Tahun Y_IBM X1_IBM X2_IBM Y_Good X1_good X2_good Y_UO X1_UO X2_UO

1935 20.36 197 6.5 26.63 290.6 162 24.43 138 100.2
1936 25.98 210.3 15.8 23.39 291.1 174 23.21 200.1 125
1937 25.94 223.1 27.7 30.65 335 183 32.78 210.1 142.4
1938 27.53 216.7 39.2 20.89 246 198 32.54 161.2 165.1
1939 24.6 286.4 48.6 28.78 356.2 208 26.65 161.7 194.8
1940 28.54 298 52.5 26.93 289.8 223 33.71 145.1 222.9
1941 43.41 276.9 61.5 32.08 268.2 234 43.5 110.6 252.1
1942 42.81 272.6 80.5 32.21 213.3 248 34.46 98.1 276.3
1943 27.84 287.4 94.4 35.69 348.2 274 44.28 108.8 300.3
1944 32.6 330.3 92.6 62.47 374.2 282 70.8 118.2 318.2
1945 39.03 324.4 92.3 52.32 387.2 316 44.12 126.5 336.2
1946 50.17 401.9 94.2 56.95 347.4 302 48.98 156.7 351.2
1947 51.85 407.4 111.4 54.32 291.9 333 48.51 119.4 373.6
1948 64.03 409.2 127.4 40.53 297.2 359 50 129.1 389.4
1949 68.16 482.2 149.3 32.54 276.9 370 50.59 134.8 406.7
1950 73.34 673.8 164.4 43.48 274.6 376 42.53 140.8 429.5
1951 95.3 676.9 177.2 56.49 339.9 391 64.77 179 450.6
1952 99.49 702 200 65.98 474.8 414 72.68 178.1 466.9
1953 127.52 793.5 211.5 66.11 496 443 73.86 186.8 486.2
1954 135.72 927.3 238.7 49.34 474.5 468 89.51 192.7 511.3
Y_US X1_US X2_US
209.9 1362.4 53.8
355.3 1807.1 50.5
469.9 2676.3 118.1
262.3 1801.9 260.2
230.4 1957.3 312.7
361.6 2202.9 254.2
472.8 2380.5 261.4
445.6 2168.6 298.7
361.6 1985.1 301.8
288.2 1813.9 279.1
258.7 1850.2 213.8
420.3 2067.7 232.6
420.5 1796.7 264.8
494.5 1625.8 306.9
405.1 1667 351.1
418.8 1677.4 357.8
588.2 2289.5 342.1
645.2 2159.4 444.2
641 2031.3 623.6
459.3 2115.5 669.7
DATA DIOLAH/DISUSUN - PER PERUSAHAAN SESUAI PERIODE WAKTU (1935 - 1954) DAN DIKONVERSI MENJADI LO
FIRM Tahun Y X1 X2 LnY LnX1 LnX2
IBM 1935 20.36 197 6.5 3.013572 5.283204 1.871802
IBM 1936 25.98 210.3 15.8 3.257327 5.348535 2.76001
IBM 1937 25.94 223.1 27.7 3.255786 5.40762 3.321432
IBM 1938 27.53 216.7 39.2 3.315276 5.378514 3.668677
IBM 1939 24.6 286.4 48.6 3.202746 5.657389 3.883624
IBM 1940 28.54 298 52.5 3.351307 5.697093 3.960813
IBM 1941 43.41 276.9 61.5 3.77069 5.623656 4.119037
IBM 1942 42.81 272.6 80.5 3.756772 5.608006 4.388257
IBM 1943 27.84 287.4 94.4 3.326474 5.660875 4.547541
IBM 1944 32.6 330.3 92.6 3.484312 5.800001 4.528289
IBM 1945 39.03 324.4 92.3 3.664331 5.781977 4.525044
IBM 1946 50.17 401.9 94.2 3.915417 5.996203 4.54542
IBM 1947 51.85 407.4 111.4 3.948355 6.009796 4.713127
IBM 1948 64.03 409.2 127.4 4.159352 6.014204 4.847332
IBM 1949 68.16 482.2 149.3 4.221858 6.178359 5.005958
IBM 1950 73.34 673.8 164.4 4.295106 6.512933 5.102302
IBM 1951 95.3 676.9 177.2 4.55703 6.517524 5.177279
IBM 1952 99.49 702 200 4.600057 6.553933 5.298317
IBM 1953 127.52 793.5 211.5 4.848273 6.676454 5.354225
IBM 1954 135.72 927.3 238.7 4.910594 6.832277 5.475208
GOOD 1935 26.63 290.6 162 3.282038 5.671948 5.087596
GOOD 1936 23.39 291.1 174 3.152309 5.673667 5.159055
GOOD 1937 30.65 335 183 3.422633 5.814131 5.209486
GOOD 1938 20.89 246 198 3.039271 5.505332 5.288267
GOOD 1939 28.78 356.2 208 3.359681 5.875492 5.337538
GOOD 1940 26.93 289.8 223 3.293241 5.669191 5.407172
GOOD 1941 32.08 268.2 234 3.468233 5.591733 5.455321
GOOD 1942 32.21 213.3 248 3.472277 5.3627 5.513429
GOOD 1943 35.69 348.2 274 3.574871 5.852777 5.613128
GOOD 1944 62.47 374.2 282 4.134686 5.92479 5.641907
GOOD 1945 52.32 387.2 316 3.957379 5.958941 5.755742
GOOD 1946 56.95 347.4 302 4.042174 5.850477 5.710427
GOOD 1947 54.32 291.9 333 3.994892 5.676411 5.808142
GOOD 1948 40.53 297.2 359 3.702042 5.694405 5.883322
GOOD 1949 32.54 276.9 370 3.48247 5.623656 5.913503
GOOD 1950 43.48 274.6 376 3.772301 5.615315 5.929589
GOOD 1951 56.49 339.9 391 4.034064 5.828651 5.968708
GOOD 1952 65.98 474.8 414 4.189352 6.162894 6.025866
GOOD 1953 66.11 496 443 4.19132 6.206576 6.09357
GOOD 1954 49.34 474.5 468 3.898735 6.162262 6.148468
UO 1935 24.43 138 100.2 3.195812 4.927254 4.607168
UO 1936 23.21 200.1 125 3.144583 5.298817 4.828314
UO 1937 32.78 210.1 142.4 3.489819 5.347584 4.95864
UO 1938 32.54 161.2 165.1 3.48247 5.082646 5.106551
UO 1939 26.65 161.7 194.8 3.282789 5.085743 5.271973
UO 1940 33.71 145.1 222.9 3.517795 4.977423 5.406723
UO 1941 43.5 110.6 252.1 3.772761 4.70592 5.529826
UO 1942 34.46 98.1 276.3 3.539799 4.585987 5.621487
UO 1943 44.28 108.8 300.3 3.790533 4.689511 5.704782
UO 1944 70.8 118.2 318.2 4.259859 4.772378 5.76268
UO 1945 44.12 126.5 336.2 3.786913 4.840242 5.817706
UO 1946 48.98 156.7 351.2 3.891412 5.054333 5.861356
UO 1947 48.51 119.4 373.6 3.88177 4.782479 5.923186
UO 1948 50 129.1 389.4 3.912023 4.860587 5.964607
UO 1949 50.59 134.8 406.7 3.923754 4.903792 6.008076
UO 1950 42.53 140.8 429.5 3.75021 4.94734 6.062622
UO 1951 64.77 179 450.6 4.170843 5.187386 6.11058
UO 1952 72.68 178.1 466.9 4.286066 5.182345 6.146115
UO 1953 73.86 186.8 486.2 4.302171 5.230039 6.18662
UO 1954 89.51 192.7 511.3 4.49435 5.261135 6.236957
US 1935 209.9 1362.4 53.8 5.346631 7.217003 3.985273
US 1936 355.3 1807.1 50.5 5.872963 7.499479 3.921973
US 1937 469.9 2676.3 118.1 6.15252 7.892191 4.771532
US 1938 262.3 1801.9 260.2 5.569489 7.496597 5.561451
US 1939 230.4 1957.3 312.7 5.439817 7.579321 5.745244
US 1940 361.6 2202.9 254.2 5.890539 7.69753 5.538121
US 1941 472.8 2380.5 261.4 6.158672 7.775066 5.566052
US 1942 445.6 2168.6 298.7 6.099422 7.681837 5.69944
US 1943 361.6 1985.1 301.8 5.890539 7.593425 5.709765
US 1944 288.2 1813.9 279.1 5.663655 7.503235 5.63157
US 1945 258.7 1850.2 213.8 5.555669 7.523049 5.365041
US 1946 420.3 2067.7 232.6 6.040969 7.634192 5.44932
US 1947 420.5 1796.7 264.8 6.041444 7.493707 5.578975
US 1948 494.5 1625.8 306.9 6.203547 7.393755 5.726522
US 1949 405.1 1667 351.1 6.004134 7.418781 5.861071
US 1950 418.8 1677.4 357.8 6.037393 7.425 5.879974
US 1951 588.2 2289.5 342.1 6.377067 7.736089 5.835103
US 1952 645.2 2159.4 444.2 6.46956 7.677586 6.096275
US 1953 641 2031.3 623.6 6.463029 7.616431 6.435509
US 1954 459.3 2115.5 669.7 6.129704 7.657046 6.50683
KONVERSI MENJADI LOG NATURAL
Y = NILAI INVESTASI
X1 = NILAI HARGA SAHAM
X2 = NILAI AKTUAL KAPITAL DI AWAL PERIODE
Dependent Variable: LNY?
Method: Pooled Least Squares
Sample: 1935 1954
Included observations: 20
Cross-sections included: 4
Total pool (balanced) observations: 80

Variable Coefficient Std. Error t-Statistic

C -2.783958 0.391539 -7.1103
LNX1? 0.906414 0.047631 19.03004
LNX2? 0.30248 0.056744 5.330573

R-squared 0.846486 Mean dependent var

Adjusted R-squared 0.842499 S.D. dependent var
S.E. of regression 0.415578 Akaike info criterion
Sum squared resid 13.29828 Schwarz criterion
Log likelihood -41.7394 Hannan-Quinn criter.
F-statistic 212.2919 Durbin-Watson stat
Prob(F-statistic) 0
Prob.
0
0
0

4.320014
1.047154
1.118485
1.207811
1.154298
0.344385
 Dependent Variable: LNY?
Method: Pooled Least Squares
Date: 09/08/19 Time: 23:11
Sample: 1935 1954
Included observations: 20
Cross-sections included: 4
Total pool (balanced) observations: 80

Variable Coefficient Std. Error t-Statistic Prob.

C -1.008042 0.591978 -1.702836 0.0928
LNX1? 0.570443 0.11679 4.884341 0
LNX2? 0.352097 0.05432 6.481923 0
Fixed Effects (Cross)
-1.071512 _IBM--C -0.06347
-1.615893 _GOOD--C -0.607851
-1.041914 _UO--C -0.033872
-0.30285 _US--C 0.705192

Effects Specification
Cross-section fixed (dummy variables)

R-squared 0.948601 Mean dependent var 4.320014

Adjusted R-squared 0.945128 S.D. dependent var 1.047154
S.E. of regression 0.245294 Akaike info criterion 0.099317
Sum squared resid 4.452503 Schwarz criterion 0.277969
Log likelihood 2.027324 Hannan-Quinn criter. 0.170944
F-statistic 273.1425 Durbin-Watson stat 1.001067
Prob(F-statistic) 0
METODE GLS = UNTUK MENGHILANGKAN MASALAH HETEROSKEDASTISTAS
Dependent Variable: LNY?
Method: Pooled EGLS (Cross-section weights)
Date: 09/08/19 Time: 23:24
Sample: 1935 1954
Included observations: 20
Cross-sections included: 4
Total pool (balanced) observations: 80
Linear estimation after one-step weighting matrix

Variable Coefficient Std. Error t-Statistic Prob.

C -1.111833 0.560888 -1.982273 0.0512
LNX1? 0.59569 0.114604 5.197825 0
LNX2? 0.342771 0.055303 6.198098 0
Fixed Effects (Cross)
-1.180543 _IBM--C -0.06871
-1.111833 _GOOD--C -0.597478
-1.115058 _UO--C -0.003225
-0.442421 _US--C 0.669412

Effects Specification
Cross-section fixed (dummy variables)

Weighted Statistics
R-squared 0.943521 Mean dependent va 4.312445
Adjusted R 0.939704 S.D. dependent var 0.79919
S.E. of reg 0.245211 Sum squared resid 4.449493
F-statistic 247.2421 Durbin-Watson stat 0.993571
Prob(F-stati 0

Unweighted Statistics
R-squared 0.948566 Mean dependent va 4.320014
Sum square4.455514 Durbin-Watson stat 0.994933
Dependent Variable: LNY?
Method: Pooled EGLS (Cross-section random effects)
Date: 09/08/19 Time: 23:29
Sample: 1935 1954
Included observations: 20
Cross-sections included: 4
Total pool (balanced) observations: 80
Swamy and Arora estimator of component variances

Variable Coefficient
C -1.185062
LNX1? 0.608437
LNX2? 0.341992
Random Effects (Cross)
_IBM--C -0.067142
_GOOD--C -0.589243
_UO--C 0.010771
_US--C 0.645614

Effects Specification

Cross-section random
Idiosyncratic random

Weighted Statistics

R-squared 0.678575
Adjusted R-squared 0.670226
S.E. of regression 0.243714
F-statistic 81.27906
Prob(F-statistic) 0

Unweighted Statistics
R-squared 0.768426
Sum squared resid 20.06029
 Std. Error t-Statistic Prob.
0.648776 -1.826614 0.0716
0.110327 5.51484 0
0.053142 6.435428 0

-0.067142
-0.589243
0.010771
0.645614
0

S.D. Rho
0.637481 0.871
0.245294 0.129

Mean dependent var 0.370329

S.D. dependent var 0.424397
Sum squared resid 4.57352
Durbin-Watson stat 0.969126

Mean dependent var 4.320014

Durbin-Watson stat 0.22095
NILAI CHI SQUARE STATISTIK TIDAK SIGNIFIKAN,
BERARTI DAPAT DIGUNAKAN MODEL FIX ATAU RANDOM MODEL,
KARENA IANYA TIDAK BERBEDA SECARA SUBSTANSI ( CARI REFERENSINYA? )

Correlated Random Effects - Hausman Test

Pool: Untitled
Test cross-section random effects

Test Summary Chi-Sq. Statistic

Cross-section random 1.011286

Cross-section random effects test comparisons:

Variable Fixed Random

LNX1? 0.570443 0.608437

LNX2? 0.352097 0.341992

Cross-section random effects test equation:

Dependent Variable: LNY?
Method: Panel Least Squares
Date: 09/08/19 Time: 23:38
Sample: 1935 1954
Included observations: 20
Cross-sections included: 4
Total pool (balanced) observations: 80

Variable Coefficient Std. Error

C -1.008042 0.591978
LNX1? 0.570443 0.11679
LNX2? 0.352097 0.05432

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.948601 Mean dependent var

Adjusted R-squared 0.945128 S.D. dependent var
S.E. of regression 0.245294 Akaike info criterion
Sum squared resid 4.452503 Schwarz criterion
Log likelihood 2.027324 Hannan-Quinn criter.
F-statistic 273.1425 Durbin-Watson stat
Prob(F-statistic) 0
Chi-Sq. d.f. Prob.

2 0.6031

Var(Diff.) Prob.

0.001468 0.3213
0.000127 0.3691

t-Statistic Prob.

-1.702836 0.0928
4.884341 0
6.481923 0

4.320014
1.047154
0.099317
0.277969
0.170944
1.001067