Dependent Variable: Y

Method: Least Squares

Date: 09/02/21 Time: 08:19
Sample: 1 10
Included observations: 10

Variable Coefficient Std. Error t-Statistic Prob.  

C 24.45455 6.413817 3.812791 0.0051

X 0.509091 0.035743 14.24317 0.0000

R-squared 0.962062    Mean dependent var 111.0000

Adjusted R-squared 0.957319    S.D. dependent var 31.42893
S.E. of regression 6.493003    Akaike info criterion 6.756184
Sum squared resid 337.2727    Schwarz criterion 6.816701
Log likelihood -31.78092    Hannan-Quinn criter. 6.689797
F-statistic 202.8679    Durbin-Watson stat 2.680127
Prob(F-statistic) 0.000001

Y = 24.45 + 0.51X
Sa =6.4 1
Sb =0.036
S2e =337.27
Ho: a=0
H 1:a ≠ 0
Tolak Ho jika thit > t α / 2(df =n−2)
24.45−0
t hit = =3.81
6.41
α =5 %
t 0.05/ 2(df =10−2)=2.30
Keputusan : Tolak Ho, kesimpulan : Nilai koefisian a tdk sama dg 0
Tolak Ho, jika p < α
p = 0.0051
Keputusan : Tolak Ho

Ho: a=0 Ho: a=0

Ho: a>0 Ho: a<0
Kaedah keputusan :
Tolak Ho, jika p/2<α

α =5 %=0.05
p= 0.0051/2 = 0.00255
p/2 < 0.05  tolak Ho
Dependent Variable: Y
Method: Least Squares
Date: 09/02/21 Time: 11:03
Sample: 1 10
Included observations: 10

Variable Coefficient Std. Error t-Statistic Prob.  

X 0.638199 0.018107 35.24584 0.0000

R-squared 0.893121    Mean dependent var 111.0000

Adjusted R-squared 0.893121    S.D. dependent var 31.42893
S.E. of regression 10.27486    Akaike info criterion 7.591917
Sum squared resid 950.1553    Schwarz criterion 7.622176
Log likelihood -36.95959    Hannan-Quinn criter. 7.558724
Durbin-Watson stat 1.077756

CAPM

Ho: a=15
Ho: a≠ 0
24.45−15
t hit = =1,47
6.41
Dependent Variable: Y
Method: Least Squares
Date: 09/02/21 Time: 08:19
Sample: 1 10
Included observations: 10

Variable Coefficient Std. Error t-Statistic Prob.  

a=C 24.45455 6.413817 3.812791 0.0051

b =X 0.509091 0.035743 14.24317 0.0000

R-squared 0.962062    Mean dependent var 111.0000

Adjusted R-squared 0.957319    S.D. dependent var 31.42893
S.E. of regression 6.493003    Akaike info criterion 6.756184
Sum squared resid 337.2727    Schwarz criterion 6.816701
Log likelihood -31.78092    Hannan-Quinn criter. 6.689797
F-statistic 202.8679    Durbin-Watson stat 2.680127
Prob(F-statistic) 0.000001

X* = 1000X
Y* = 0.1Y
W1 = 0.1
W2 = 1000
a = 24.45
b = 0.51
a* = 2.45 = a*/a = 0.100
b* = 0.000051  b*/b = 0.0001
*
a = w1a = 0.1 x 24.45 = 2.45
 w1 0.1
¿ ¿
β 2=b = ( ) ( )
w2
b=
1000
0.51= 0.000051

X* = 10X
Y* = Y
W1 = 1
W2 = 10
a = 24.45
b = 0.51 a* = w1a = 1x 24.45 = 24.45
w1 1
¿ ¿
β 2=b = ( )( )
w2
b=
10
0.51 = 0.051

Sa = 6.41
Sb = 0.026
Var ( β ¿1) =Var ( a¿ )=W 21 Var (a) = 12x 6.41^2 = 41.09 
Sa = 6.41
Var(b*) = (1/10)^2x 0.026^2 = 0.0000068
Sb* = 0.0026
¿ ¿ w1 2
Var ( β )=Var ( b )=( ) Var (b)
2
w2
Var ( β 1) =Var ( a )=W 21 Var (a)
¿ ¿

¿ ¿ w1 2
Var ( β 2 )=Var ( b )=( ) Var (b)
w2
1 2
Var ( β ¿2 )=Var ( b¿ )= ( )
100
x 0.0362=0.0000001
Sb∗¿=¿¿0.00036

W1 = 10, a = 24.45, sa = 6.41

W2 = 0.1, b = 0.509, sb = 0.0357
a* = w1a
a* = w1a = 10x 24.45 = 244.5
w1 10
¿ ¿
β 2=b = ( ) ( )
w2
b=
0.1
0.509= 50.9

Var ( a¿ )=W 21 Var (a) = 102 ×6.412=4108.81

Sa* = 64.1
w1 10 2
Var ( b¿ )=(
w2
)Var (b)=( )
0.1
x 0.03572=
Sb* = 3.57

Dependent Variable: Y*10

Method: Least Squares
Date: 09/02/21 Time: 09:37
Sample: 1 10
Included observations: 10

Variable Coefficient Std. Error t-Statistic Prob.  

C 244.5455 64.13817 3.812791 0.0051

0.1*X 50.90909 3.574281 14.24317 0.0000

R-squared 0.962062    Mean dependent var 1110.000

Adjusted R-squared 0.957319    S.D. dependent var 314.2893
S.E. of regression 64.93003    Akaike info criterion 11.36135
Sum squared resid 33727.27    Schwarz criterion 11.42187
Log likelihood -54.80677    Hannan-Quinn criter. 11.29497
F-statistic 202.8679    Durbin-Watson stat 2.680127
Prob(F-statistic) 0.000001

Y = a + bX