2005) Correction Model (VECM) for
Panel Data