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DATA PANEL
Aplikasi data panel menggunakan data Grunfeld.xls
Spesifikasi model :
Y = f(X2, X3)
dimana:
Y : gross investment
X2 : value of firm
X3 : capital
2
Entry data secara cut paste ke Stata
Diperlukan declare dataset sebagai data panel yang akan dikenal Stata.
Klik Statistics Cross-sectional time series Setup & utilities Declare dataset
to be cross-sectional time series
3
Stata akan memunculkan dialog box
Isi Time variable : year
Panel ID variable: firm
Klik radio button yearly, lalu OK
Pada Stata result window akan menunjukkan perintah yang telah dieksekusi.
Analisis individual variability
ketik:
xtsum variabel_dependen variabel_independen
4
Fixed Effect Model
Klik Statistics Cross-sectional time series (Generalized) linear models-Panel-
data linear regression
Dialog box xtreg akan muncul.
Isi dependent variable : y
Independent variable : x2 x3
5
Hasil estimasi fixed effect model :
Menyimpan hasil estimasi di memory komputer
(akan digunakan untuk hausman test)
Klik Statistics General-Post estimation Manage estimation results Store
estimation results
6
Dialog box estimates store, isi Store estimation result under the name: fixed
Stata result window akan menunjukkan perintah estimates store
Perbedaan antar firm pada fixed effect model dapat ditunjukkan pada intercept-nya.
Gunakan LSDV model, ketik :
xi: regress y x2 x3 i.firm
7
Random Effects Model
Klik Statistics Cross-sectional time series (Generalized) linear models-Panel-
data linear regression
Hasil estimasi random effects model :
8
Hausman Test
Klik Statistics General-Post estimation Tests Hausman Specification test
Isi box consistent estimation dengan : fixed
Chi square statistics :
9
Breusch Pagan LM test
10
Quick Reference
Analisis awal regresi data panel
xtsum
Estimasi data panel
Fixed Effect
xtreg variabel_dependen variabel_independen, fe
xi: regress variabel_dependen variabel_independen i.panel_id
Random Effect
xtreg variabel_dependen variabel_independen, re
Post Estimation
Hausman Test
estimates store nama_hasil_estimasi
hausman nama_hasil_estimasi
Breusch-Pagan LM Test
xttest0
11
Data Susenas