Ekonometrika 2

Program S1 Ilmu Ekonomi FEUI

Maret 2012

Lab ke-5
Analisis Data Panel
SOAL A
Gunakan data CRIME4.dta
. using http://fmwww.bc.edu/ec-p/data/wooldridge/CRIME4.dta
. *lakukan set time
menggunakan panel data
. xtset county year
panel variable:
time variable:
delta:

(i)

dan

id

terlebih

dahulu

sebelum

melakukan

estimasi

county (strongly balanced)

year, 81 to 87
1 unit

Lakukan estimasi dengan metode first difference untuk persamaan berikut ini:
log(crmrte)i= a0 +a1d83+ a2d84+ a3d85+ a4d86+ a5d87+b1log(prbarr) i+
b2log(prbconv) i + b3log(prbpris) i + b4log(avgsen) i + b5log(polpc)i +ui (1)

. reg clcrmrte
clpolpc

d83 d84 d85 d86 d87

clprbarr clprbcon clprbpri clavgsen

Source |
SS
df
MS
-------------+-----------------------------Model | 9.60042816
10 .960042816
Residual | 12.5963761
529 .023811675
-------------+-----------------------------Total | 22.1968043
539 .041181455

Number of obs
F( 10,
529)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

540
40.32
0.0000
0.4325
0.4218
.15431

-----------------------------------------------------------------------------clcrmrte |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------d83 | -.0998658
.0238953
-4.18
0.000
-.1468071
-.0529246
d84 | -.0479374
.0235021
-2.04
0.042
-.0941063
-.0017686
d85 | -.0046111
.0234998
-0.20
0.845
-.0507756
.0415533
d86 |
.0275143
.0241494
1.14
0.255
-.0199261
.0749548
d87 |
.0408267
.0244153
1.67
0.095
-.0071361
.0887895
clprbarr | -.3274942
.0299801
-10.92
0.000
-.3863889
-.2685994
clprbcon | -.2381066
.0182341
-13.06
0.000
-.2739268
-.2022864
clprbpri | -.1650462
.025969
-6.36
0.000
-.2160613
-.1140312
clavgsen | -.0217607
.0220909
-0.99
0.325
-.0651574
.0216361
clpolpc |
.3984264
.026882
14.82
0.000
.3456177
.4512351
_cons |
.0077134
.0170579
0.45
0.651
-.0257962
.0412229
------------------------------------------------------------------------------

(ii)

Lakukan pengujian untuk homoskedastik. Jika dalam pengujuan terdektesi adanya

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masalah heteroskedastik lakukan koreksi untuk memperoleh standar error yang

robust.
. hettest
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of clcrmrte
chi2(1)
Prob > chi2

(iii)

=
=

1.16
0.2807

Ciptakan variabel baru yang merupakan first difference dari log semua data upah
yang terdapat di data dan estimasi ulang persamaan (1) dengan mengikutsertakan
variabel upah di persamaan tsb.

Membuat variabel baru yang merupakan first difference

. gen dlwcon = d.lwcon
(90 missing values generated)
. gen dlwtuc = d.lwtuc
(90 missing values generated)
. gen dlwtrd = d.lwtrd
(90 missing values generated)
. gen dlwfir = d.lwfir
(90 missing values generated)
. gen dlwser = d.lwser
(90 missing values generated)
. gen dlwmfg = d.lwmfg
(90 missing values generated)
. gen dlwfed = d.lwfed
(90 missing values generated)
. gen dlwsta = d.lwsta
(90 missing values generated)
. gen dlwloc = d.lwloc
(90 missing values generated)

. reg clcrmrte
d83 d84 d85 d86 d87
clprbarr clprbcon clprbpri clavgsen
clpolpc dlwcon dlwtuc dlwtrd dlwfir dlwser dlwmfg dlwfed dlwsta dlwloc
Source |
SS
df
MS
-------------+-----------------------------Model |
9.8674225
19 .519338026
Residual | 12.3293818
520
.02371035
-------------+-----------------------------Total | 22.1968043
539 .041181455

Number of obs
F( 19,
520)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

540
21.90
0.0000
0.4445
0.4242
.15398

-----------------------------------------------------------------------------clcrmrte |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------d83 | -.1108653
.0268105
-4.14
0.000
-.1635354
-.0581951
d84 | -.0374103
.024533
-1.52
0.128
-.0856063
.0107856
d85 | -.0005857
.024078
-0.02
0.981
-.0478877
.0467164

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d86 |
.0314757
.0245099
1.28
0.200
-.0166748
.0796262
d87 |
.0388632
.0247819
1.57
0.117
-.0098218
.0875482
clprbarr | -.3230993
.0300195
-10.76
0.000
-.3820737
-.2641248
clprbcon | -.2402885
.0182474
-13.17
0.000
-.2761362
-.2044407
clprbpri | -.1693859
.02617
-6.47
0.000
-.2207978
-.117974
clavgsen | -.0156166
.0224126
-0.70
0.486
-.0596469
.0284137
clpolpc |
.3977221
.026987
14.74
0.000
.3447051
.450739
dlwcon | -.0442367
.0304142
-1.45
0.146
-.1039864
.015513
dlwtuc |
.0253998
.0142093
1.79
0.074
-.0025149
.0533145
dlwtrd | -.0290309
.0307907
-0.94
0.346
-.0895204
.0314586
dlwfir |
.009122
.0212318
0.43
0.668
-.0325886
.0508326
dlwser |
.0219548
.0144342
1.52
0.129
-.0064016
.0503113
dlwmfg | -.1402493
.1019317
-1.38
0.169
-.3404978
.0599992
dlwfed |
.0174231
.1716064
0.10
0.919
-.3197038
.3545501
dlwsta | -.0517896
.0957109
-0.54
0.589
-.2398171
.1362379
dlwloc | -.0305151
.1021028
-0.30
0.765
-.2310998
.1700695
_cons |
.0198522
.0206974
0.96
0.338
-.0208086
.060513
------------------------------------------------------------------------------

Tanpa membuat variabel first difference

reg clcrmrte d83 d84 d85 d86 d87 clprbarr clprbcon clprbpri clavgsen clpolpc
D.lwcon D.lwtuc D.lwtrd D.lwfir D .lwser D.lwmfg D.lwfed D.lwsta D.lwloc
Source |
SS
df
MS
-------------+-----------------------------Model |
9.8674225
19 .519338026
Residual | 12.3293818
520
.02371035
-------------+-----------------------------Total | 22.1968043
539 .041181455

Number of obs
F( 19,
520)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

540
21.90
0.0000
0.4445
0.4242
.15398

-----------------------------------------------------------------------------clcrmrte |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------d83 | -.1108653
.0268105
-4.14
0.000
-.1635354
-.0581951
d84 | -.0374103
.024533
-1.52
0.128
-.0856063
.0107856
d85 | -.0005857
.024078
-0.02
0.981
-.0478877
.0467164
d86 |
.0314757
.0245099
1.28
0.200
-.0166748
.0796262
d87 |
.0388632
.0247819
1.57
0.117
-.0098218
.0875482
clprbarr | -.3230993
.0300195
-10.76
0.000
-.3820737
-.2641248
clprbcon | -.2402885
.0182474
-13.17
0.000
-.2761362
-.2044407
clprbpri | -.1693859
.02617
-6.47
0.000
-.2207978
-.117974
clavgsen | -.0156166
.0224126
-0.70
0.486
-.0596469
.0284137
clpolpc |
.3977221
.026987
14.74
0.000
.3447051
.450739
|
lwcon |
D1. | -.0442367
.0304142
-1.45
0.146
-.1039864
.015513
|
lwtuc |
D1. |
.0253998
.0142093
1.79
0.074
-.0025149
.0533145
|
lwtrd |
D1. | -.0290309
.0307907
-0.94
0.346
-.0895204
.0314586
|
lwfir |
D1. |
.009122
.0212318
0.43
0.668
-.0325886
.0508326
|
lwser |
D1. |
.0219548
.0144342
1.52
0.129
-.0064016
.0503113
|
lwmfg |
D1. | -.1402493
.1019317
-1.38
0.169
-.3404978
.0599992

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|
lwfed |
D1. |
.0174231
.1716064
0.10
0.919
-.3197038
.3545501
|
lwsta |
D1. | -.0517896
.0957109
-0.54
0.589
-.2398171
.1362379
|
lwloc |
D1. | -.0305151
.1021028
-0.30
0.765
-.2310998
.1700695
|
_cons |
.0198522
.0206974
0.96
0.338
-.0208086
.060513
------------------------------------------------------------------------------

(iv)

Bandingkan koefisien dari variabel-variabel di persamaan (1) dari dua hasil

regresi tersebut. Adakah perbedaan yang cukup signifikan?

. quietly reg clcrmrte

clavgsen clpolpc

d83

d84

d85

d86

d87

clprbarr

clprbcon

clprbpri

. estimates store clcrmrte

. quietly reg clcrmrte
d83 d84 d85 d86 d87
clprbarr clprbcon clprbpri
clavgsen clpolpc dlwcon dlwtuc dlwtrd dlwfir dlwser dlwmfg dlwfed dlwsta dlwloc
. estimates store clcrmrte2
. estimates table clcrmrte clcrmrte2, stat(N r2 r2_a aic bic) star(0.1 0.05
0.01)
---------------------------------------------Variable |
clcrmrte
clcrmrte2
-------------+-------------------------------d83 | -.09986581***
-.11086526***
d84 | -.04793744**
-.03741034
d85 | -.00461113
-.00058565
d86 | .02751434
.0314757
d87 |
.0408267*
.03886318
clprbarr | -.32749418***
-.32309927***
clprbcon | -.2381066***
-.24028845***
clprbpri | -.16504624***
-.16938589***
clavgsen | -.02176066
-.01561662
clpolpc |
.3984264***
.39772208***
dlwcon |
-.0442367
dlwtuc |
.02539978*
dlwtrd |
-.02903092
dlwfir |
.00912198
dlwser |
.02195485
dlwmfg |
-.14024932
dlwfed |
.01742314
dlwsta |
-.05178962
dlwloc |
-.03051514
_cons | .00771336
.01985222
-------------+-------------------------------N |
540
540
r2 | .43251398
.44454248
r2_a | .42178646
.42424692
aic | -474.95277
-468.52173
bic | -427.74551
-382.69034
---------------------------------------------legend: * p<.1; ** p<.05; *** p<.01

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(v)

Apakah koefisien dari semua variabel upah menunjukkan konsistensi arah dan
sesuai dengan hipotesa bahwa jika pendapatan naik maka tingkat kriminalitas
akan turun?
. estimates table clcrmrte clcrmrte2, stat(N r2 r2_a aic bic) star(0.1
0.05 0.01)
---------------------------------------------Variable |
clcrmrte
clcrmrte2
-------------+-------------------------------d83 | -.09986581***
-.11086526***
d84 | -.04793744**
-.03741034
d85 | -.00461113
-.00058565
d86 | .02751434
.0314757
d87 |
.0408267*
.03886318
clprbarr | -.32749418***
-.32309927***
clprbcon | -.2381066***
-.24028845***
clprbpri | -.16504624***
-.16938589***
clavgsen | -.02176066
-.01561662
clpolpc |
.3984264***
.39772208***
dlwcon |
-.0442367
dlwtuc |
.02539978*
dlwtrd |
-.02903092
dlwfir |
.00912198
dlwser |
.02195485
dlwmfg |
-.14024932
dlwfed |
.01742314
dlwsta |
-.05178962
dlwloc |
-.03051514
_cons | .00771336
.01985222
-------------+-------------------------------N |
540
540
r2 | .43251398
.44454248
r2_a | .42178646
.42424692
aic | -474.95277
-468.52173
bic | -427.74551
-382.69034
---------------------------------------------legend: * p<.1; ** p<.05; *** p<.01

(vi)

Estimasi ulang persamaan (1) dengan metode Fixed Effect dan bandingkan hasil
regresi dari kedua metode tersebut, apakah terjadi perubahan tingkat signifikansi
dan/atau arah dari koefisien?

. xtreg clcrmrte
clpolpc, fe

d83 d84 d85 d86 d87

clprbarr clprbcon clprbpri clavgsen

Fixed-effects (within) regression

Group variable: county

Number of obs
Number of groups

=
=

540
90

R-sq:

Obs per group: min =

avg =
max =

6
6.0
6

within = 0.4476
between = 0.1247
overall = 0.4324

corr(u_i, Xb)

= -0.0614

F(10,440)
Prob > F

=
=

35.65
0.0000

-----------------------------------------------------------------------------clcrmrte |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------d83 | -.1004876
.0254125
-3.95
0.000
-.1504327
-.0505426

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d84 | -.0483243
.0249774
-1.93
0.054
-.0974141
.0007654
d85 | -.0046755
.0249772
-0.19
0.852
-.053765
.0444139
d86 |
.0278299
.0256981
1.08
0.279
-.0226763
.0783361
d87 |
.0405086
.0259853
1.56
0.120
-.0105621
.0915793
clprbarr | -.3298869
.0329905
-10.00
0.000
-.3947253
-.2650484
clprbcon | -.2401652
.0199024
-12.07
0.000
-.2792809
-.2010496
clprbpri | -.1638598
.0280913
-5.83
0.000
-.2190696
-.10865
clavgsen | -.0233595
.0238217
-0.98
0.327
-.0701779
.0234589
clpolpc |
.4107709
.0293047
14.02
0.000
.3531763
.4683656
_cons |
.0077115
.0181441
0.43
0.671
-.0279484
.0433715
-------------+---------------------------------------------------------------sigma_u |
.0383454
sigma_e |
.1638796
rho | .05190719
(fraction of variance due to u_i)
-----------------------------------------------------------------------------F test that all u_i=0:
F(89, 440) =
0.33
Prob > F = 1.0000
. estimates store clcrmrtefe
. estimates table clcrmrte clcrmrtefe, stat(N r2 r2_a aic bic) star(0.1 0.05
0.01)
---------------------------------------------Variable |
clcrmrte
clcrmrtefe
-------------+-------------------------------d83 | -.09986581***
-.10048764***
d84 | -.04793744**
-.04832434*
d85 | -.00461113
-.00467555
d86 | .02751434
.02782985
d87 |
.0408267*
.04050861
clprbarr | -.32749418***
-.32988686***
clprbcon | -.2381066***
-.24016521***
clprbpri | -.16504624***
-.16385977***
clavgsen | -.02176066
-.02335952
clpolpc |
.3984264***
.41077093***
_cons | .00771336
.00771153
-------------+-------------------------------N |
540
540
r2 | .43251398
.44761434
r2_a | .42178646
.32332757
aic | -474.95277
-509.44849
bic | -427.74551
-462.24122
---------------------------------------------legend: * p<.1; ** p<.05; *** p<.01

(vii)

Estimasi ulang juga persamaan yang digunakan di (iii) metode Fixed Effect.
Bandingkan koefisien dari variabel-variabel di (vi). Dengan hasil regresi ini,
adakah perbedaan yang cukup signifikan?

. xtreg clcrmrte
d83 d84 d85 d86 d87
clprbarr clprbcon clprbpri clavgsen
clpolpc dlwcon dlwtuc dlwtrd dlwfir dlwser dlwmfg dlwfed dlwsta dlwloc, fe
Fixed-effects (within) regression
Group variable: county

Number of obs
Number of groups

=
=

540
90

R-sq:

Obs per group: min =

avg =
max =

6
6.0
6

within = 0.4598
between = 0.1218
overall = 0.4441

corr(u_i, Xb)

= -0.0597

F(19,431)
Prob > F

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=
=

19.31
0.0000

-----------------------------------------------------------------------------clcrmrte |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------d83 | -.1141352
.0286252
-3.99
0.000
-.1703976
-.0578728
d84 | -.0389382
.0261141
-1.49
0.137
-.0902651
.0123886
d85 | -.0022409
.0256621
-0.09
0.930
-.0526794
.0481976
d86 |
.0329354
.0261288
1.26
0.208
-.0184203
.0842911
d87 |
.038194
.0264144
1.45
0.149
-.0137231
.0901111
clprbarr | -.3250768
.0330891
-9.82
0.000
-.3901128
-.2600407
clprbcon | -.2425981
.0199446
-12.16
0.000
-.2817989
-.2033974
clprbpri | -.1692397
.0283532
-5.97
0.000
-.2249673
-.113512
clavgsen | -.0157704
.024231
-0.65
0.515
-.063396
.0318551
clpolpc |
.4091099
.0294783
13.88
0.000
.3511708
.4670491
dlwcon | -.0457939
.0324344
-1.41
0.159
-.1095433
.0179554
dlwtuc |
.0247632
.0151293
1.64
0.102
-.0049732
.0544996
dlwtrd | -.0291125
.0327938
-0.89
0.375
-.093568
.0353431
dlwfir |
.0093063
.0226263
0.41
0.681
-.0351653
.0537779
dlwser |
.0207563
.0154202
1.35
0.179
-.0095519
.0510645
dlwmfg | -.1318735
.1105524
-1.19
0.234
-.3491623
.0854153
dlwfed |
.1092502
.1907329
0.57
0.567
-.2656321
.4841326
dlwsta | -.0595998
.1028897
-0.58
0.563
-.2618279
.1426282
dlwloc | -.0462415
.1098618
-0.42
0.674
-.2621731
.1696902
_cons |
.0187045
.0221608
0.84
0.399
-.0248523
.0622613
-------------+---------------------------------------------------------------sigma_u | .03838552
sigma_e | .16373945
rho | .05209467
(fraction of variance due to u_i)
-----------------------------------------------------------------------------F test that all u_i=0:
F(89, 431) =
0.32
Prob > F = 1.0000
. estimates store clcrmrte2fe
. estimates table clcrmrte2 clcrmrte2fe, stat(N r2 r2_a aic bic) star(0.1 0.05
0.01)
---------------------------------------------Variable |
clcrmrte2
clcrmrte2fe
-------------+-------------------------------d83 | -.11086526***
-.11413519***
d84 | -.03741034
-.03893822
d85 | -.00058565
-.00224089
d86 |
.0314757
.0329354
d87 | .03886318
.03819399
clprbarr | -.32309927***
-.32507678***
clprbcon | -.24028845***
-.24259815***
clprbpri | -.16938589***
-.16923966***
clavgsen | -.01561662
-.01577044
clpolpc | .39772208***
.40910995***
dlwcon | -.0442367
-.04579393
dlwtuc | .02539978*
.02476324
dlwtrd | -.02903092
-.02911246
dlwfir | .00912198
.0093063
dlwser | .02195485
.02075629
dlwmfg | -.14024932
-.13187353
dlwfed | .01742314
.10925023
dlwsta | -.05178962
-.05959983
dlwloc | -.03051514
-.04624147
_cons | .01985222
.01870452
-------------+-------------------------------N |
540
540
r2 | .44454248
.45983823
r2_a | .42424692
.32448447

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aic | -468.52173
-503.53249
bic | -382.69034
-417.70111
---------------------------------------------legend: * p<.1; ** p<.05; *** p<.01

(viii) Apakah koefisien dari semua variabel upah menunjukkan konsistensi arah dan
sesuai dengan hipotesa bahwa jika pendapatan naik maka tingkat kriminalitas
akan turun?
. estimates table clcrmrte clcrmrte2
aic bic) star(0.1 0.05 0.01)

clcrmrtefe clcrmrte2fe, stat(N r2 r2_a

-----------------------------------------------------------------------------Variable |
clcrmrte
clcrmrte2
clcrmrtefe
clcrmrte2fe
-------------+---------------------------------------------------------------d83 | -.09986581***
-.11086526***
-.10048764***
-.11413519***
d84 | -.04793744**
-.03741034
-.04832434*
-.03893822
d85 | -.00461113
-.00058565
-.00467555
-.00224089
d86 | .02751434
.0314757
.02782985
.0329354
d87 |
.0408267*
.03886318
.04050861
.03819399
clprbarr | -.32749418***
-.32309927***
-.32988686***
-.32507678***
clprbcon | -.2381066***
-.24028845***
-.24016521***
-.24259815***
clprbpri | -.16504624***
-.16938589***
-.16385977***
-.16923966***
clavgsen | -.02176066
-.01561662
-.02335952
-.01577044
clpolpc |
.3984264***
.39772208***
.41077093***
.40910995***
dlwcon |
-.0442367
-.04579393
dlwtuc |
.02539978*
.02476324
dlwtrd |
-.02903092
-.02911246
dlwfir |
.00912198
.0093063
dlwser |
.02195485
.02075629
dlwmfg |
-.14024932
-.13187353
dlwfed |
.01742314
.10925023
dlwsta |
-.05178962
-.05959983
dlwloc |
-.03051514
-.04624147
_cons | .00771336
.01985222
.00771153
.01870452
-------------+---------------------------------------------------------------N |
540
540
540
540
r2 | .43251398
.44454248
.44761434
.45983823
r2_a | .42178646
.42424692
.32332757
.32448447
aic | -474.95277
-468.52173
-509.44849
-503.53249
bic | -427.74551
-382.69034
-462.24122
-417.70111
-----------------------------------------------------------------------------legend: * p<.1; ** p<.05; *** p<.01

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SOAL B
Gunakan data AIRFARE.dta
. using http://fmwww.bc.edu/ec-p/data/wooldridge/AIRFARE.dta
. *lakukan set time
menggunakan panel data
. xtset id year
panel variable:
time variable:
delta:

(i)

dan

id

terlebih

dahulu

sebelum

melakukan

estimasi

id (strongly balanced)
year, 1997 to 2000
1 unit

Lakukan estimasi dengan metode Pooled OLS untuk persamaan berikut ini:
(perhatikan bahwa c bervariasi antar waktu)
log(fare)it= ct +ai +b1concen it + b2log(dist)it + b2(log(dist))2it +uit..(2)

. reg

lfare concen ldist ldistsq

Source |
SS
df
MS
-------------+-----------------------------Model | 349.089591
3 116.363197
Residual | 526.004782 4592
.11454808
-------------+-----------------------------Total | 875.094374 4595 .190444913

Number of obs
F( 3, 4592)
Prob > F
R-squared
Adj R-squared
Root MSE

=
4596
= 1015.85
= 0.0000
= 0.3989
= 0.3985
= .33845

-----------------------------------------------------------------------------lfare |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------concen |
.3526892
.0302101
11.67
0.000
.2934628
.4119157
ldist |
-.899166
.1290132
-6.97
0.000
-1.152094
-.6462382
ldistsq |
.1027463
.0097816
10.50
0.000
.0835697
.1219228
_cons |
6.249577
.4229656
14.78
0.000
5.420361
7.078793
-----------------------------------------------------------------------------. estimates store

(ii)

lfare_fe

Lakukan estimasi dengan metode fixed effect untuk persamaan (2)

. xtreg lfare concen ldist ldistsq, fe

note: ldist omitted because of collinearity
note: ldistsq omitted because of collinearity
Fixed-effects (within) regression
Group variable: id

Number of obs
Number of groups

=
=

4596
1149

R-sq:

Obs per group: min =

avg =
max =

4
4.0
4

within = 0.0031
between = 0.0576
overall = 0.0490

corr(u_i, Xb)

= -0.2716

F(1,3446)
Prob > F

=
=

10.88
0.0010

-----------------------------------------------------------------------------lfare |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+----------------------------------------------------------------

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concen |
.1030511
.0312422
3.30
0.001
.041796
.1643062
ldist | (omitted)
ldistsq | (omitted)
_cons |
5.032728
.0191358
263.00
0.000
4.995209
5.070246
-------------+---------------------------------------------------------------sigma_u | .43021592
sigma_e | .11430784
rho |
.9340593
(fraction of variance due to u_i)
-----------------------------------------------------------------------------F test that all u_i=0:
F(1148, 3446) =
32.07
Prob > F = 0.0000

. reg

Omited terjadi karena ldist dan ldistsq bersifat time-invariant

Seperti yang diketahui FE sama dengan LSDV (Least Squares Dummy

Variable). Karena individunya ada 90, tidak memungkinkan membuat dummy
individu di STATA IC. Kita menggunakan dummy tahun saja, sesuai dengan
arahan pertama juga. Dengan menggunakannya dummy tahun berarti yang
kita dapatkan perbedaan karekteristik tiap tahun bukan tiap individu (LSDV).

lfare concen ldist ldistsq i.year

Source |
SS
df
MS
-------------+-----------------------------Model | 355.453858
6 59.2423096
Residual | 519.640516 4589 .113236112
-------------+-----------------------------Total | 875.094374 4595 .190444913

Number of obs
F( 6, 4589)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

4596
523.18
0.0000
0.4062
0.4054
.33651

-----------------------------------------------------------------------------lfare |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------concen |
.3601203
.0300691
11.98
0.000
.3011705
.4190702
ldist | -.9016004
.128273
-7.03
0.000
-1.153077
-.6501235
ldistsq |
.1030196
.0097255
10.59
0.000
.0839529
.1220863
|
year |
1998 |
.0211244
.0140419
1.50
0.133
-.0064046
.0486533
1999 |
.0378496
.0140413
2.70
0.007
.010322
.0653772
2000 |
.09987
.0140432
7.11
0.000
.0723385
.1274015
|
_cons |
6.209258
.4206247
14.76
0.000
5.384631
7.033884
-----------------------------------------------------------------------------. estimates store

(iii)

lfare_fe

Bandingkan hasil regresi di (i) dan (ii) dan berikan analisis anda
. estimates table lfare_pls lfare_fe, stat(N r2 r2_a aic bic) star(0.1
0.05 0.01)
---------------------------------------------Variable |
lfare_pls
lfare_fe
-------------+-------------------------------concen | .35268924***
.36012033***
ldist |
-.899166***
-.90160039***
ldistsq | .10274626***
.10301961***
|

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10

year
1998
1999
2000

|
|
.02112437
|
.03784958***
|
.09986997***
|
_cons | 6.2495773***
6.2092576***
-------------+-------------------------------N |
4596
4596
r2 | .39891651
.40618917
r2_a | .39852381
.40541278
aic | 3088.4494
3038.5021
bic | 3114.1812
3083.5326
---------------------------------------------legend: * p<.1; ** p<.05; *** p<.01

(iv)

Lakukan estimasi dengan metode Random Effect untuk persamaan (2)

. xtreg

lfare concen ldist ldistsq, re

Random-effects GLS regression

Group variable: id

Number of obs
Number of groups

=
=

4596
1149

R-sq:

Obs per group: min =

avg =
max =

4
4.0
4

within = 0.0031
between = 0.4150
overall = 0.3937

Random effects u_i ~ Gaussian

corr(u_i, X)
= 0 (assumed)

Wald chi2(3)
Prob > chi2

=
=

826.06
0.0000

-----------------------------------------------------------------------------lfare |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------concen |
.1608968
.0278684
5.77
0.000
.1062758
.2155178
ldist | -.8363359
.2466771
-3.39
0.001
-1.319814
-.3528577
ldistsq |
.0956912
.0186519
5.13
0.000
.0591341
.1322482
_cons |
6.265289
.8105466
7.73
0.000
4.676647
7.853931
-------------+---------------------------------------------------------------sigma_u | .31866384
sigma_e | .11430784
rho | .88599643
(fraction of variance due to u_i)
-----------------------------------------------------------------------------. estimates store

(v)

lfare_re

Bandingkan hasil regresi di (ii) dan (iv) dan berikan analisis anda
. estimates table lfare_fe lfare_re, stat(N r2 r2_a aic bic) star(0.1
0.05 0.01)
---------------------------------------------Variable |
lfare_fe
lfare_re
-------------+-------------------------------concen | .36012033***
.16089678***
ldist | -.90160039***
-.83633589***
ldistsq | .10301961***
.09569116***
|
year |
1998 | .02112437
1999 | .03784958***
2000 | .09986997***

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11

|
_cons | 6.2092576***
6.2652891***
-------------+-------------------------------N |
4596
4596
r2 | .40618917
r2_a | .40541278
aic | 3038.5021
.
bic | 3083.5326
.
---------------------------------------------legend: * p<.1; ** p<.05; *** p<.01

Ingat: Panel FE (LSDV) yang kita dapatkan adalah perbedaan karekteristik tiap
tahun bukan tiap individu, karena yang kita masukan karekteristik tiap tahunnya
yaitu dengan dummy tahun. Sedangkan Panel RE yang kita buat sudah
memasukan karekteristik tiap individu dan tahun.
(vi)

Lakukan prosedur pengujian untuk menentukan metode estimasi mana yang

paling sesuai dengan persamaan (2).

Hasil ketiga estimasi jika dibandingkan

. estimates table lfare_pls lfare_fe lfare_re, stat(N r2 r2_a aic bic) star(0.1
0.05 0.01)
-------------------------------------------------------------Variable |
lfare_pls
lfare_fe
lfare_re
-------------+-----------------------------------------------concen | .35268924***
.36012033***
.16089678***
ldist |
-.899166***
-.90160039***
-.83633589***
ldistsq | .10274626***
.10301961***
.09569116***
|
year |
1998 |
.02112437
1999 |
.03784958***
2000 |
.09986997***
|
_cons | 6.2495773***
6.2092576***
6.2652891***
-------------+-----------------------------------------------N |
4596
4596
4596
r2 | .39891651
.40618917
r2_a | .39852381
.40541278
aic | 3088.4494
3038.5021
.
bic | 3114.1812
3083.5326
.
-------------------------------------------------------------legend: * p<.1; ** p<.05; *** p<.01

Karena Panel FE (LSDV) yang kita dapatkan adalah perbedaan karekteristik

tiap tahun bukan tiap individu, karena yang kita masukan karekteristik tiap
tahunnya yaitu dengan dummy tahun. Sedangkan Panel RE yang kita buat
sudah memasukan karekteristik tiap individu dan tahun. Maka dalam kasus
ini, jika kita ingin melihat karekteristik individu maka kita tidak bisa Panel FE
(LSDV) yang kita buat. Test antara FE dengan RE menggunakan Hausman
tidak perlu langsung saja test antara RE dengan PLS menggunakan LM Test.
Namun, jika kita ingin memasukan karekteristik tiap tahunnya saja maka
cukup kita menggunakan estimasi Panel FE (LSDV).

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12

PLS Vs RE

. quietly xtreg
. xttest0

lfare concen ldist ldistsq, re

Breusch and Pagan Lagrangian multiplier test for random effects

lfare[id,t] = Xb + u[id] + e[id,t]
Estimated results:
|
Var
sd = sqrt(Var)
---------+----------------------------lfare |
.1904449
.4363999
e |
.0130663
.1143078
u |
.1015466
.3186638
Test:

Var(u) = 0
chi2(1) =
Prob > chi2 =

5384.32
0.0000

Kesimpulan, menggunakan Panel RE

Secara global pengujian antara PLS, FE, dan RE dapat digambarkan seperti
berikut:

PLS
Chow Test

LM Test

H0 : PLS
H1 : FE

H0 : PLS
H1 : RE

FE

RE
Hausman Test
H0 : RE
H1 : FE

(vii)

Berdasarkan hasil pengujian tersebut berikan interpretasi anda terhadap

parameter-parameter yang diestimasi

. xtreg

Hasil estimasi dengan karekteristik tiap individu dan tahun. Sesuai kesimpulan
menggunkan Panel RE
lfare concen ldist ldistsq, re

Random-effects GLS regression

Number of obs

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4596

13

Group variable: id

Number of groups

1149

R-sq:

Obs per group: min =

avg =
max =

4
4.0
4

within = 0.0031
between = 0.4150
overall = 0.3937

Random effects u_i ~ Gaussian

corr(u_i, X)
= 0 (assumed)

Wald chi2(3)
Prob > chi2

=
=

826.06
0.0000

-----------------------------------------------------------------------------lfare |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------concen |
.1608968
.0278684
5.77
0.000
.1062758
.2155178
ldist | -.8363359
.2466771
-3.39
0.001
-1.319814
-.3528577
ldistsq |
.0956912
.0186519
5.13
0.000
.0591341
.1322482
_cons |
6.265289
.8105466
7.73
0.000
4.676647
7.853931
-------------+---------------------------------------------------------------sigma_u | .31866384
sigma_e | .11430784
rho | .88599643
(fraction of variance due to u_i)
------------------------------------------------------------------------------

. reg

Hasil estimasi dengan karekteristik

menggunkan Panel FE (LSDV)

tiap

tahun.

Sesuai

kesimpulan

lfare concen ldist ldistsq i.year

Source |
SS
df
MS
-------------+-----------------------------Model | 355.453858
6 59.2423096
Residual | 519.640516 4589 .113236112
-------------+-----------------------------Total | 875.094374 4595 .190444913

Number of obs
F( 6, 4589)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

4596
523.18
0.0000
0.4062
0.4054
.33651

-----------------------------------------------------------------------------lfare |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------concen |
.3601203
.0300691
11.98
0.000
.3011705
.4190702
ldist | -.9016004
.128273
-7.03
0.000
-1.153077
-.6501235
ldistsq |
.1030196
.0097255
10.59
0.000
.0839529
.1220863
|
year |
1998 |
.0211244
.0140419
1.50
0.133
-.0064046
.0486533
1999 |
.0378496
.0140413
2.70
0.007
.010322
.0653772
2000 |
.09987
.0140432
7.11
0.000
.0723385
.1274015
|
_cons |
6.209258
.4206247
14.76
0.000
5.384631
7.033884
------------------------------------------------------------------------------

(viii) Hitung dampak kenaikan dist terhadap fare dan tentukan di pada level dist berapa
fare optimal? (gunakan angka rata-rata)
log = log basis e atau = ln

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14

Hasil estimasi dengan karekteristik tiap individu dan tahun. Sesuai kesimpulan
menggunkan Panel RE
a. 1 % dist naik maka fare rata2 tiap tahun dan tiap individu turun sebesar
0.836%
b. Level dist ketika fare optimal

Hasil estimasi dengan karekteristik

menggunkan Panel FE (LSDV)

tiap

tahun.

Sesuai

kesimpulan

a. 1 % dist naik maka fare rata2 tiap tahun turun sebesar 0.902%
b. Level dist ketika fare optimal

-------------------------------------------------

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15