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    MULTICOLINIERITAS

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    Andi Alimuddin Rauf
    This document discusses multicollinearity and its consequences, identification, and ways to address it. High multicollinearity means OLS estimators have high variance and confidence intervals are wider, making coefficients more likely to appear statistically insignificant even if they are meaningful. Identification methods include checking variance inflation factors and correlation between variables. Ways to address multicollinearity include dropping insignificant or highly correlated variables, transforming variables through differencing or ratios, or using a priori information to constrain coefficients.

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    MULTICOLINIERITAS

    Uploaded by

    Andi Alimuddin Rauf
    62 views13 pages
    This document discusses multicollinearity and its consequences, identification, and ways to address it. High multicollinearity means OLS estimators have high variance and confidence intervals are wider, making coefficients more likely to appear statistically insignificant even if they are meaningful. Identification methods include checking variance inflation factors and correlation between variables. Ways to address multicollinearity include dropping insignificant or highly correlated variables, transforming variables through differencing or ratios, or using a priori information to constrain coefficients.

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    This document discusses multicollinearity and its consequences, identification, and ways to address it. High multicollinearity means OLS estimators have high variance and confidence intervals are wider, making coefficients more likely to appear statistically insignificant even if they are meaningful. Identification methods include checking variance inflation factors and correlation between variables. Ways to address multicollinearity include dropping insignificant or highly correlated variables, transforming variables through differencing or ratios, or using a priori information to constrain coefficients.

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    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
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    Download as pdf or txt
    62 views13 pages

    MULTICOLINIERITAS

    Uploaded by

    Andi Alimuddin Rauf
    This document discusses multicollinearity and its consequences, identification, and ways to address it. High multicollinearity means OLS estimators have high variance and confidence intervals are wider, making coefficients more likely to appear statistically insignificant even if they are meaningful. Identification methods include checking variance inflation factors and correlation between variables. Ways to address multicollinearity include dropping insignificant or highly correlated variables, transforming variables through differencing or ratios, or using a priori information to constrain coefficients.

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    of 13

    MULTICOLINIERITAS

    Asumsi Regresi Klasik: Tidak ada hubungan exact collinearity antara variabel Independen (variable- variable X); misalnya: antara X2 dan X3 tidak ada hubungan exact linear (X2= 4X3).

    BASIC ECONOMETRICS BY SANJOYO

    Konsekuensi Multicollinearity Konsekuensi adanya multicollinearity yang tinggi: Meskipun masih BLUE, namun estimator OLS mempunyai varians dan covarians yg besar sulit utk menentukan estimasi yg tepat. Konfiden interval lebih melebar. the confidence intervals tend to be much wider, leading to the acceptance of the zero null hypothesis (i.e., the true population coefficient is zero) more readily. t ratio cenderung utk statistically insignificant (Ho: k = 0 diterima). Namun demikian R2 dapat sangat tinggi. Estimator OLS dan standard errors-nya sensitive thd perubahan kecil dlm data.

    BASIC ECONOMETRICS BY SANJOYO

    Identifikasi Multocollinearity Data : Table 10.7

    Y=org bekerja (ribu); X1=GNP deflator; X2=GNP (juta); X3=org tak kerja (ribu); X4=org militer; X5=org non-intitusi >14 th; X6=tahun (1=1947,2=1948,16=1962)

    BASIC ECONOMETRICS BY SANJOYO

    Model: Y = + X + X + X + X + X + Time + Eviews: Quick Estimate Equation masukan: y c x1 x2 x3 x4 x5 time; seperti dibawah ini:
    0 1 1 2 2 3 3 4 4 5 5 6

    BASIC ECONOMETRICS BY SANJOYO

    Hasil:

    Terlihat bahwa: R2 tinggi tapi, signifikansi parameter rendah (X1, X2, X5)
    BASIC ECONOMETRICS BY SANJOYO 5

    Korelasi yang tinggi antar veriaber regresor (> 0.90)

    Korelasi tinggi : o X1 vs X2 ; X2 vs X5 o X1 vs X5 ; X2 vs Time o X1 vs Time

    BASIC ECONOMETRICS BY SANJOYO

    Tolerance (TOL) dan variance inflation factor (VIF)


    TOL = 1 Ri 2 ) = 1/ TOL = 1/(1 R 2 ) VIF (
    i i

    Dimana Ri2 koefisien korelasi antara xi dengan var explanatory lainnya. Bila mana VIF > 10 menunjukan kolinearitar tinggi.

    BASIC ECONOMETRICS BY SANJOYO

    MENGATASI MULTIKOLINIERITAS Do Nothing Multicollinearity is Gods will, not a problem with OLS or statistical technique in general. multicollinearity is essentially a data deficiency problem and some times we have no choice over the data we have available for empirical analysis. Also, it is not that all the coefficients in a regression model are statistically insignificant.

    BASIC ECONOMETRICS BY SANJOYO

    Rule-of-Thumb Procedures A priori information. o Model : Yi =1 +2X2i +3X3i +ui dimana Y =konsumsi, X2 = income, dan X3 = wealth. o Bahwa, variable income dan wealth cenderung berkorelasi tinggi. Misalkan a priori information bahwa 3 = 0.102; o Kita dpt melakukan regresi: Yi = 1 +2X2i +0.102X3i +ui = 1 +2Xi +ui , maka kita dpt dimana Xi = X2i + 0.1X3i . Dg memperoleh 2 , berdasarkan postulated relationship mengestimasi 3 antara 2 dan 3.

    BASIC ECONOMETRICS BY SANJOYO

    Combining cross-sectional and time series data. Melakukan kombinasi data crosssectional dan data time-series, yang dikenal sebagai pooling the data Data Panel Dropping a variable(s) and specification bias. Cara termudah adalah drop salah satu variable yang mempunyai kolinieritas yang tinggi dan parameter yang tidak signifikan. o signifikansi parameter rendah (X1= GNP deflator; X2,= GNP; X5=
    org non-intitusi >14 th)

    o Korelasi Tinggi : X1 vs X2 dan X2 vs X5 dan X1 vs X5 o Kerjakan lagi Regresi dg menghilangkan X5 atau X2 atau X1 atau ketiganya.

    BASIC ECONOMETRICS BY SANJOYO

    10

    BASIC ECONOMETRICS BY SANJOYO

    11

    Transformation of variables. First difference Yt = 1 + 2X2t + 3X3t + ut Yt1 = 1 + 2X2,t1 + 3X3,t1 + ut1 Yt Yt1 = 2(X2t X2,t1) + 3(X3t X3,t1) + vt

    BASIC ECONOMETRICS BY SANJOYO

    12

    Ratio Transfornation:

    Yt X u 1 = 1 + 2 2t + 3 + t X 3t X 3t X 3t X 3t

    Cara ini juga digunakan utk mengatasi heteroscedastisity.

    BASIC ECONOMETRICS BY SANJOYO

    13

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