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Ekonometrika

Ekonometrika. Program Studi Statistika , semester Ganjil 2011/2012. Contoh Aplikasi Ramsey RESET test. Data kuartal dari 1985 kuartal 1 s/d 1994 kuartal 2 LCONS: pengeluaran konsumsi untuk makanan pada ₤ juta , harga tetap tahun 1992

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Ekonometrika

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  1. Ekonometrika Program StudiStatistika, semester Ganjil 2011/2012 Dr. Rahma Fitriani, S.Si., M.Sc

  2. ContohAplikasi Ramsey RESET test • Data kuartaldari 1985 kuartal 1 s/d 1994 kuartal 2 • LCONS: pengeluarankonsumsiuntukmakananpada₤juta, hargatetaptahun 1992 • LDISP: pendapatan yang siapdibelanjakan (bersihdaripajak) ataudisposable incomedalam₤juta, hargatetaptahun 1992

  3. Ingindiujiapakah model yang sebenarnyamemangmemuatunsurpolinomial • Berdasarkan model awal: model linier

  4. Model 1: OLS, using observations 1985:1-1994:2 (T = 38) Dependent variable: LCONS coefficient std. error t-ratio p-value -------------------------------------------------------- const 2.71724 0.576652 4.712 3.61e-05 *** LDISP 0.414366 0.126279 3.281 0.0023 *** Mean dependent var 4.609274 S.D. dependent var 0.051415 Sum squared resid 0.075291 S.E. of regression 0.045732 R-squared 0.230230 Adjusted R-squared 0.208847 F(1, 36) 10.76719 P-value(F) 0.002301 Log-likelihood 64.33606 Akaike criterion -124.6721 Schwarz criterion -121.3969 Hannan-Quinn -123.5068 rho 0.777591 Durbin-Watson 0.412845 Log-likelihood for cons = -110.816 RESET test for specification (squares only) -

  5. Auxiliary regression for RESET specification test OLS, using observations 1985:1-1994:2 (T = 38) Dependent variable: LCONS coefficient std. error t-ratio p-value -------------------------------------------------------- const -204.013 44.3279 -4.602 5.30e-05 *** LDISP -204.401 43.9150 -4.654 4.53e-05 *** yhat^2 53.7484 11.5243 4.664 4.41e-05 *** Test statistic: F = 21.752127, with p-value = P(F(1,35) > 21.7521) = 4.41e-005 Cukupbuktiuntukmenolakhipotesisnol Cukupbuktibahwa model linier adalah model yang kurangtepat Akanlebihtepatmenggunakan model polinomial

  6. Denganmenggunakansukukuadratbagi Disposable Income Model 1: OLS, using observations 1985:1-1994:2 (T = 38) Dependent variable: LCONS coefficient std. error t-ratio p-value -------------------------------------------------------- const 192.832 40.7654 4.730 3.61e-05 *** LDISP -83.3672 17.9641 -4.641 4.72e-05 *** sq_LDISP 9.22854 1.97871 4.664 4.41e-05 *** Mean dependent var 4.609274 S.D. dependent var 0.051415 Sum squared resid 0.046433 S.E. of regression 0.036423 R-squared 0.525270 Adjusted R-squared 0.498142 F(2, 35) 19.36302 P-value(F) 2.18e-06 Log-likelihood 73.51961 Akaike criterion -141.0392 Schwarz criterion -136.1265 Hannan-Quinn -139.2913 rho 0.601532 Durbin-Watson 0.795597 Log-likelihood for cons = -101.633 R2 yang lebihtinggidari model sebelumnya

  7. Transformasi Box Cox • Inginmemodelkankonsumsisebagaifungsidaripendapatan (data deretwaktu) • Memilih model mana yang digunakan • Linier: Y = β1 + β2 X • Double log: ln Y = β1 + β2ln X • Konsumsidan income yang diketahuiadalahkonsumsi nominal dan income nominal • Keduanyadisesuaikanterhadapfaktorinflasimenggunakanrasioantara Consumer Price index Dasar (CPI Base) dan Consumer Price Index padatahuntersebut (CPIt)

  8. Lihatexcell • Manfaatkansifat:

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