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Diterbitkan olehToko Setia Telah diubah "9 tahun yang lalu
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KULIAH 12 1
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Nature of the problem: X’X matrix must not be singular why? Ada hubungan linier antar beberapa (atau semua) variabel bebas. Perfect: Not perfect: 2
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Metode pengumpulan data, sampel diambil dari populasi dgn lingkup terbatas Keterbatasan model/populasi, ex: Y= konsumsi listrik, X1 = pendapatan ruta, X2 = luas rumah Spesifikasi model, ex: menambahkan variabel polinomial pada data X yg terbatas Overdetermined model: #paramater > # obs Common trend, ex: income, poupulation, wealth growing over time at more or less the same rate 4
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Apa komentar Anda ? 7
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Estimasi parameter tidak stabil 9
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1. High R 2 but few significant t ratios. 2. High pair-wise correlations among regressors. (tapi kdg terjadi juga meski r ij rendah) 3. Examination of partial correlations. Misal: = 1 if r ij = 0.5 R 2 tinggi tapi partial-R 2 rendah 10
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4. Auxiliary regressions. to regress each X i on the remaining X variables and compute the corresponding R 2 (R 2 i ) F i sig X i collinearity with other X Rule of thumb: R 2 i > R 2 multicollinearity problem 11
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5. Eigenvalues and condition index. (SAS) -------10 ---CI----30--------- 6. Tolerance (TOL) and variance inflation factor (VIF). moderatestrong severe low 12
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r 23 = koef. korelasi antara X2 dan X3 r 23 ,, r 23 = 1 ? 13
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Kecepatan kenaikan var-covar variance inflation factor (VIF) 14
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VIF prob. multikolinierity Rule of thumb: VIF > 10 high multicollinearity 0 ≤ TOL j ≤ 1 15
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Do nothing ??! 1. Apriori information: berdasar teori or pengalaman sebelumnya didapat didapat dari hubungan 16
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2. Combining cross-sectional and time series data. Time series view: Price & income sgt berkorelasi multikolinieriti estimate regresi (time series) Dimana (regresi cross section) 17
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3. Dropping a variable(s) and specification bias. Ex: consumption = f (income, wealth) (cth sebelumnya) income & wealth berkorelasi hapus wealth dari model Tapi jika teori menyatakan bhw fungsi diatas berlaku, maka menghapus wealth dari model akan mengakibatkan bias spesifikasi. True model: Estimated by: b 32 = koef regresi b 3 atas b 2 Jika > 0 b12 over estimate dari β 2 (bias +) Jika < 0 b12 under estimate dari β 2 (bias -) 18
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4. Transformasi variabel First differencing Ratio transformation Y = konsumsi, X2 = PDB, X3 = Jml Pddk PDB & Jml Pddk “grow over time” berkorelasi Regresi per kapita penduduk: Be careful of new problem: serially correlated error, heteroscedasticity, 19
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5. Menambah jumlah data (observasi) n = 10 n = 40 6. Reducing collinearity in polynomial regressions. Transform variables in deviation form. 7. Other methods of remedying multicollinearity, ex: factor analysis, ridge regression, principal component regression 20
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