LAMPIRAN OUTPUT EVIEWS

DESKRIPTIF STATISTIK

PRICE BVEIT EARN GW GWAM GWIMP

 Mean  6.401903  5.557667  1.178630  0.450071 -1.110771  0.031037
 Median  6.375867  2.872967  0.336988  0.079987  0.000000  0.000000
 Maximum  8.665613  68.68162  24.68283  6.336199  0.000000  2.970558
 Minimum  4.025352 -8.698224 -2.794102  0.000000 -7.018737  0.000000
 Std. Dev.  0.960962  8.557263  3.763141  0.786895  1.921864  0.227735
 Skewness -0.162316  4.370455  4.900036  3.257255 -1.420783  11.44891
 Kurtosis  2.548091  28.73991  27.65303  19.01699  3.587426  144.4685

 Jarque-Bera  2.528465  6034.731  5747.810  2441.692  68.75979  167724.0

 Probability  0.282456  0.000000  0.000000  0.000000  0.000000  0.000000

 Sum  1254.773  1089.303  231.0114  88.21394 -217.7111  6.083255

 Sum Sq. Dev.  180.0724  14279.22  2761.439  120.7448  720.2445  10.11335

 Observations  196  196  196  196  196  196

Persamaan 1

MODEL REGRESI LINIER

1. Metode Common effect:

Dependent Variable: PRICE

Method: Panel Least Squares
Date: 04/30/21 Time: 13:17
Sample: 2009 2015
Periods included: 7
Cross-sections included: 28
Total panel (balanced) observations: 196

Variable Coefficient Std. Error t-Statistic Prob.  

C 6.187392 0.066461 93.09839 0.0000

BVEIT 0.015961 0.008142 1.960289 0.0514
EARN -0.028756 0.018826 -1.527464 0.1283
GW -0.429371 0.054731 -7.845054 0.0000
GWAM -0.317750 0.023067 -13.77490 0.0000

R-squared 0.653706    Mean dependent var 6.401903

Adjusted R-squared 0.646454    S.D. dependent var 0.960962
S.E. of regression 0.571386    Akaike info criterion 1.743674
Sum squared resid 62.35796    Schwarz criterion 1.827299
Log likelihood -165.8801    Hannan-Quinn criter. 1.777530
F-statistic 90.13867    Durbin-Watson stat 0.179975
Prob(F-statistic) 0.000000
2. Metode Fixed effect:

Dependent Variable: PRICE

Method: Panel Least Squares
Date: 04/30/21 Time: 13:18
Sample: 2009 2015
Periods included: 7
Cross-sections included: 28
Total panel (balanced) observations: 196

Variable Coefficient Std. Error t-Statistic Prob.  

C 6.429478 0.035086 183.2491 0.0000

BVEIT 0.000681 0.002868 0.237299 0.8127
EARN -0.005598 0.011438 -0.489368 0.6252
GW -0.192548 0.042963 -4.481722 0.0000
GWAM -0.055728 0.021041 -2.648528 0.0089

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.977787    Mean dependent var 6.401903

Adjusted R-squared 0.973588    S.D. dependent var 0.960962
S.E. of regression 0.156173    Akaike info criterion -0.727424
Sum squared resid 3.999956    Schwarz criterion -0.192221
Log likelihood 103.2875    Hannan-Quinn criter. -0.510748
F-statistic 232.8725    Durbin-Watson stat 0.872786
Prob(F-statistic) 0.000000

3. Metode Random effect

Dependent Variable: PRICE

Method: Panel EGLS (Cross-section random effects)
Date: 04/30/21 Time: 13:18
Sample: 2009 2015
Periods included: 7
Cross-sections included: 28
Total panel (balanced) observations: 196
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

C 6.404468 0.110654 57.87811 0.0000

BVEIT 0.000320 0.002855 0.112171 0.9108
EARN -0.001510 0.010931 -0.138134 0.8903
GW -0.231105 0.041139 -5.617628 0.0000
GWAM -0.091332 0.019785 -4.616275 0.0000

Effects Specification
 S.D.   Rho  

Cross-section random 0.557242 0.9272

Idiosyncratic random 0.156173 0.0728

Weighted Statistics

R-squared 0.202839    Mean dependent var 0.674371

Adjusted R-squared 0.186145    S.D. dependent var 0.184330
S.E. of regression 0.166291    Sum squared resid 5.281679
F-statistic 12.15010    Durbin-Watson stat 0.642051
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.382144    Mean dependent var 6.401903

Sum squared resid 111.2588    Durbin-Watson stat 0.023486

Uji Pemilihan Model:

1. Uji Chow

Redundant Fixed Effects Tests

Equation: REGRESI_FIXED_PERS1
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 88.618681 (27,164) 0.0000

Cross-section Chi-square 538.335154 27 0.0000

Karena Probabilitas pada F hitung kurang dari 0,05 (0,000 < 0,05) maka model yang
lebih baik adalah Fixed effect daripada Common effect.

2. Uji Hausman

Correlated Random Effects - Hausman Test

Equation: REGRESI_RANDOM_PERS1
Test cross-section random effects

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

Cross-section random 29.551206 4 0.0000

Karena Probabilitas Chi square hitung kurang dari 0,05 (0,00 < 0,05) maka model yang
lebih baik adalah Fixed effect daripada Random effect.
3. Uji Langrange Multiplier

Lagrange multiplier (LM) test for panel data

Date: 04/30/21 Time: 13:04
Sample: 2009 2015
Total panel observations: 196
Probability in ()

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

Alternative One-sided One-sided

Breusch-Pagan  397.6770  1.970367  399.6474

(0.0000) (0.1604) (0.0000)
Honda  19.94184 -1.403698  13.10845
(0.0000) (0.9198) (0.0000)
King-Wu  19.94184 -1.403698  7.233537
(0.0000) (0.9198) (0.0000)
GHM -- --  397.6770
-- -- (0.0000)

Karena nilai LM kurang dari 0,05 (0,000 < 0,05), maka model yang lebih baik adalah
Random effect daripada Common effect.

Jadi model regresi yang digunakan dalam penelitian ini adalah model Fixed effect.

UJI ASUMSI KLASIK

1. Uji Normalitas
70
Series: Standardized Residuals
60 Sample 2009 2015
Observations 196
50
Mean 4.53e-18
Median -0.000344
40
Maximum 1.024232
Minimum -0.555847
30
Std. Dev. 0.143222
Skewness 1.255552
20
Kurtosis 18.88561

10 Jarque-Bera 2112.377
Probability 0.000000
0
-0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0
2. Uji Multikolinearitas

Variance Inflation Factors

Date: 04/30/21 Time: 13:29
Sample: 1 196
Included observations: 196

Coefficient Uncentered Centered

Variable Variance VIF VIF

C  0.004417  2.651724  NA

BVEIT  6.63E-05  4.128720  2.899440
EARN  0.000354  3.293383  2.997801
GW  0.002996  1.472131  1.107854
GWAM  0.000532  1.567986  1.173855

3. Uji Heteroskedastisitas

Heteroskedasticity Test: White

F-statistic 0.399906    Prob. F(4,191) 0.8086

Obs*R-squared 1.627866    Prob. Chi-Square(4) 0.8038
Scaled explained SS 4.032606    Prob. Chi-Square(4) 0.4016

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/30/21 Time: 13:31
Sample: 1 196
Included observations: 196

Variable Coefficient Std. Error t-Statistic Prob.  

C 0.345424 0.061718 5.596815 0.0000

BVEIT^2 -7.68E-05 0.000179 -0.429420 0.6681
EARN^2 -0.000200 0.001033 -0.193991 0.8464
GW^2 -0.014280 0.016562 -0.862189 0.3897
GWAM^2 -0.000919 0.005404 -0.170060 0.8651

R-squared 0.008305    Mean dependent var 0.318153

Adjusted R-squared -0.012463    S.D. dependent var 0.728564
S.E. of regression 0.733090    Akaike info criterion 2.242083
Sum squared resid 102.6475    Schwarz criterion 2.325709
Log likelihood -214.7242    Hannan-Quinn criter. 2.275939
F-statistic 0.399906    Durbin-Watson stat 0.367942
Prob(F-statistic) 0.808563

4.
5. Uji Autokorelasi

Dependent Variable: PRICE

Method: Panel Least Squares
Date: 04/30/21 Time: 13:18
Sample: 2009 2015
Periods included: 7
Cross-sections included: 28
Total panel (balanced) observations: 196

Variable Coefficient Std. Error t-Statistic Prob.  

C 6.429478 0.035086 183.2491 0.0000

BVEIT 0.000681 0.002868 0.237299 0.8127
EARN -0.005598 0.011438 -0.489368 0.6252
GW -0.192548 0.042963 -4.481722 0.0000
GWAM -0.055728 0.021041 -2.648528 0.0089

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.977787    Mean dependent var 6.401903

Adjusted R-squared 0.973588    S.D. dependent var 0.960962
S.E. of regression 0.156173    Akaike info criterion -0.727424
Sum squared resid 3.999956    Schwarz criterion -0.192221
Log likelihood 103.2875    Hannan-Quinn criter. -0.510748
F-statistic 232.8725    Durbin-Watson stat 0.872786
Prob(F-statistic) 0.000000

Persamaan 2

MODEL REGRESI LINIER

4. Metode Common effect:

Dependent Variable: PRICE

Method: Panel Least Squares
Date: 04/30/21 Time: 13:22
Sample: 2009 2015
Periods included: 7
Cross-sections included: 28
Total panel (balanced) observations: 196

Variable Coefficient Std. Error t-Statistic Prob.  

C 6.629257 0.078124 84.85610 0.0000

BVEIT -0.000987 0.011003 -0.089734 0.9286
 EARN 0.031536 0.025036 1.259640 0.2093
GW -0.634857 0.071746 -8.848623 0.0000
GWIMP 0.860111 0.247553 3.474450 0.0006

R-squared 0.350719    Mean dependent var 6.401903

Adjusted R-squared 0.337121    S.D. dependent var 0.960962
S.E. of regression 0.782390    Akaike info criterion 2.372252
Sum squared resid 116.9176    Schwarz criterion 2.455878
Log likelihood -227.4807    Hannan-Quinn criter. 2.406108
F-statistic 25.79287    Durbin-Watson stat 0.116270
Prob(F-statistic) 0.000000

5. Metode Fixed effect:

Dependent Variable: PRICE

Method: Panel Least Squares
Date: 04/30/21 Time: 13:24
Sample: 2009 2015
Periods included: 7
Cross-sections included: 28
Total panel (balanced) observations: 196

Variable Coefficient Std. Error t-Statistic Prob.  

C 6.479932 0.026427 245.1967 0.0000

BVEIT 0.001049 0.002791 0.375732 0.7076
EARN -0.003959 0.011150 -0.355045 0.7230
GW -0.192863 0.041871 -4.606075 0.0000
GWIMP 0.245201 0.061209 4.005978 0.0001

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.978901    Mean dependent var 6.401903

Adjusted R-squared 0.974913    S.D. dependent var 0.960962
S.E. of regression 0.152205    Akaike info criterion -0.778897
Sum squared resid 3.799275    Schwarz criterion -0.243694
Log likelihood 108.3319    Hannan-Quinn criter. -0.562221
F-statistic 245.4525    Durbin-Watson stat 1.141455
Prob(F-statistic) 0.000000

6. Metode Random effect

Dependent Variable: PRICE

Method: Panel EGLS (Cross-section random effects)
Date: 04/30/21 Time: 13:25
Sample: 2009 2015
Periods included: 7
Cross-sections included: 28
Total panel (balanced) observations: 196
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

C 6.486891 0.153900 42.14993 0.0000

BVEIT 0.000934 0.002786 0.335203 0.7378
EARN -0.001241 0.010908 -0.113801 0.9095
GW -0.214459 0.041010 -5.229421 0.0000
GWIMP 0.251510 0.061110 4.115704 0.0001

Effects Specification
S.D.   Rho  

Cross-section random 0.802589 0.9653

Idiosyncratic random 0.152205 0.0347

Weighted Statistics

R-squared 0.186155    Mean dependent var 0.457702

Adjusted R-squared 0.169112    S.D. dependent var 0.169099
S.E. of regression 0.154139    Sum squared resid 4.537925
F-statistic 10.92213    Durbin-Watson stat 0.895152
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.184512    Mean dependent var 6.401903

Sum squared resid 146.8469    Durbin-Watson stat 0.015323

Uji Pemilihan Model:

4. Uji Chow

Redundant Fixed Effects Tests

Equation: REGRESI_FIXED_PERS2
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 180.847429 (27,164) 0.0000

Cross-section Chi-square 671.625203 27 0.0000

Karena Probabilitas pada F hitung kurang dari 0,05 (0,000 < 0,05) maka model yang
lebih baik adalah Fixed effect daripada Common effect.
5. Uji Hausman

Correlated Random Effects - Hausman Test

Equation: REGRESI_RANDOM_PERS2
Test cross-section random effects

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

Cross-section random 8.884674 4 0.0640

Karena Probabilitas Chi square hitung lebih dari 0,05 (0,0640 > 0,05) maka model yang
lebih baik adalah random effect daripada random effect.

6. Uji Langrange Multiplier

Lagrange multiplier (LM) test for panel data

Date: 04/30/21 Time: 13:04
Sample: 2009 2015
Total panel observations: 196
Probability in ()

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

Alternative One-sided One-sided

Breusch-Pagan  488.9512  2.319838  491.2711

(0.0000) (0.1277) (0.0000)
Honda  22.11224 -1.523101  14.55872
(0.0000) (0.9361) (0.0000)
King-Wu  22.11224 -1.523101  8.050994
(0.0000) (0.9361) (0.0000)
GHM -- --  488.9512
-- -- (0.0000)

Karena nilai LM kurang dari 0,05 (0,000 < 0,05), maka model yang lebih baik adalah
Random effect daripada Common effect.

Jadi model regresi yang digunakan dalam penelitian ini adalah model random effect.

UJI ASUMSI KLASIK

6. Uji Normalitas
32
Series: Standardized Residuals
28 Sample 2009 2015
Observations 196
24
Mean -1.88e-15
20
Median -0.048940
Maximum 2.006810
16
Minimum -2.508310
12 Std. Dev. 0.867791
Skewness -0.242836
8 Kurtosis 2.846999

4 Jarque-Bera 2.117501
Probability 0.346889
0
-2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0

7. Uji Multikolinearitas

Variance Inflation Factors

Date: 04/30/21 Time: 13:32
Sample: 1 196
Included observations: 196

Coefficient Uncentered Centered

Variable Variance VIF VIF

C  0.006103  1.954218  NA

BVEIT  0.000121  4.021704  2.824287
EARN  0.000627  3.106340  2.827545
GW  0.005148  1.349232  1.015366
GWIMP  0.061283  1.031380  1.012478

8. Uji Heteroskedastisitas

Heteroskedasticity Test: White

F-statistic 0.468964    Prob. F(4,191) 0.7585

Obs*R-squared 1.906242    Prob. Chi-Square(4) 0.7530
Scaled explained SS 3.353326    Prob. Chi-Square(4) 0.5005

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/30/21 Time: 13:33
Sample: 1 196
Included observations: 196

Variable Coefficient Std. Error t-Statistic Prob.  

 C 0.625154 0.087906 7.111583 0.0000
BVEIT^2 -0.000166 0.000282 -0.586945 0.5579
EARN^2 -0.000506 0.001618 -0.312692 0.7549
GW^2 -0.002448 0.025957 -0.094300 0.9250
GWIMP^2 -0.030786 0.130966 -0.235072 0.8144

R-squared 0.009726    Mean dependent var 0.596518

Adjusted R-squared -0.011013    S.D. dependent var 1.151121
S.E. of regression 1.157443    Akaike info criterion 3.155482
Sum squared resid 255.8777    Schwarz criterion 3.239108
Log likelihood -304.2373    Hannan-Quinn criter. 3.189338
F-statistic 0.468964    Durbin-Watson stat 0.106585
Prob(F-statistic) 0.758471

8. Uji Autokorelasi
Dependent Variable: PRICE
Method: Panel EGLS (Cross-section random effects)
Date: 04/30/21 Time: 13:25
Sample: 2009 2015
Periods included: 7
Cross-sections included: 28
Total panel (balanced) observations: 196
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

C 6.486891 0.153900 42.14993 0.0000

BVEIT 0.000934 0.002786 0.335203 0.7378
EARN -0.001241 0.010908 -0.113801 0.9095
GW -0.214459 0.041010 -5.229421 0.0000
GWIMP 0.251510 0.061110 4.115704 0.0001

Effects Specification
S.D.   Rho  

Cross-section random 0.802589 0.9653

Idiosyncratic random 0.152205 0.0347

Weighted Statistics

R-squared 0.186155    Mean dependent var 0.457702

Adjusted R-squared 0.169112    S.D. dependent var 0.169099
S.E. of regression 0.154139    Sum squared resid 4.537925
F-statistic 10.92213    Durbin-Watson stat 0.895152
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.184512    Mean dependent var 6.401903

Sum squared resid 146.8469    Durbin-Watson stat 0.015323