ekonometrika 1 al muizzuddin f., se.,...
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EKONOMETRIKA 1
Al Muizzuddin F., SE., ME.
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DefinitionThe term autocorrelation may be defined ascorrelation between members of series of observationsordered in time (as in time series data) or space (as incross-sectional data). In the regression context, theclassical linear regression model assumes that suchautocorrelation does not exist in the disturbances .
Symbolically : Cov(ij) = 0
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There are several reason, why does serial correlation occur? Inertia
Specification bias: excluded variables case
Specification bias: incorrect functional form
Lags
Manipulation of data
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Consequences ofAutocorrelation The OLS estimators are unbiased
The variance , is underestimate
The variance OLS estimators are to be larger
The prediction based on the OLS estimators will be inefficient
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Detecting Autocorrelation Graphical Method
Durbin–Watson d Test
A General Test of Autocorrelation: The Breusch–Godfrey (BG) Test
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Uji Autokorelasi DW StatJika hipotesa H0 adalah bahwa tidak ada serial korelasipositif, maka jika:
d < dL = menolak H0
d > dU = tidak menolak H0
dL ≤ d ≤ dU = pengujian tidak meyakinkan
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Jika hipotesa nol ( H0 ) adalah bahwa tidak ada serialkorelasi negatif, maka jika:
d > 4 – dL = menolak H0
d < 4 – dU = tidak menolak H0
4 – dU ≤ d ≤ 4 – dL = pengujian tidak meyakinkan
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Jika H0 adalah dua ujung, yaitu bahwa tidak ada serialautokorelasi baik positif maupun negatif, maka jika:
d < dL = menolak H0
d > 4 – dL = tidak menolak H0
dL ≤ d ≤ dU = tidak meyakinkan, atau
4 – dU ≤ d ≤ 4 – dL = pengujian tidak meyakinkan
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Mekanisme pengujian DW test
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Kesimpulan Dw kurang dari 1,10 ada auto korelasi
1,10 sampai 1,54 tanpa kesimpulan
1,55 sampai 2,46 tidak ada korelasi
2,46 sampai 2,90 tanpa kesimpulan
Lebih dari 2,90 ada autokorelasi
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Uji Normalitas (Normality Test) Aliman (2000) menjelaskan bahwa dalam literatur
Statistika maupun Ekonometrika, ada beberapa ujiuntuk dapat mengetahui normal atau tidaknya faktorgangguan (ut) antara lain Jarque-Bera test atau J-Btest.
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Hipotesis pengujiannya : H0 : Mempunyai residual atau faktor pengganggu
berdistribusi normal H1 : Mempunyai residual atau faktor pengganggu yang
tidak berdistribusi normal Bandingkan nilai JBhitung = X2
hitung dengan nilai X2tabel,
dengan pedoman sebagai berikut : Jika nilai JBhitung > nilai X2
tabel, maka hipotesis yangmenyatakan bahwa residual, ut adalah berdistribusinormal ditolak.
Jika nilai JBhitung < nilai X2tabel, maka hipotesis yang
menyatakan bahwa residual, ut adalah berdistribusinormal diterima.
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SELESAI
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