LAMPIRAN

Lampiran 1. Analisis Deskriptif

Date: 09/29/21
Time: 14:18
Sample: 2015 2019

PBV ROE PER DER

 Mean  1.662844  0.046195  11.30119  0.681508

 Median  1.314930  0.089308  12.17372  0.513838
 Maximum  5.701639  1.157538  237.3415  11.35057
 Minimum -1.904834 -2.228074 -118.1655 -3.928383
 Std. Dev.  1.554842  0.312017  31.09738  1.315952
 Skewness  1.028879 -3.866897  2.619862  4.469984
 Kurtosis  3.695820  30.13106  30.23291  42.03803

 Jarque-Bera  21.62661  3647.902  3524.978  7351.166

 Probability  0.000020  0.000000  0.000000  0.000000

 Sum  182.9128  5.081444  1243.131  74.96587

 Sum Sq. Dev.  263.5112  10.61164  105408.1  188.7585

 Observations  110  110  110  110

Lampiran 2. Analisis Regresi Panel Data Asli

Lagrange Multiplier Test

Lagrange Multiplier Tests for Random Effects

Null hypotheses: No effects
Alternative hypotheses: Two-sided (Breusch-Pagan) and one-sided
        (all others) alternatives

Test Hypothesis
Cross-section Time Both

Breusch-Pagan  9.738252  0.300132  10.03838

(0.0018) (0.5838) (0.0015)

Honda -3.120617 -0.547843 -2.593993

-- -- --

King-Wu -3.120617 -0.547843 -1.506555

-- -- --

Standardized Honda -2.953503 -0.271562 -7.444642

-- -- --
Standardized King-Wu -2.953503 -0.271562 -4.698763
-- -- --
Gourierioux, et al.* -- --  0.000000
(>= 0.10)

*Mixed chi-square asymptotic critical values:

1% 7.289
5% 4.321
10% 2.952
Chow Test

Redundant Fixed Effects Tests

Equation: Untitled
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 0.489418 (37,149) 0.9937

Cross-section Chi-square 21.792401 37 0.9779

Cross-section fixed effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 15:51
Sample: 2015 2019
Periods included: 5
Cross-sections included: 38
Total panel (balanced) observations: 190

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 2172.326 15153.49 0.143355 0.8862

PER 0.093080 0.001388 67.04000 0.0000
DER 1374.003 4903.144 0.280229 0.7796
C 223.2086 7526.692 0.029656 0.9764

R-squared 0.960336    Mean dependent var 57140.30

Adjusted R-squared 0.959696    S.D. dependent var 375858.5
S.E. of regression 75456.99    Akaike info criterion 25.32134
Sum squared resid 1.06E+12    Schwarz criterion 25.38970
Log likelihood -2401.527    Hannan-Quinn criter. 25.34903
F-statistic 1501.113    Durbin-Watson stat 1.680438
Prob(F-statistic) 0.000000
Common Effect Model (CEM)

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 15:49
Sample: 2015 2019
Periods included: 5
Cross-sections included: 38
Total panel (balanced) observations: 190

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 2172.326 15153.49 0.143355 0.8862

PER 0.093080 0.001388 67.04000 0.0000
DER 1374.003 4903.144 0.280229 0.7796
C 223.2086 7526.692 0.029656 0.9764

R-squared 0.960336    Mean dependent var 57140.30

Adjusted R-squared 0.959696    S.D. dependent var 375858.5
S.E. of regression 75456.99    Akaike info criterion 25.32134
Sum squared resid 1.06E+12    Schwarz criterion 25.38970
Log likelihood -2401.527    Hannan-Quinn criter. 25.34903
F-statistic 1501.113    Durbin-Watson stat 1.680438
Prob(F-statistic) 0.000000
Fixed Effect Model (FEM)

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 15:49
Sample: 2015 2019
Periods included: 5
Cross-sections included: 38
Total panel (balanced) observations: 190

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 15506.67 35137.41 0.441315 0.6596

PER 0.078653 0.003714 21.17488 0.0000
DER 4023.364 8815.312 0.456406 0.6488
C 4620.587 13008.63 0.355194 0.7229

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.964634    Mean dependent var 57140.30

Adjusted R-squared 0.955139    S.D. dependent var 375858.5
S.E. of regression 79608.00    Akaike info criterion 25.59612
Sum squared resid 9.44E+11    Schwarz criterion 26.29679
Log likelihood -2390.631    Hannan-Quinn criter. 25.87995
F-statistic 101.6014    Durbin-Watson stat 1.604161
Prob(F-statistic) 0.000000
Random Effect Model (REM)

Dependent Variable: PBV

Method: Panel EGLS (Cross-section random effects)
Date: 09/28/21 Time: 15:51
Sample: 2015 2019
Periods included: 5
Cross-sections included: 38
Total panel (balanced) observations: 190
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 2172.326 15987.11 0.135880 0.8921

PER 0.093080 0.001465 63.54432 0.0000
DER 1374.003 5172.874 0.265617 0.7908
C 223.2086 7940.747 0.028109 0.9776

Effects Specification
S.D.   Rho  

Cross-section random 0.000000 0.0000

Idiosyncratic random 79608.00 1.0000

Weighted Statistics

R-squared 0.960336    Mean dependent var 57140.30

Adjusted R-squared 0.959696    S.D. dependent var 375858.5
S.E. of regression 75456.99    Sum squared resid 1.06E+12
F-statistic 1501.113    Durbin-Watson stat 1.680438
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.960336    Mean dependent var 57140.30

Sum squared resid 1.06E+12    Durbin-Watson stat 1.680438
Asumsi Klasik
Asumsi Normalitas

Asumsi Heteroskedastisitas

Dependent Variable: ABSRES

Method: Panel Least Squares
Date: 09/28/21 Time: 16:02
Sample: 2015 2019
Periods included: 5
Cross-sections included: 38
Total panel (balanced) observations: 190

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 1608.076 9029.619 0.178089 0.8588

PER 0.014847 0.000827 17.94563 0.0000
DER 1468.125 2921.671 0.502495 0.6159
C 2054.942 4484.983 0.458183 0.6474

R-squared 0.634906    Mean dependent var 12370.87

Adjusted R-squared 0.629018    S.D. dependent var 73820.95
S.E. of regression 44963.09    Akaike info criterion 24.28590
Sum squared resid 3.76E+11    Schwarz criterion 24.35426
Log likelihood -2303.160    Hannan-Quinn criter. 24.31359
F-statistic 107.8195    Durbin-Watson stat 2.826818
Prob(F-statistic) 0.000000
Asumsi Multikolinieritas

ROE PER DER

ROE  1.000000 -0.020946 -0.227201

PER -0.020946  1.000000  0.039700
DER -0.227201  0.039700  1.000000

Asumsi Autokorelasi

Dependent Variable: PBV

Method: Panel EGLS (Cross-section random effects)
Date: 09/28/21 Time: 15:51
Sample: 2015 2019
Periods included: 5
Cross-sections included: 38
Total panel (balanced) observations: 190
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 2172.326 15987.11 0.135880 0.8921

PER 0.093080 0.001465 63.54432 0.0000
DER 1374.003 5172.874 0.265617 0.7908
C 223.2086 7940.747 0.028109 0.9776

Effects Specification
S.D.   Rho  

Cross-section random 0.000000 0.0000

Idiosyncratic random 79608.00 1.0000

Weighted Statistics

R-squared 0.960336    Mean dependent var 57140.30

Adjusted R-squared 0.959696    S.D. dependent var 375858.5
S.E. of regression 75456.99    Sum squared resid 1.06E+12
F-statistic 1501.113    Durbin-Watson stat 1.680438
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.960336    Mean dependent var 57140.30

Sum squared resid 1.06E+12    Durbin-Watson stat 1.680438
Identifikasi Outlier

  LM Test Chow Test Hausman Test Model Terbaik

Chi Square 9.738 21.792 -
Probabilitas 0.002 0.978 - REM
Model Terpilih REM CEM -

Sehingga residual diperoleh dari model Random Effect Model

Keteranga
Kode Period PBV ROE PER DER Residual Zresid
n
2015 0.26 0.02 13.45 1.95 -2951.72 -0.04
2016 0.34 0.03 10.13 1.52 -2379.67 -0.03
BUDI 2017 0.35 0.04 9.26 1.46 -2313.41 -0.03
2018 0.35 0.04 8.56 1.77 -2740.12 -0.04
2019 0.46 0.05 9.14 1.33 -2164.55 -0.03
2015 0.63 0.17 3.77 1.32 -2401.07 -0.03
2016 0.90 0.28 3.22 0.61 -1666.09 -0.02
CEKA 2017 0.85 0.12 7.15 0.54 -1226.36 -0.02
2018 0.84 0.09 8.83 0.20 -699.82 -0.01
2019 0.88 0.19 4.61 0.23 -954.43 -0.01
2015 4.90 0.23 21.69 0.22 -1016.51 -0.01
2016 3.96 0.25 15.74 0.18 -1018.49 -0.01
DLTA 2017 3.21 0.24 13.14 0.17 -987.69 -0.01
2018 3.43 0.26 13.03 0.19 -1049.08 -0.01
2019 4.49 0.26 17.14 0.18 -1029.72 -0.01
2015 4.79 0.18 26.88 0.62 -1461.46 -0.02
2016 5.41 0.20 27.54 0.56 -1419.21 -0.02
ICBP 2017 5.11 0.17 29.29 0.56 -1363.13 -0.02
2018 5.37 0.21 26.16 0.51 -1371.51 -0.02
2019 4.88 0.20 24.26 0.45 -1277.33 -0.02
2015 22.54 0.65 34.77 1.74 -4004.24 -0.05
2016 30.17 1.20 25.21 1.77 -5230.30 -0.07
MLBI 2017 27.06 1.24 21.79 1.36 -4759.74 -0.06
2018 28.87 1.05 27.52 1.47 -4502.26 -0.06
2019 28.50 1.05 27.08 1.53 -4582.68 -0.06
2015 5.25 0.24 21.81 1.18 -2369.13 -0.03
2016 5.87 0.22 26.49 1.06 -2161.24 -0.03
MYOR
2017 6.14 0.22 27.69 1.03 -2114.10 -0.03
2018 6.86 0.21 33.28 1.06 -2122.61 -0.03
 2019 4.63 0.21 22.48 0.92 -1936.42 -0.03
2015 4.22 0.18 23.67 0.78 -1684.34 -0.02
2016 5.61 0.19 28.95 1.02 -2048.06 -0.03
ROTI 2017 2.80 0.05 58.28 0.62 -1177.60 -0.02
2018 2.55 0.04 58.38 0.51 -1016.50 -0.01
2019 2.60 0.08 34.01 0.51 -1096.10 -0.01
2015 1.68 0.13 12.74 1.48 -2543.30 -0.03
2016 0.72 0.07 10.31 0.92 -1637.26 -0.02
SKLT 2017 2.47 0.07 33.09 1.07 -1854.52 -0.02
2018 3.06 0.09 32.44 1.20 -2080.54 -0.03
2019 2.92 0.12 24.75 1.08 -1961.92 -0.03
2015 1.05 0.09 12.25 1.13 -1962.23 -0.03
2016 1.58 0.12 13.21 0.87 -1678.74 -0.02
INDF 2017 1.43 0.11 13.01 0.88 -1672.23 -0.02
2018 1.31 0.10 13.18 0.93 -1722.34 -0.02
2019 1.28 0.11 11.79 0.77 -1524.17 -0.02
2015 2.78 0.17 16.40 0.67 -1512.51 -0.02
2016 3.11 0.17 18.42 0.59 -1400.40 -0.02
GGRM 2017 3.82 0.18 20.79 0.58 -1420.95 -0.02
2018 3.56 0.17 20.65 0.53 -1326.20 -0.02
2019 2.00 0.21 9.37 0.54 -1433.90 -0.02
2015 13.07 0.31 42.20 0.14 -1072.95 -0.01
2016 13.91 0.40 34.91 0.19 -1335.74 -0.02
HMSP 2017 16.10 0.37 43.42 0.24 -1351.59 -0.02
2018 12.20 0.38 31.88 0.32 -1482.68 -0.02
2019 6.85 0.38 17.80 0.43 -1639.67 -0.02
2015 1.34 0.11 12.04 0.41 -1033.20 -0.01
2016 1.63 0.14 11.55 0.42 -1104.25 -0.01
DVLA 2017 1.76 0.15 12.10 0.47 -1184.29 -0.02
2018 1.62 0.17 9.65 0.40 -1139.39 -0.02
2019 1.72 0.17 10.14 0.40 -1142.98 -0.02
2015 2.35 0.13 18.20 0.67 -1423.92 -0.02
2016 6.72 0.12 56.24 1.03 -1897.66 -0.03
KAEF 2017 5.83 0.13 46.30 1.37 -2377.17 -0.03
2018 3.48 0.22 15.50 1.73 -3089.50 -0.04
2019 0.94 0.64 1.45 1.48 -3651.02 -0.05
2015 5.66 0.19 30.07 0.25 -975.47 -0.01
2016 5.70 0.19 30.21 0.22 -934.56 -0.01
KLBF 2017 5.70 0.18 32.29 0.20 -873.28 -0.01
2018 4.66 0.16 28.53 0.19 -832.07 -0.01
2019 4.55 0.15 29.92 0.21 -844.16 -0.01
2015 0.59 0.03 19.41 0.58 -1087.86 -0.01
PYFA
2016 1.01 0.05 20.79 0.58 -1131.67 -0.02
 2017 0.90 0.07 13.74 0.47 -1005.86 -0.01
2018 0.85 0.07 11.97 0.57 -1164.89 -0.02
2019 0.85 0.07 11.34 0.53 -1113.87 -0.01
2015 1.82 0.12 14.88 0.45 -1104.84 -0.01
2016 1.91 0.12 16.25 0.42 -1056.64 -0.01
TSPC 2017 1.59 0.11 14.53 0.46 -1097.35 -0.01
2018 1.15 0.10 11.58 0.45 -1055.57 -0.01
2019 1.08 0.10 10.55 0.45 -1058.91 -0.01
2015 3.09 0.15 20.87 0.81 -1653.10 -0.02
2016 2.22 0.09 23.91 0.68 -1362.62 -0.02
KINO 2017 1.47 0.05 27.62 0.58 -1130.77 -0.02
2018 1.83 0.07 26.65 0.64 -1255.89 -0.02
2019 1.81 0.19 9.51 0.74 -1649.77 -0.02
2015 1.93 0.32 6.09 0.21 -1205.79 -0.02
2016 1.41 0.09 15.50 0.23 -730.39 -0.01
TCID 2017 1.94 0.10 20.09 0.27 -804.80 -0.01
2018 1.76 0.09 20.04 0.24 -743.16 -0.01
2019 1.10 0.07 15.23 0.26 -741.74 -0.01
2015 58.48 1.21 48.24 2.26 -5905.73 -0.08
2016 62.93 1.36 46.32 2.56 -6632.68 -0.09
UNVR 2017 82.44 1.35 60.89 2.65 -6735.04 -0.09
2018 46.91 1.23 38.15 1.75 -5260.15 -0.07
2019 60.67 1.40 43.35 2.91 -7204.74 -0.10
2015 1.07 0.09 11.47 0.21 -721.82 -0.01
2016 0.97 0.06 15.33 0.22 -667.76 -0.01
CINT 2017 0.87 0.08 11.27 0.25 -730.82 -0.01
2018 0.73 0.03 20.95 0.26 -663.24 -0.01
2019 0.78 0.02 41.82 0.34 -731.39 -0.01
2015 1.32 0.07 18.24 0.44 -984.31 -0.01
2016 1.02 0.10 10.54 0.32 -877.37 -0.01
ADES 2017 0.78 0.06 13.65 0.26 -702.61 -0.01
2018 0.93 0.12 7.75 0.51 -1190.98 -0.02
2019 1.09 0.19 5.60 0.45 -1259.63 -0.02
2015 3.92 0.18 21.27 0.90 -1861.62 -0.02
2016 3.58 0.19 19.19 1.00 -2000.44 -0.03
STTP 2017 4.12 0.16 26.44 0.69 -1510.64 -0.02
2018 2.98 0.20 15.13 0.60 -1471.92 -0.02
2019 2.74 0.28 9.71 0.34 -1304.51 -0.02
MRAT 2015 0.24 0.00 85.11 0.32 -674.47 -0.01
2016 0.24 -0.02 -16.20 0.31 -612.99 -0.01
2017 0.24 0.00 -68.72 0.36 -698.37 -0.01
2018 0.21 -0.01 -33.96 0.39 -743.89 -0.01
2019 0.18 0.00 496.09 0.45 -881.70 -0.01
 2015 0.34 -0.03 -10.66 0.49 -830.89 -0.01
2016 0.45 0.02 22.46 0.61 -1106.62 -0.01
MBTO 2017 0.35 -0.06 -5.85 0.89 -1317.17 -0.02
2018 0.21 -0.18 -1.18 0.54 -577.14 -0.01
2019 0.17 -0.11 -1.50 0.60 -804.17 -0.01
2015 0.28 0.01 28.73 0.98 -1589.13 -0.02
2016 0.33 0.02 19.65 0.99 -1615.48 -0.02
LMPI 2017 0.45 -0.08 -5.41 1.22 -1716.04 -0.02
2018 0.32 -0.10 -3.13 1.00 -1375.70 -0.02
2019 0.31 -0.14 -2.16 1.55 -2038.93 -0.03
2015 0.37 -0.14 -2.65 0.43 -515.50 -0.01
2016 0.37 0.00 91.24 0.57 -1024.35 -0.01
KICI 2017 0.52 0.09 5.94 0.63 -1281.71 -0.02
2018 0.83 -0.01 -89.68 0.63 -1056.83 -0.01
2019 0.64 -0.04 -17.57 0.75 -1171.71 -0.02
2015 0.88 0.01 79.29 1.59 -2435.18 -0.03
2016 25.19 -0.03 -835.11 1.40 -1977.93 -0.03
INAF 2017 34.73 -0.09 -395.03 1.91 -2579.88 -0.03
2018 40.56 -0.07 -615.33 1.90 -2598.53 -0.03
2019 5.34 0.02 338.62 1.74 -2675.53 -0.04
2015 3.18 0.17 18.86 0.08 -692.14 -0.01
2016 2.83 0.17 16.23 0.08 -714.84 -0.01
SIDO 2017 2.82 0.18 15.31 0.09 -746.71 -0.01
2018 4.34 0.23 18.98 0.15 -923.38 -0.01
2019 6.24 0.26 23.68 0.15 -1003.38 -0.01
2015 1.85 0.14 13.29 0.42 -1105.25 -0.01
2016 1.80 0.11 16.77 0.37 -958.55 -0.01
WIIM 2017 1.20 0.04 28.94 0.25 -662.70 -0.01
2018 0.57 0.05 11.17 0.25 -676.37 -0.01
2019 0.66 0.03 24.90 0.26 -636.54 -0.01
2015 -1.17 0.52 -2.25 -3.93 4043.01 0.05
2016 1.87 -0.22 -8.45 0.04 200.58 0.00
RMBA 2017 1.55 -0.05 -28.81 0.05 -174.80 0.00
2018 1.36 -0.07 -18.67 0.06 -141.78 0.00
2019 1.43 0.01 237.34 0.30 -668.31 -0.01
2015 22.54 0.65 34.77 1.74 -4004.24 -0.05
2016 10.88 0.43 25.21 0.64 -2030.84 -0.03
MLBI 2017 11.48 0.53 21.79 0.46 -1984.79 -0.03
2018 28.87 1.05 27.52 1.47 -4502.26 -0.06
2019 28.50 1.05 27.08 1.53 -4582.68 -0.06
SKLT 2015 1680910.16 0.13 12736033.54 1.48 492899.04 6.58 Outlier
2016 718377.02 0.07 10304566.21 0.92 - -3.24 Outlier
242406.85
 -
2017 2470379.26 0.07 33077121.15 1.07 -8.15 Outlier
610286.14
2018 3054247.63 0.09 32425071.98 1.20 34048.16 0.45
2019 2923619.43 0.12 24743952.59 1.08 618494.97 8.26 Outlier
2015 1.40 -0.05 -29.19 1.33 -1939.44 -0.03
2016 1.50 -0.09 -16.95 1.42 -1982.55 -0.03
ALTO 2017 2.03 -0.09 -23.80 1.65 -2295.31 -0.03
2018 2.26 -0.09 -26.55 1.84 -2559.24 -0.03
2019 2.29 -0.02 -118.17 1.87 -2736.29 -0.04
2015 1.46 0.09 15.50 1.28 -2192.28 -0.03
2016 2.18 0.17 12.95 1.17 -2196.45 -0.03
AISA 2017 0.67 -0.25 -2.69 1.56 -1828.79 -0.02
2018 -0.92 0.03 -30.65 -1.53 1811.08 0.02
2019 -1.90 -0.97 1.96 -2.13 4812.56 0.06
2015 24.85 0.00 7299.26 5.33 -8204.07 -0.11
2016 5.83 -0.06 -93.22 2.38 -3348.00 -0.04
BTEK 2017 0.47 -0.02 -22.51 1.60 -2379.02 -0.03
2018 3.07 -0.05 -60.74 1.28 -1870.21 -0.02
2019 1.08 -0.06 -19.62 1.32 -1917.25 -0.03
2015 4106.77 -0.05 -81154.92 0.04 11492.01 0.15
2016 3194.34 -0.10 -32470.04 0.30 5791.86 0.08
IIKP 2017 407.39 -0.05 -9046.21 0.08 1014.47 0.01
2018 309.05 -0.05 -5829.70 0.09 624.70 0.01
2019 49.14 0.24 207.57 0.07 -803.40 -0.01
2015 2.57 0.12 22.03 1.22 -2154.79 -0.03
2016 1.63 0.06 26.60 1.72 -2718.94 -0.04
SKBM 2017 1.21 0.03 47.69 0.59 -1086.78 -0.01
2018 1.15 0.02 75.18 0.70 -1227.31 -0.02
2019 0.68 0.00 739.46 0.76 -1334.07 -0.02
2015 0.38 0.02 21.35 2.28 -3400.83 -0.05
2016 0.92 -0.98 -0.94 2.78 -1899.90 -0.03
MGNA 2017 1.44 -0.67 -2.15 3.22 -3190.28 -0.04
2018 3.03 -2.23 -1.36 11.35 -10975.66 -0.15
2019 -0.48 1.16 -0.41 -1.85 -202.82 0.00
Lampiran 3. Analisis Regresi Panel DROP 1

Lagrange Multiplier Test

Lagrange Multiplier Tests for Random Effects

Null hypotheses: No effects
Alternative hypotheses: Two-sided (Breusch-Pagan) and one-sided
        (all others) alternatives

Test Hypothesis
Cross-section Time Both

Breusch-Pagan  9.738252  0.300132  10.03838

(0.0018) (0.5838) (0.0015)

Honda -3.120617 -0.547843 -2.593993

-- -- --

King-Wu -3.120617 -0.547843 -1.506555

-- -- --

Standardized Honda -2.953503 -0.271562 -7.444642

-- -- --
Standardized King-Wu -2.953503 -0.271562 -4.698763
-- -- --
Gourierioux, et al.* -- --  0.000000
(>= 0.10)

*Mixed chi-square asymptotic critical values:

1% 7.289
5% 4.321
10% 2.952
Chow Test

Redundant Fixed Effects Tests

Equation: EQ
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 0.495525 (36,145) 0.9922

Cross-section Chi-square 21.465129 36 0.9737

Cross-section fixed effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 15:59
Sample: 2015 2019
Periods included: 5
Cross-sections included: 37
Total panel (balanced) observations: 185

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 19.28296 22.50843 0.856700 0.3927

PER -0.056661 0.001279 -44.29330 0.0000
DER 10.74228 7.302393 1.471063 0.1430
C 1.189169 11.28544 0.105372 0.9162

R-squared 0.916116    Mean dependent var 49.32078

Adjusted R-squared 0.914725    S.D. dependent var 382.4664
S.E. of regression 111.6873    Akaike info criterion 12.29067
Sum squared resid 2257802.    Schwarz criterion 12.36030
Log likelihood -1132.887    Hannan-Quinn criter. 12.31889
F-statistic 658.9100    Durbin-Watson stat 3.146716
Prob(F-statistic) 0.000000
Common Effect Model (CEM)

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 15:58
Sample: 2015 2019
Periods included: 5
Cross-sections included: 37
Total panel (balanced) observations: 185

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 19.28296 22.50843 0.856700 0.3927

PER -0.056661 0.001279 -44.29330 0.0000
DER 10.74228 7.302393 1.471063 0.1430
C 1.189169 11.28544 0.105372 0.9162

R-squared 0.916116    Mean dependent var 49.32078

Adjusted R-squared 0.914725    S.D. dependent var 382.4664
S.E. of regression 111.6873    Akaike info criterion 12.29067
Sum squared resid 2257802.    Schwarz criterion 12.36030
Log likelihood -1132.887    Hannan-Quinn criter. 12.31889
F-statistic 658.9100    Durbin-Watson stat 3.146716
Prob(F-statistic) 0.000000
Fixed Effect Model (FEM)

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 15:59
Sample: 2015 2019
Periods included: 5
Cross-sections included: 37
Total panel (balanced) observations: 185

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 30.06737 52.19209 0.576091 0.5654

PER -0.052338 0.001759 -29.74727 0.0000
DER 16.38930 13.09439 1.251628 0.2127
C -2.350672 19.14378 -0.122790 0.9024

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.925305    Mean dependent var 49.32078

Adjusted R-squared 0.905215    S.D. dependent var 382.4664
S.E. of regression 117.7508    Akaike info criterion 12.56383
Sum squared resid 2010461.    Schwarz criterion 13.26012
Log likelihood -1122.154    Hannan-Quinn criter. 12.84602
F-statistic 46.05715    Durbin-Watson stat 3.249612
Prob(F-statistic) 0.000000
Random Effect Model (REM)

Dependent Variable: PBV

Method: Panel EGLS (Cross-section random effects)
Date: 09/28/21 Time: 16:00
Sample: 2015 2019
Periods included: 5
Cross-sections included: 37
Total panel (balanced) observations: 185
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 19.28296 23.73042 0.812584 0.4175

PER -0.056661 0.001349 -42.01243 0.0000
DER 10.74228 7.698842 1.395311 0.1646
C 1.189169 11.89813 0.099946 0.9205

Effects Specification
S.D.   Rho  

Cross-section random 0.000000 0.0000

Idiosyncratic random 117.7508 1.0000

Weighted Statistics

R-squared 0.916116    Mean dependent var 49.32078

Adjusted R-squared 0.914725    S.D. dependent var 382.4664
S.E. of regression 111.6873    Sum squared resid 2257802.
F-statistic 658.9100    Durbin-Watson stat 3.146716
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.916116    Mean dependent var 49.32078

Sum squared resid 2257802.    Durbin-Watson stat 3.146716
Asumsi Klasik
Asumsi Normalitas

Asumsi Heteroskedastisitas

Dependent Variable: ABSRES

Method: Panel Least Squares
Date: 09/28/21 Time: 16:02
Sample: 2015 2019
Periods included: 5
Cross-sections included: 37
Total panel (balanced) observations: 185

Variable Coefficient Std. Error t-Statistic Prob.  

ROE -9.044049 17.20128 -0.525778 0.5997

PER -0.010418 0.000978 -10.65664 0.0000
DER 10.40939 5.580597 1.865283 0.0638
C 7.897014 8.624500 0.915649 0.3611

R-squared 0.392080    Mean dependent var 21.90268

Adjusted R-squared 0.382004    S.D. dependent var 108.5741
S.E. of regression 85.35306    Akaike info criterion 11.75285
Sum squared resid 1318611.    Schwarz criterion 11.82248
Log likelihood -1083.139    Hannan-Quinn criter. 11.78107
F-statistic 38.91212    Durbin-Watson stat 2.876859
Prob(F-statistic) 0.000000
Asumsi Multikolinieritas

ROE PER DER

ROE  1.000000  0.059517 -0.226821

PER  0.059517  1.000000  0.089008
DER -0.226821  0.089008  1.000000

Asumsi Autokorelasi

Dependent Variable: PBV

Method: Panel EGLS (Cross-section random effects)
Date: 09/28/21 Time: 16:01
Sample: 2015 2019
Periods included: 5
Cross-sections included: 37
Total panel (balanced) observations: 185
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 19.28296 23.73042 0.812584 0.4175

PER -0.056661 0.001349 -42.01243 0.0000
DER 10.74228 7.698842 1.395311 0.1646
C 1.189169 11.89813 0.099946 0.9205

Effects Specification
S.D.   Rho  

Cross-section random 0.000000 0.0000

Idiosyncratic random 117.7508 1.0000

Weighted Statistics

R-squared 0.916116    Mean dependent var 49.32078

Adjusted R-squared 0.914725    S.D. dependent var 382.4664
S.E. of regression 111.6873    Sum squared resid 2257802.
F-statistic 658.9100    Durbin-Watson stat 3.146716
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.916116    Mean dependent var 49.32078

Sum squared resid 2257802.    Durbin-Watson stat 3.146716
Identifikasi Outlier

  LM Test Chow Test Hausman Test Model Terbaik

Chi Square 9.738 21.465 -
Probabilitas 0.002 0.974 - REM
Model Terpilih REM CEM -

Sehingga residual diperoleh dari model Random Effect Model

Residua Keteranga
Kode Period PBV ROE PER DER Zresid
l n
2015 0.26 0.02 13.45 1.95 -21.54 -0.19
2016 0.34 0.03 10.13 1.52 -17.21 -0.16
BUDI 2017 0.35 0.04 9.26 1.46 -16.74 -0.15
2018 0.35 0.04 8.56 1.77 -20.12 -0.18
2019 0.46 0.05 9.14 1.33 -15.51 -0.14
2015 0.63 0.17 3.77 1.32 -17.76 -0.16
2016 0.90 0.28 3.22 0.61 -12.03 -0.11
CEKA 2017 0.85 0.12 7.15 0.54 -8.05 -0.07
2018 0.84 0.09 8.83 0.20 -3.80 -0.03
2019 0.88 0.19 4.61 0.23 -6.21 -0.06
2015 4.90 0.23 21.69 0.22 -1.80 -0.02
2016 3.96 0.25 15.74 0.18 -3.16 -0.03
DLTA 2017 3.21 0.24 13.14 0.17 -3.79 -0.03
2018 3.43 0.26 13.03 0.19 -4.10 -0.04
2019 4.49 0.26 17.14 0.18 -2.66 -0.02
2015 4.79 0.18 26.88 0.62 -4.98 -0.04
2016 5.41 0.20 27.54 0.56 -4.05 -0.04
ICBP 2017 5.11 0.17 29.29 0.56 -3.75 -0.03
2018 5.37 0.21 26.16 0.51 -3.81 -0.03
2019 4.88 0.20 24.26 0.45 -3.66 -0.03
2015 22.54 0.65 34.77 1.74 -7.88 -0.07
2016 30.17 1.20 25.21 1.77 -11.71 -0.11
MLBI 2017 27.06 1.24 21.79 1.36 -11.42 -0.10
2018 28.87 1.05 27.52 1.47 -6.83 -0.06
2019 28.50 1.05 27.08 1.53 -7.86 -0.07
2015 5.25 0.24 21.81 1.18 -12.06 -0.11
2016 5.87 0.22 26.49 1.06 -9.51 -0.09
MYOR 2017 6.14 0.22 27.69 1.03 -8.80 -0.08
2018 6.86 0.21 33.28 1.06 -7.80 -0.07
2019 4.63 0.21 22.48 0.92 -9.17 -0.08
 2015 4.22 0.18 23.67 0.78 -7.48 -0.07
2016 5.61 0.19 28.95 1.02 -8.67 -0.08
ROTI 2017 2.80 0.05 58.28 0.62 -2.64 -0.02
2018 2.55 0.04 58.38 0.51 -1.62 -0.01
2019 2.60 0.08 34.01 0.51 -3.66 -0.03
2015 1.68 0.13 12.74 1.48 -17.23 -0.16
2016 0.72 0.07 10.31 0.92 -11.10 -0.10
SKLT 2017 2.47 0.07 33.09 1.07 -9.76 -0.09
2018 3.06 0.09 32.44 1.20 -11.03 -0.10
2019 2.92 0.12 24.75 1.08 -10.73 -0.10
2015 1.05 0.09 12.25 1.13 -13.23 -0.12
2016 1.58 0.12 13.21 0.87 -10.52 -0.09
INDF 2017 1.43 0.11 13.01 0.88 -10.60 -0.10
2018 1.31 0.10 13.18 0.93 -11.08 -0.10
2019 1.28 0.11 11.79 0.77 -9.66 -0.09
2015 2.78 0.17 16.40 0.67 -7.96 -0.07
2016 3.11 0.17 18.42 0.59 -6.64 -0.06
GGRM 2017 3.82 0.18 20.79 0.58 -5.99 -0.05
2018 3.56 0.17 20.65 0.53 -5.49 -0.05
2019 2.00 0.21 9.37 0.54 -8.62 -0.08
2015 13.07 0.31 42.20 0.14 6.84 0.06
2016 13.91 0.40 34.91 0.19 5.01 0.05
HMSP 2017 16.10 0.37 43.42 0.24 7.60 0.07
2018 12.20 0.38 31.88 0.32 2.02 0.02
2019 6.85 0.38 17.80 0.43 -5.33 -0.05
2015 1.34 0.11 12.04 0.41 -5.76 -0.05
2016 1.63 0.14 11.55 0.42 -6.12 -0.06
DVLA 2017 1.76 0.15 12.10 0.47 -6.60 -0.06
2018 1.62 0.17 9.65 0.40 -6.58 -0.06
2019 1.72 0.17 10.14 0.40 -6.48 -0.06
2015 2.35 0.13 18.20 0.67 -7.50 -0.07
2016 6.72 0.12 56.24 1.03 -4.66 -0.04
KAEF 2017 5.83 0.13 46.30 1.37 -9.88 -0.09
2018 3.48 0.22 15.50 1.73 -19.77 -0.18
2019 0.94 0.64 1.45 1.48 -28.46 -0.26
2015 5.66 0.19 30.07 0.25 -0.16 0.00
2016 5.70 0.19 30.21 0.22 0.20 0.00
KLBF 2017 5.70 0.18 32.29 0.20 0.83 0.01
2018 4.66 0.16 28.53 0.19 -0.07 0.00
2019 4.55 0.15 29.92 0.21 -0.17 0.00
2015 0.59 0.03 19.41 0.58 -6.32 -0.06
PYFA 2016 1.01 0.05 20.79 0.58 -6.20 -0.06
2017 0.90 0.07 13.74 0.47 -5.78 -0.05
 2018 0.85 0.07 11.97 0.57 -7.18 -0.06
2019 0.85 0.07 11.34 0.53 -6.83 -0.06
2015 1.82 0.12 14.88 0.45 -5.71 -0.05
2016 1.91 0.12 16.25 0.42 -5.15 -0.05
TSPC 2017 1.59 0.11 14.53 0.46 -5.86 -0.05
2018 1.15 0.10 11.58 0.45 -6.12 -0.06
2019 1.08 0.10 10.55 0.45 -6.28 -0.06
2015 3.09 0.15 20.87 0.81 -8.45 -0.08
2016 2.22 0.09 23.91 0.68 -6.74 -0.06
KINO 2017 1.47 0.05 27.62 0.58 -5.36 -0.05
2018 1.83 0.07 26.65 0.64 -6.08 -0.05
2019 1.81 0.19 9.51 0.74 -10.44 -0.09
2015 1.93 0.32 6.09 0.21 -7.33 -0.07
2016 1.41 0.09 15.50 0.23 -3.08 -0.03
TCID 2017 1.94 0.10 20.09 0.27 -2.88 -0.03
2018 1.76 0.09 20.04 0.24 -2.56 -0.02
2019 1.10 0.07 15.23 0.26 -3.45 -0.03
2015 58.48 1.21 48.24 2.26 12.39 0.11
2016 62.93 1.36 46.32 2.56 10.67 0.10
UNVR 2017 82.44 1.35 60.89 2.65 30.08 0.27
2018 46.91 1.23 38.15 1.75 5.34 0.05
2019 60.67 1.40 43.35 2.91 3.69 0.03
2015 1.07 0.09 11.47 0.21 -3.58 -0.03
2016 0.97 0.06 15.33 0.22 -2.97 -0.03
CINT 2017 0.87 0.08 11.27 0.25 -3.82 -0.03
2018 0.73 0.03 20.95 0.26 -2.78 -0.03
2019 0.78 0.02 41.82 0.34 -2.04 -0.02
2015 1.32 0.07 18.24 0.44 -4.95 -0.04
2016 1.02 0.10 10.54 0.32 -4.91 -0.04
ADES 2017 0.78 0.06 13.65 0.26 -3.51 -0.03
2018 0.93 0.12 7.75 0.51 -7.66 -0.07
2019 1.09 0.19 5.60 0.45 -8.34 -0.08
2015 3.92 0.18 21.27 0.90 -9.32 -0.08
2016 3.58 0.19 19.19 1.00 -10.86 -0.10
STTP 2017 4.12 0.16 26.44 0.69 -6.00 -0.05
2018 2.98 0.20 15.13 0.60 -7.58 -0.07
2019 2.74 0.28 9.71 0.34 -7.01 -0.06
2015 0.24 0.00 85.11 0.32 0.39 0.00
2016 0.24 -0.02 -16.20 0.31 -4.89 -0.04
MRAT 2017 0.24 0.00 -68.72 0.36 -8.60 -0.08
2018 0.21 -0.01 -33.96 0.39 -6.99 -0.06
2019 0.18 0.00 496.09 0.45 22.31 0.20
MBTO 2015 0.34 -0.03 -10.66 0.49 -6.13 -0.06
 2016 0.45 0.02 22.46 0.61 -6.41 -0.06
2017 0.35 -0.06 -5.85 0.89 -9.59 -0.09
2018 0.21 -0.18 -1.18 0.54 -3.41 -0.03
2019 0.17 -0.11 -1.50 0.60 -5.39 -0.05
2015 0.28 0.01 28.73 0.98 -9.96 -0.09
2016 0.33 0.02 19.65 0.99 -10.65 -0.10
LMPI 2017 0.45 -0.08 -5.41 1.22 -12.54 -0.11
2018 0.32 -0.10 -3.13 1.00 -9.83 -0.09
2019 0.31 -0.14 -2.16 1.55 -14.87 -0.13
2015 0.37 -0.14 -2.65 0.43 -2.94 -0.03
2016 0.37 0.00 91.24 0.57 -1.86 -0.02
KICI 2017 0.52 0.09 5.94 0.63 -8.81 -0.08
2018 0.83 -0.01 -89.68 0.63 -12.01 -0.11
2019 0.64 -0.04 -17.57 0.75 -8.90 -0.08
2015 0.88 0.01 79.29 1.59 -13.09 -0.12
2016 25.19 -0.03 -835.11 1.40 -37.77 -0.34
INAF 2017 34.73 -0.09 -395.03 1.91 -7.62 -0.07
2018 40.56 -0.07 -615.33 1.90 -14.68 -0.13
2019 5.34 0.02 338.62 1.74 4.33 0.04
2015 3.18 0.17 18.86 0.08 -1.01 -0.01
2016 2.83 0.17 16.23 0.08 -1.70 -0.02
SIDO 2017 2.82 0.18 15.31 0.09 -2.03 -0.02
2018 4.34 0.23 18.98 0.15 -1.79 -0.02
2019 6.24 0.26 23.68 0.15 -0.34 0.00
2015 1.85 0.14 13.29 0.42 -5.81 -0.05
2016 1.80 0.11 16.77 0.37 -4.44 -0.04
WIIM 2017 1.20 0.04 28.94 0.25 -1.87 -0.02
2018 0.57 0.05 11.17 0.25 -3.64 -0.03
2019 0.66 0.03 24.90 0.26 -2.40 -0.02
2015 -1.17 0.52 -2.25 -3.93 29.68 0.27
2016 1.87 -0.22 -8.45 0.04 4.00 0.04
RMBA 2017 1.55 -0.05 -28.81 0.05 -0.80 -0.01
2018 1.36 -0.07 -18.67 0.06 -0.11 0.00
2019 1.43 0.01 237.34 0.30 10.36 0.09
2015 22.54 0.65 34.77 1.74 -7.88 -0.07
2016 10.88 0.43 25.21 0.64 -4.07 -0.04
MLBI 2017 11.48 0.53 21.79 0.46 -3.53 -0.03
2018 28.87 1.05 27.52 1.47 -6.83 -0.06
2019 28.50 1.05 27.08 1.53 -7.86 -0.07
2015 1.40 -0.05 -29.19 1.33 -14.78 -0.13
2016 1.50 -0.09 -16.95 1.42 -14.22 -0.13
ALTO
2017 2.03 -0.09 -23.80 1.65 -16.55 -0.15
2018 2.26 -0.09 -26.55 1.84 -18.53 -0.17
 2019 2.29 -0.02 -118.17 1.87 -25.30 -0.23
2015 1.46 0.09 15.50 1.28 -14.46 -0.13
2016 2.18 0.17 12.95 1.17 -14.09 -0.13
AISA 2017 0.67 -0.25 -2.69 1.56 -12.66 -0.11
2018 -0.92 0.03 -30.65 -1.53 11.98 0.11
2019 -1.90 -0.97 1.96 -2.13 38.64 0.35
2015 24.85 0.00 7299.26 5.33 379.96 3.43 Outlier
2016 5.83 -0.06 -93.22 2.38 -25.04 -0.23
BTEK 2017 0.47 -0.02 -22.51 1.60 -18.83 -0.17
2018 3.07 -0.05 -60.74 1.28 -14.39 -0.13
2019 1.08 -0.06 -19.62 1.32 -14.36 -0.13
-
4106.7
2015 -0.05 81154.9 0.04 -492.18 -4.44 Outlier
7
2
-
3194.3
2016 -0.10 32470.0 0.30 1352.02 12.21 Outlier
4
IIKP 4
-
2017 407.39 -0.05 0.08 -106.35 -0.96
9046.21
-
2018 309.05 -0.05 0.09 -22.36 -0.20
5829.70
2019 49.14 0.24 207.57 0.07 54.40 0.49
2015 2.57 0.12 22.03 1.22 -12.74 -0.12
2016 1.63 0.06 26.60 1.72 -17.70 -0.16
SKBM 2017 1.21 0.03 47.69 0.59 -4.07 -0.04
2018 1.15 0.02 75.18 0.70 -3.62 -0.03
2019 0.68 0.00 739.46 0.76 33.24 0.30
2015 0.38 0.02 21.35 2.28 -24.47 -0.22
2016 0.92 -0.98 -0.94 2.78 -11.18 -0.10
MGNA 2017 1.44 -0.67 -2.15 3.22 -21.54 -0.19
2018 3.03 -2.23 -1.36 11.35 -77.20 -0.70
2019 -0.48 1.16 -0.41 -1.85 -4.19 -0.04
Lampiran 4. Analisis Regresi Panel DROP 2

Lagrange Multiplier Test

Lagrange Multiplier Tests for Random Effects

Null hypotheses: No effects
Alternative hypotheses: Two-sided (Breusch-Pagan) and one-sided
        (all others) alternatives

Test Hypothesis
Cross-section Time Both

Breusch-Pagan  57.69757  1.014655  58.71222

(0.0000) (0.3138) (0.0000)

Honda  7.595892 -1.007301  4.658837

(0.0000) -- (0.0000)

King-Wu  7.595892 -1.007301  1.511622

(0.0000) -- (0.0653)

Standardized Honda  8.017644 -0.775067  0.663343

(0.0000) -- (0.2536)

Standardized King-Wu  8.017644 -0.775067 -1.304633

(0.0000) -- --
Gourierioux, et al.* -- --  57.69757
(< 0.01)

*Mixed chi-square asymptotic critical values:

1% 7.289
5% 4.321
10% 2.952
Chow Test

Redundant Fixed Effects Tests

Equation: EQ
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 13.691057 (34,137) 0.0000

Cross-section Chi-square 259.192497 34 0.0000

Cross-section fixed effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 16:06
Sample: 2015 2019
Periods included: 5
Cross-sections included: 35
Total panel (balanced) observations: 175

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 24.66244 1.370445 17.99593 0.0000

PER -0.021468 0.004474 -4.798968 0.0000
DER 5.154702 0.465311 11.07797 0.0000
C -1.914013 0.701327 -2.729129 0.0070

R-squared 0.696568    Mean dependent var 5.841910

Adjusted R-squared 0.691244    S.D. dependent var 12.15293
S.E. of regression 6.752872    Akaike info criterion 6.680405
Sum squared resid 7797.819    Schwarz criterion 6.752743
Log likelihood -580.5354    Hannan-Quinn criter. 6.709747
F-statistic 130.8508    Durbin-Watson stat 0.736511
Prob(F-statistic) 0.000000
Hausman Test

Correlated Random Effects - Hausman Test

Equation: EQ
Test cross-section random effects

Chi-Sq.
Test Summary Statistic Chi-Sq. d.f. Prob. 

Cross-section random 78.965307 3 0.0000

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

ROE 4.516075 13.079527 0.962407 0.0000

PER -0.016672 -0.017315 0.000000 0.2803
DER 1.493363 3.239040 0.049461 0.0000

Cross-section random effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 16:07
Sample: 2015 2019
Periods included: 5
Cross-sections included: 35
Total panel (balanced) observations: 175

Variable Coefficient Std. Error t-Statistic Prob.  

C 4.168597 0.626447 6.654349 0.0000

ROE 4.516075 1.663148 2.715377 0.0075
PER -0.016672 0.002812 -5.928642 0.0000
DER 1.493363 0.434630 3.435943 0.0008

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.931003    Mean dependent var 5.841910

Adjusted R-squared 0.912369    S.D. dependent var 12.15293
S.E. of regression 3.597572    Akaike info criterion 5.587876
Sum squared resid 1773.126    Schwarz criterion 6.275087
Log likelihood -450.9392    Hannan-Quinn criter. 5.866628
F-statistic 49.96222    Durbin-Watson stat 2.216410
Prob(F-statistic) 0.000000
Common Effect Model (CEM)

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 16:05
Sample: 2015 2019
Periods included: 5
Cross-sections included: 35
Total panel (balanced) observations: 175

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 24.66244 1.370445 17.99593 0.0000

PER -0.021468 0.004474 -4.798968 0.0000
DER 5.154702 0.465311 11.07797 0.0000
C -1.914013 0.701327 -2.729129 0.0070

R-squared 0.696568    Mean dependent var 5.841910

Adjusted R-squared 0.691244    S.D. dependent var 12.15293
S.E. of regression 6.752872    Akaike info criterion 6.680405
Sum squared resid 7797.819    Schwarz criterion 6.752743
Log likelihood -580.5354    Hannan-Quinn criter. 6.709747
F-statistic 130.8508    Durbin-Watson stat 0.736511
Prob(F-statistic) 0.000000
Fixed Effect Model (FEM)
Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 16:06
Sample: 2015 2019
Periods included: 5
Cross-sections included: 35
Total panel (balanced) observations: 175

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 4.516075 1.663148 2.715377 0.0075

PER -0.016672 0.002812 -5.928642 0.0000
DER 1.493363 0.434630 3.435943 0.0008
C 4.168597 0.626447 6.654349 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.931003    Mean dependent var 5.841910

Adjusted R-squared 0.912369    S.D. dependent var 12.15293
S.E. of regression 3.597572    Akaike info criterion 5.587876
Sum squared resid 1773.126    Schwarz criterion 6.275087
Log likelihood -450.9392    Hannan-Quinn criter. 5.866628
F-statistic 49.96222    Durbin-Watson stat 2.216410
Prob(F-statistic) 0.000000
Random Effect Model (REM)

Dependent Variable: PBV

Method: Panel EGLS (Cross-section random effects)
Date: 09/28/21 Time: 16:07
Sample: 2015 2019
Periods included: 5
Cross-sections included: 35
Total panel (balanced) observations: 175
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 13.07953 1.343002 9.739021 0.0000

PER -0.017315 0.002748 -6.300302 0.0000
DER 3.239040 0.373419 8.674016 0.0000
C 1.408796 0.918248 1.534221 0.1268

Effects Specification
S.D.   Rho  

Cross-section random 4.423338 0.6019

Idiosyncratic random 3.597572 0.3981

Weighted Statistics

R-squared 0.373523    Mean dependent var 1.996867

Adjusted R-squared 0.362532    S.D. dependent var 5.415021
S.E. of regression 4.323440    Sum squared resid 3196.355
F-statistic 33.98493    Durbin-Watson stat 1.249219
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.560241    Mean dependent var 5.841910

Sum squared resid 11301.23    Durbin-Watson stat 0.353320
Asumsi Klasik
Asumsi Normalitas

Asumsi Heteroskedastisitas

Dependent Variable: ABSRES

Method: Panel Least Squares
Date: 09/28/21 Time: 16:08
Sample: 2015 2019
Periods included: 5
Cross-sections included: 35
Total panel (balanced) observations: 175

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 2.210181 0.534384 4.135943 0.0001

PER -0.001295 0.001744 -0.742574 0.4588
DER 0.735537 0.181441 4.053869 0.0001
C 0.575542 0.273472 2.104577 0.0368

R-squared 0.139937    Mean dependent var 1.501550

Adjusted R-squared 0.124848    S.D. dependent var 2.814742
S.E. of regression 2.633178    Akaike info criterion 4.796852
Sum squared resid 1185.650    Schwarz criterion 4.869190
Log likelihood -415.7245    Hannan-Quinn criter. 4.826194
F-statistic 9.274218    Durbin-Watson stat 1.184323
Prob(F-statistic) 0.000010
Asumsi Multikolinieritas

ROE PER DER

ROE  1.000000  0.078660 -0.230756

PER  0.078660  1.000000 -0.067405
DER -0.230756 -0.067405  1.000000

Asumsi Autokorelasi

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 16:07
Sample: 2015 2019
Periods included: 5
Cross-sections included: 35
Total panel (balanced) observations: 175

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 4.516075 1.663148 2.715377 0.0075

PER -0.016672 0.002812 -5.928642 0.0000
DER 1.493363 0.434630 3.435943 0.0008
C 4.168597 0.626447 6.654349 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.931003    Mean dependent var 5.841910

Adjusted R-squared 0.912369    S.D. dependent var 12.15293
S.E. of regression 3.597572    Akaike info criterion 5.587876
Sum squared resid 1773.126    Schwarz criterion 6.275087
Log likelihood -450.9392    Hannan-Quinn criter. 5.866628
F-statistic 49.96222    Durbin-Watson stat 2.216410
Prob(F-statistic) 0.000000
Identifikasi Outlier

  LM Test Chow Test Hausman Test Model Terbaik

Chi Square 57.698 259.192 78.965
Probabilitas 0.000 0.000 0.000 FEM
Model Terpilih REM FEM FEM

Sehingga residual diperoleh dari model Fixed Effect Model

Residua Keteranga
Kode Period PBV ROE PER DER Zresid
l n
2015 0.26 0.02 13.45 1.95 -0.48 -0.15
2016 0.34 0.03 10.13 1.52 0.13 0.04
BUDI 2017 0.35 0.04 9.26 1.46 0.20 0.06
2018 0.35 0.04 8.56 1.77 -0.29 -0.09
2019 0.46 0.05 9.14 1.33 0.43 0.14
2015 0.63 0.17 3.77 1.32 -1.31 -0.41
2016 0.90 0.28 3.22 0.61 -0.49 -0.15
CEKA 2017 0.85 0.12 7.15 0.54 0.35 0.11
2018 0.84 0.09 8.83 0.20 0.99 0.31
2019 0.88 0.19 4.61 0.23 0.47 0.15
2015 4.90 0.23 21.69 0.22 1.05 0.33
2016 3.96 0.25 15.74 0.18 -0.05 -0.02
DLTA 2017 3.21 0.24 13.14 0.17 -0.79 -0.25
2018 3.43 0.26 13.03 0.19 -0.68 -0.21
2019 4.49 0.26 17.14 0.18 0.47 0.15
2015 4.79 0.18 26.88 0.62 -0.38 -0.12
2016 5.41 0.20 27.54 0.56 0.25 0.08
ICBP 2017 5.11 0.17 29.29 0.56 0.09 0.03
2018 5.37 0.21 26.16 0.51 0.22 0.07
2019 4.88 0.20 24.26 0.45 -0.19 -0.06
2015 22.54 0.65 34.77 1.74 -3.25 -1.02
2016 30.17 1.20 25.21 1.77 1.69 0.53
MLBI 2017 27.06 1.24 21.79 1.36 -1.06 -0.33
2018 28.87 1.05 27.52 1.47 1.55 0.48
2019 28.50 1.05 27.08 1.53 1.07 0.34
2015 5.25 0.24 21.81 1.18 -0.87 -0.27
2016 5.87 0.22 26.49 1.06 0.10 0.03
MYOR
2017 6.14 0.22 27.69 1.03 0.44 0.14
2018 6.86 0.21 33.28 1.06 1.27 0.40
 2019 4.63 0.21 22.48 0.92 -0.93 -0.29
2015 4.22 0.18 23.67 0.78 -0.08 -0.02
2016 5.61 0.19 28.95 1.02 0.98 0.31
ROTI 2017 2.80 0.05 58.28 0.62 -0.09 -0.03
2018 2.55 0.04 58.38 0.51 -0.15 -0.05
2019 2.60 0.08 34.01 0.51 -0.66 -0.21
2015 1.68 0.13 12.74 1.48 -1.30 -0.41
2016 0.72 0.07 10.31 0.92 -1.19 -0.37
SKLT 2017 2.47 0.07 33.09 1.07 0.70 0.22
2018 3.06 0.09 32.44 1.20 0.98 0.31
2019 2.92 0.12 24.75 1.08 0.80 0.25
2015 1.05 0.09 12.25 1.13 -0.52 -0.16
2016 1.58 0.12 13.21 0.87 0.26 0.08
INDF 2017 1.43 0.11 13.01 0.88 0.14 0.04
2018 1.31 0.10 13.18 0.93 -0.01 0.00
2019 1.28 0.11 11.79 0.77 0.13 0.04
2015 2.78 0.17 16.40 0.67 -0.36 -0.11
2016 3.11 0.17 18.42 0.59 0.12 0.04
GGRM 2017 3.82 0.18 20.79 0.58 0.82 0.26
2018 3.56 0.17 20.65 0.53 0.69 0.22
2019 2.00 0.21 9.37 0.54 -1.27 -0.40
2015 13.07 0.31 42.20 0.14 1.24 0.39
2016 13.91 0.40 34.91 0.19 1.48 0.46
HMSP 2017 16.10 0.37 43.42 0.24 3.85 1.21
2018 12.20 0.38 31.88 0.32 -0.40 -0.13
2019 6.85 0.38 17.80 0.43 -6.17 -1.93
2015 1.34 0.11 12.04 0.41 -0.09 -0.03
2016 1.63 0.14 11.55 0.42 0.05 0.02
DVLA 2017 1.76 0.15 12.10 0.47 0.10 0.03
2018 1.62 0.17 9.65 0.40 -0.08 -0.03
2019 1.72 0.17 10.14 0.40 0.02 0.01
2015 2.35 0.13 18.20 0.67 -0.26 -0.08
2016 6.72 0.12 56.24 1.03 4.26 1.33
KAEF 2017 5.83 0.13 46.30 1.37 2.66 0.83
2018 3.48 0.22 15.50 1.73 -1.19 -0.37
2019 0.94 0.64 1.45 1.48 -5.48 -1.72
2015 5.66 0.19 30.07 0.25 0.28 0.09
2016 5.70 0.19 30.21 0.22 0.37 0.11
KLBF 2017 5.70 0.18 32.29 0.20 0.50 0.16
2018 4.66 0.16 28.53 0.19 -0.53 -0.17
2019 4.55 0.15 29.92 0.21 -0.61 -0.19
2015 0.59 0.03 19.41 0.58 -0.11 -0.03
PYFA
2016 1.01 0.05 20.79 0.58 0.25 0.08
 2017 0.90 0.07 13.74 0.47 0.12 0.04
2018 0.85 0.07 11.97 0.57 -0.15 -0.05
2019 0.85 0.07 11.34 0.53 -0.11 -0.03
2015 1.82 0.12 14.88 0.45 0.27 0.08
2016 1.91 0.12 16.25 0.42 0.45 0.14
TSPC 2017 1.59 0.11 14.53 0.46 0.08 0.02
2018 1.15 0.10 11.58 0.45 -0.35 -0.11
2019 1.08 0.10 10.55 0.45 -0.44 -0.14
2015 3.09 0.15 20.87 0.81 0.64 0.20
2016 2.22 0.09 23.91 0.68 0.26 0.08
KINO 2017 1.47 0.05 27.62 0.58 -0.08 -0.03
2018 1.83 0.07 26.65 0.64 0.09 0.03
2019 1.81 0.19 9.51 0.74 -0.91 -0.28
2015 1.93 0.32 6.09 0.21 -0.64 -0.20
2016 1.41 0.09 15.50 0.23 0.00 0.00
TCID 2017 1.94 0.10 20.09 0.27 0.51 0.16
2018 1.76 0.09 20.04 0.24 0.42 0.13
2019 1.10 0.07 15.23 0.26 -0.29 -0.09
2015 58.48 1.21 48.24 2.26 -3.10 -0.97
2016 62.93 1.36 46.32 2.56 0.21 0.07
UNVR 2017 82.44 1.35 60.89 2.65 19.85 6.22 Outlier
2018 46.91 1.23 38.15 1.75 -14.16 -4.43 Outlier
2019 60.67 1.40 43.35 2.91 -2.81 -0.88
2015 1.07 0.09 11.47 0.21 -0.06 -0.02
2016 0.97 0.06 15.33 0.22 0.03 0.01
CINT 2017 0.87 0.08 11.27 0.25 -0.23 -0.07
2018 0.73 0.03 20.95 0.26 -0.05 -0.02
2019 0.78 0.02 41.82 0.34 0.31 0.10
2015 1.32 0.07 18.24 0.44 0.51 0.16
2016 1.02 0.10 10.54 0.32 0.14 0.04
ADES 2017 0.78 0.06 13.65 0.26 0.23 0.07
2018 0.93 0.12 7.75 0.51 -0.38 -0.12
2019 1.09 0.19 5.60 0.45 -0.50 -0.16
2015 3.92 0.18 21.27 0.90 0.28 0.09
2016 3.58 0.19 19.19 1.00 -0.25 -0.08
STTP 2017 4.12 0.16 26.44 0.69 1.02 0.32
2018 2.98 0.20 15.13 0.60 -0.36 -0.11
2019 2.74 0.28 9.71 0.34 -0.69 -0.22
MRAT 2015 0.24 0.00 85.11 0.32 -0.07 -0.02
2016 0.24 -0.02 -16.20 0.31 -1.66 -0.52
2017 0.24 0.00 -68.72 0.36 -2.66 -0.83
2018 0.21 -0.01 -33.96 0.39 -2.15 -0.67
2019 0.18 0.00 496.09 0.45 6.54 2.05 Outlier
 2015 0.34 -0.03 -10.66 0.49 -0.13 -0.04
2016 0.45 0.02 22.46 0.61 0.12 0.04
MBTO 2017 0.35 -0.06 -5.85 0.89 -0.51 -0.16
2018 0.21 -0.18 -1.18 0.54 0.48 0.15
2019 0.17 -0.11 -1.50 0.60 0.05 0.02
2015 0.28 0.01 28.73 0.98 0.23 0.07
2016 0.33 0.02 19.65 0.99 0.09 0.03
LMPI 2017 0.45 -0.08 -5.41 1.22 -0.11 -0.04
2018 0.32 -0.10 -3.13 1.00 0.21 0.06
2019 0.31 -0.14 -2.16 1.55 -0.41 -0.13
2015 0.37 -0.14 -2.65 0.43 0.62 0.19
2016 0.37 0.00 91.24 0.57 1.34 0.42
KICI 2017 0.52 0.09 5.94 0.63 -0.41 -0.13
2018 0.83 -0.01 -89.68 0.63 -1.25 -0.39
2019 0.64 -0.04 -17.57 0.75 -0.30 -0.09
2015 0.88 0.01 79.29 1.59 -14.39 -4.51 Outlier
2016 25.19 -0.03 -835.11 1.40 -4.86 -1.52
INAF 2017 34.73 -0.09 -395.03 1.91 11.53 3.61 Outlier
2018 40.56 -0.07 -615.33 1.90 13.58 4.25 Outlier
2019 5.34 0.02 338.62 1.74 -5.86 -1.83
2015 3.18 0.17 18.86 0.08 -0.49 -0.15
2016 2.83 0.17 16.23 0.08 -0.92 -0.29
SIDO 2017 2.82 0.18 15.31 0.09 -1.00 -0.31
2018 4.34 0.23 18.98 0.15 0.29 0.09
2019 6.24 0.26 23.68 0.15 2.11 0.66
2015 1.85 0.14 13.29 0.42 0.07 0.02
2016 1.80 0.11 16.77 0.37 0.31 0.10
WIIM 2017 1.20 0.04 28.94 0.25 0.38 0.12
2018 0.57 0.05 11.17 0.25 -0.59 -0.18
2019 0.66 0.03 24.90 0.26 -0.17 -0.05
2015 -1.17 0.52 -2.25 -3.93 -0.17 -0.05
2016 1.87 -0.22 -8.45 0.04 0.18 0.06
RMBA 2017 1.55 -0.05 -28.81 0.05 -1.25 -0.39
2018 1.36 -0.07 -18.67 0.06 -1.19 -0.37
2019 1.43 0.01 237.34 0.30 2.43 0.76
2015 22.54 0.65 34.77 1.74 1.78 0.56
2016 10.88 0.43 25.21 0.64 -7.42 -2.32 Outlier
MLBI 2017 11.48 0.53 21.79 0.46 -7.03 -2.20 Outlier
2018 28.87 1.05 27.52 1.47 6.58 2.06 Outlier
2019 28.50 1.05 27.08 1.53 6.10 1.91
2015 1.40 -0.05 -29.19 1.33 0.09 0.03
ALTO 2016 1.50 -0.09 -16.95 1.42 0.44 0.14
2017 2.03 -0.09 -23.80 1.65 0.50 0.16
 2018 2.26 -0.09 -26.55 1.84 0.41 0.13
2019 2.29 -0.02 -118.17 1.87 -1.44 -0.45
2015 1.46 0.09 15.50 1.28 -1.64 -0.52
2016 2.18 0.17 12.95 1.17 -1.13 -0.35
AISA 2017 0.67 -0.25 -2.69 1.56 -1.61 -0.50
2018 -0.92 0.03 -30.65 -1.53 -0.30 -0.09
2019 -1.90 -0.97 1.96 -2.13 4.68 1.47
2015 2.57 0.12 22.03 1.22 -2.21 -0.69
2016 1.63 0.06 26.60 1.72 -3.57 -1.12
SKBM 2017 1.21 0.03 47.69 0.59 -1.79 -0.56
2018 1.15 0.02 75.18 0.70 -1.51 -0.47
2019 0.68 0.00 739.46 0.76 9.08 2.84 Outlier
2015 0.38 0.02 21.35 2.28 -1.00 -0.31
2016 0.92 -0.98 -0.94 2.78 2.95 0.92
MGNA 2017 1.44 -0.67 -2.15 3.22 1.38 0.43
2018 3.03 -2.23 -1.36 11.35 -2.13 -0.67
2019 -0.48 1.16 -0.41 -1.85 -1.20 -0.38
Lampiran 5. Analisis Regresi Panel DROP 3

Lagrange Multiplier Test

Lagrange Multiplier Tests for Random Effects

Null hypotheses: No effects
Alternative hypotheses: Two-sided (Breusch-Pagan) and one-sided
        (all others) alternatives

Test Hypothesis
Cross-section Time Both

Breusch-Pagan  71.81208  0.886995  72.69907

(0.0000) (0.3463) (0.0000)

Honda  8.474201 -0.941804  5.326209

(0.0000) -- (0.0000)

King-Wu  8.474201 -0.941804  2.067456

(0.0000) -- (0.0193)

Standardized Honda  8.937107 -0.710005  1.657039

(0.0000) -- (0.0488)

Standardized King-Wu  8.937107 -0.710005 -0.664069

(0.0000) -- --
Gourierioux, et al.* -- --  71.81208
(< 0.01)

*Mixed chi-square asymptotic critical values:

1% 7.289
5% 4.321
10% 2.952
Chow Test

Redundant Fixed Effects Tests

Equation: EQ
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 46.893358 (29,117) 0.0000

Cross-section Chi-square 380.329744 29 0.0000

Cross-section fixed effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 16:21
Sample: 2015 2019
Periods included: 5
Cross-sections included: 30
Total panel (balanced) observations: 150

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 12.92442 1.007460 12.82872 0.0000

PER 0.020224 0.010285 1.966300 0.0512
DER 2.457811 0.285478 8.609448 0.0000
C -0.297341 0.425440 -0.698902 0.4857

R-squared 0.558843    Mean dependent var 3.290465

Adjusted R-squared 0.549778    S.D. dependent var 5.216995
S.E. of regression 3.500531    Akaike info criterion 5.370011
Sum squared resid 1789.043    Schwarz criterion 5.450295
Log likelihood -398.7508    Hannan-Quinn criter. 5.402628
F-statistic 61.64920    Durbin-Watson stat 0.612019
Prob(F-statistic) 0.000000
Hausman Test

Correlated Random Effects - Hausman Test

Equation: EQ
Test cross-section random effects

Chi-Sq.
Test Summary Statistic Chi-Sq. d.f. Prob. 

Cross-section random 91.298178 3 0.0000

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

ROE 1.133911 2.638489 0.026804 0.0000

PER 0.003732 0.005315 0.000000 0.0019
DER 0.573559 0.857699 0.001511 0.0000

Cross-section random effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 16:22
Sample: 2015 2019
Periods included: 5
Cross-sections included: 30
Total panel (balanced) observations: 150

Variable Coefficient Std. Error t-Statistic Prob.  

C 2.686939 0.186766 14.38665 0.0000

ROE 1.133911 0.553322 2.049278 0.0427
PER 0.003732 0.003795 0.983438 0.3274
DER 0.573559 0.143325 4.001821 0.0001

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.965052    Mean dependent var 3.290465

Adjusted R-squared 0.955493    S.D. dependent var 5.216995
S.E. of regression 1.100611    Akaike info criterion 3.221146
Sum squared resid 141.7273    Schwarz criterion 3.883486
Log likelihood -208.5860    Hannan-Quinn criter. 3.490234
F-statistic 100.9625    Durbin-Watson stat 1.665755
Prob(F-statistic) 0.000000
Common Effect Model (CEM)

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 16:20
Sample: 2015 2019
Periods included: 5
Cross-sections included: 30
Total panel (balanced) observations: 150

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 12.92442 1.007460 12.82872 0.0000

PER 0.020224 0.010285 1.966300 0.0512
DER 2.457811 0.285478 8.609448 0.0000
C -0.297341 0.425440 -0.698902 0.4857

R-squared 0.558843    Mean dependent var 3.290465

Adjusted R-squared 0.549778    S.D. dependent var 5.216995
S.E. of regression 3.500531    Akaike info criterion 5.370011
Sum squared resid 1789.043    Schwarz criterion 5.450295
Log likelihood -398.7508    Hannan-Quinn criter. 5.402628
F-statistic 61.64920    Durbin-Watson stat 0.612019
Prob(F-statistic) 0.000000
Fixed Effect Model (FEM)
Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 16:21
Sample: 2015 2019
Periods included: 5
Cross-sections included: 30
Total panel (balanced) observations: 150

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 1.133911 0.553322 2.049278 0.0427

PER 0.003732 0.003795 0.983438 0.3274
DER 0.573559 0.143325 4.001821 0.0001
C 2.686939 0.186766 14.38665 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.965052    Mean dependent var 3.290465

Adjusted R-squared 0.955493    S.D. dependent var 5.216995
S.E. of regression 1.100611    Akaike info criterion 3.221146
Sum squared resid 141.7273    Schwarz criterion 3.883486
Log likelihood -208.5860    Hannan-Quinn criter. 3.490234
F-statistic 100.9625    Durbin-Watson stat 1.665755
Prob(F-statistic) 0.000000
Random Effect Model (REM)

Dependent Variable: PBV

Method: Panel EGLS (Cross-section random effects)
Date: 09/28/21 Time: 16:22
Sample: 2015 2019
Periods included: 5
Cross-sections included: 30
Total panel (balanced) observations: 150
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 2.638489 0.528547 4.991970 0.0000

PER 0.005315 0.003761 1.413307 0.1597
DER 0.857699 0.137951 6.217422 0.0000
C 2.282606 0.456630 4.998811 0.0000

Effects Specification
S.D.   Rho  

Cross-section random 2.296631 0.8132

Idiosyncratic random 1.100611 0.1868

Weighted Statistics

R-squared 0.154140    Mean dependent var 0.689546

Adjusted R-squared 0.136759    S.D. dependent var 1.500637
S.E. of regression 1.394254    Sum squared resid 283.8157
F-statistic 8.868445    Durbin-Watson stat 0.854536
Prob(F-statistic) 0.000019

Unweighted Statistics

R-squared 0.216963    Mean dependent var 3.290465

Sum squared resid 3175.482    Durbin-Watson stat 0.076376
Asumsi Klasik
Asumsi Normalitas

Asumsi Heteroskedastisitas

Dependent Variable: ABSRES

Method: Panel Least Squares
Date: 09/28/21 Time: 16:23
Sample: 2015 2019
Periods included: 5
Cross-sections included: 30
Total panel (balanced) observations: 150

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 0.954142 0.212395 4.492310 0.0000

PER 0.003975 0.002168 1.833045 0.0688
DER 0.194381 0.060185 3.229717 0.0015
C 0.248870 0.089692 2.774715 0.0062

R-squared 0.158177    Mean dependent var 0.561373

Adjusted R-squared 0.140879    S.D. dependent var 0.796200
S.E. of regression 0.737988    Akaike info criterion 2.256527
Sum squared resid 79.51552    Schwarz criterion 2.336811
Log likelihood -165.2395    Hannan-Quinn criter. 2.289144
F-statistic 9.144356    Durbin-Watson stat 1.413379
Prob(F-statistic) 0.000014
Asumsi Multikolinieritas

PBV ROE PER DER

PBV  1.000000  0.567767  0.201885  0.129025

ROE  0.567767  1.000000  0.161136 -0.497265
PER  0.201885  0.161136  1.000000 -0.073307
DER  0.129025 -0.497265 -0.073307  1.000000

Asumsi Autokorelasi

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 16:24
Sample: 2015 2019
Periods included: 5
Cross-sections included: 30
Total panel (balanced) observations: 150

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 1.133911 0.553322 2.049278 0.0427

PER 0.003732 0.003795 0.983438 0.3274
DER 0.573559 0.143325 4.001821 0.0001
C 2.686939 0.186766 14.38665 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.965052    Mean dependent var 3.290465

Adjusted R-squared 0.955493    S.D. dependent var 5.216995
S.E. of regression 1.100611    Akaike info criterion 3.221146
Sum squared resid 141.7273    Schwarz criterion 3.883486
Log likelihood -208.5860    Hannan-Quinn criter. 3.490234
F-statistic 100.9625    Durbin-Watson stat 1.665755
Prob(F-statistic) 0.000000
Identifikasi Outlier

  LM Test Chow Test Hausman Test Model Terbaik

Chi Square 71.812 380.330 91.298
Probabilitas 0.000 0.000 0.000 FEM
Model Terpilih REM FEM FEM

Sehingga residual diperoleh dari model Fixed Effect Model

Residua Keteranga
Kode Period PBV ROE PER DER Zresid
l n
2015 0.26 0.02 13.45 1.95 -0.29 -0.29
2016 0.34 0.03 10.13 1.52 0.04 0.04
BUDI 2017 0.35 0.04 9.26 1.46 0.09 0.09
2018 0.35 0.04 8.56 1.77 -0.09 -0.09
2019 0.46 0.05 9.14 1.33 0.25 0.26
2015 0.63 0.17 3.77 1.32 -0.61 -0.62
2016 0.90 0.28 3.22 0.61 -0.05 -0.05
CEKA 2017 0.85 0.12 7.15 0.54 0.10 0.11
2018 0.84 0.09 8.83 0.20 0.31 0.32
2019 0.88 0.19 4.61 0.23 0.24 0.25
2015 4.90 0.23 21.69 0.22 0.89 0.91
2016 3.96 0.25 15.74 0.18 -0.04 -0.04
DLTA 2017 3.21 0.24 13.14 0.17 -0.76 -0.78
2018 3.43 0.26 13.03 0.19 -0.57 -0.59
2019 4.49 0.26 17.14 0.18 0.48 0.49
2015 4.79 0.18 26.88 0.62 -0.35 -0.36
2016 5.41 0.20 27.54 0.56 0.27 0.28
ICBP 2017 5.11 0.17 29.29 0.56 0.00 0.00
2018 5.37 0.21 26.16 0.51 0.26 0.27
2019 4.88 0.20 24.26 0.45 -0.18 -0.19
2015 22.54 0.65 34.77 1.74 -4.57 -4.68 Outlier
2016 30.17 1.20 25.21 1.77 2.45 2.52 Outlier
MLBI 2017 27.06 1.24 21.79 1.36 -0.46 -0.47
2018 28.87 1.05 27.52 1.47 1.49 1.53
2019 28.50 1.05 27.08 1.53 1.08 1.11
2015 5.25 0.24 21.81 1.18 -0.58 -0.60
2016 5.87 0.22 26.49 1.06 0.11 0.11
MYOR 2017 6.14 0.22 27.69 1.03 0.40 0.41
2018 6.86 0.21 33.28 1.06 1.09 1.12
2019 4.63 0.21 22.48 0.92 -1.02 -1.04
 2015 4.22 0.18 23.67 0.78 0.59 0.61
2016 5.61 0.19 28.95 1.02 1.81 1.86
ROTI 2017 2.80 0.05 58.28 0.62 -0.71 -0.73
2018 2.55 0.04 58.38 0.51 -0.90 -0.92
2019 2.60 0.08 34.01 0.51 -0.79 -0.81
2015 1.68 0.13 12.74 1.48 -0.68 -0.70
2016 0.72 0.07 10.31 0.92 -1.24 -1.27
SKLT 2017 2.47 0.07 33.09 1.07 0.33 0.34
2018 3.06 0.09 32.44 1.20 0.82 0.84
2019 2.92 0.12 24.75 1.08 0.76 0.78
2015 1.05 0.09 12.25 1.13 -0.38 -0.39
2016 1.58 0.12 13.21 0.87 0.26 0.27
INDF 2017 1.43 0.11 13.01 0.88 0.11 0.12
2018 1.31 0.10 13.18 0.93 -0.03 -0.03
2019 1.28 0.11 11.79 0.77 0.03 0.03
2015 2.78 0.17 16.40 0.67 -0.31 -0.31
2016 3.11 0.17 18.42 0.59 0.06 0.06
GGRM 2017 3.82 0.18 20.79 0.58 0.75 0.77
2018 3.56 0.17 20.65 0.53 0.54 0.55
2019 2.00 0.21 9.37 0.54 -1.04 -1.06
2015 13.07 0.31 42.20 0.14 0.75 0.77
2016 13.91 0.40 34.91 0.19 1.50 1.53
HMSP 2017 16.10 0.37 43.42 0.24 3.65 3.74 Outlier
2018 12.20 0.38 31.88 0.32 -0.26 -0.27
2019 6.85 0.38 17.80 0.43 -5.63 -5.77 Outlier
2015 1.34 0.11 12.04 0.41 -0.23 -0.24
2016 1.63 0.14 11.55 0.42 0.02 0.02
DVLA 2017 1.76 0.15 12.10 0.47 0.11 0.12
2018 1.62 0.17 9.65 0.40 0.00 0.00
2019 1.72 0.17 10.14 0.40 0.10 0.10
2015 2.35 0.13 18.20 0.67 -1.01 -1.03
2016 6.72 0.12 56.24 1.03 3.03 3.11 Outlier
KAEF 2017 5.83 0.13 46.30 1.37 1.97 2.02 Outlier
2018 3.48 0.22 15.50 1.73 -0.58 -0.60
2019 0.94 0.64 1.45 1.48 -3.41 -3.49 Outlier
2015 5.66 0.19 30.07 0.25 0.37 0.38
2016 5.70 0.19 30.21 0.22 0.42 0.44
KLBF 2017 5.70 0.18 32.29 0.20 0.45 0.46
2018 4.66 0.16 28.53 0.19 -0.56 -0.57
2019 4.55 0.15 29.92 0.21 -0.68 -0.70
2015 0.59 0.03 19.41 0.58 -0.25 -0.26
PYFA 2016 1.01 0.05 20.79 0.58 0.14 0.15
2017 0.90 0.07 13.74 0.47 0.10 0.11
 2018 0.85 0.07 11.97 0.57 -0.01 -0.01
2019 0.85 0.07 11.34 0.53 0.01 0.01
2015 1.82 0.12 14.88 0.45 0.28 0.29
2016 1.91 0.12 16.25 0.42 0.40 0.41
TSPC 2017 1.59 0.11 14.53 0.46 0.07 0.07
2018 1.15 0.10 11.58 0.45 -0.34 -0.35
2019 1.08 0.10 10.55 0.45 -0.41 -0.42
2015 3.09 0.15 20.87 0.81 0.90 0.92
2016 2.22 0.09 23.91 0.68 0.15 0.15
KINO 2017 1.47 0.05 27.62 0.58 -0.50 -0.52
2018 1.83 0.07 26.65 0.64 -0.20 -0.20
2019 1.81 0.19 9.51 0.74 -0.34 -0.35
2015 1.93 0.32 6.09 0.21 0.15 0.15
2016 1.41 0.09 15.50 0.23 -0.16 -0.16
TCID 2017 1.94 0.10 20.09 0.27 0.32 0.33
2018 1.76 0.09 20.04 0.24 0.17 0.17
2019 1.10 0.07 15.23 0.26 -0.47 -0.49
2015 1.07 0.09 11.47 0.21 0.20 0.21
2016 0.97 0.06 15.33 0.22 0.12 0.12
CINT 2017 0.87 0.08 11.27 0.25 0.01 0.01
2018 0.73 0.03 20.95 0.26 -0.13 -0.14
2019 0.78 0.02 41.82 0.34 -0.19 -0.20
2015 1.32 0.07 18.24 0.44 0.28 0.29
2016 1.02 0.10 10.54 0.32 0.05 0.05
ADES 2017 0.78 0.06 13.65 0.26 -0.12 -0.12
2018 0.93 0.12 7.75 0.51 -0.16 -0.17
2019 1.09 0.19 5.60 0.45 -0.05 -0.05
2015 3.92 0.18 21.27 0.90 0.34 0.35
2016 3.58 0.19 19.19 1.00 -0.05 -0.05
STTP 2017 4.12 0.16 26.44 0.69 0.69 0.70
2018 2.98 0.20 15.13 0.60 -0.41 -0.42
2019 2.74 0.28 9.71 0.34 -0.57 -0.59
2015 0.34 -0.03 -10.66 0.49 0.11 0.12
2016 0.45 0.02 22.46 0.61 -0.03 -0.03
MBTO 2017 0.35 -0.06 -5.85 0.89 -0.10 -0.10
2018 0.21 -0.18 -1.18 0.54 0.08 0.08
2019 0.17 -0.11 -1.50 0.60 -0.07 -0.07
2015 0.28 0.01 28.73 0.98 -0.12 -0.12
2016 0.33 0.02 19.65 0.99 -0.05 -0.05
LMPI 2017 0.45 -0.08 -5.41 1.22 0.14 0.14
2018 0.32 -0.10 -3.13 1.00 0.15 0.15
2019 0.31 -0.14 -2.16 1.55 -0.13 -0.13
KICI 2015 0.37 -0.14 -2.65 0.43 0.06 0.06
 2016 0.37 0.00 91.24 0.57 -0.53 -0.54
2017 0.52 0.09 5.94 0.63 -0.20 -0.20
2018 0.83 -0.01 -89.68 0.63 0.58 0.60
2019 0.64 -0.04 -17.57 0.75 0.09 0.09
2015 3.18 0.17 18.86 0.08 -0.65 -0.66
2016 2.83 0.17 16.23 0.08 -1.00 -1.02
SIDO 2017 2.82 0.18 15.31 0.09 -1.01 -1.04
2018 4.34 0.23 18.98 0.15 0.41 0.42
2019 6.24 0.26 23.68 0.15 2.25 2.30 Outlier
2015 1.85 0.14 13.29 0.42 0.51 0.53
2016 1.80 0.11 16.77 0.37 0.52 0.53
WIIM 2017 1.20 0.04 28.94 0.25 0.02 0.02
2018 0.57 0.05 11.17 0.25 -0.56 -0.57
2019 0.66 0.03 24.90 0.26 -0.50 -0.51
2015 -1.17 0.52 -2.25 -3.93 -0.73 -0.75
2016 1.87 -0.22 -8.45 0.04 0.89 0.92
RMBA 2017 1.55 -0.05 -28.81 0.05 0.46 0.47
2018 1.36 -0.07 -18.67 0.06 0.25 0.25
2019 1.43 0.01 237.34 0.30 -0.87 -0.89
2015 1.40 -0.05 -29.19 1.33 -0.40 -0.41
2016 1.50 -0.09 -16.95 1.42 -0.35 -0.36
ALTO 2017 2.03 -0.09 -23.80 1.65 0.07 0.07
2018 2.26 -0.09 -26.55 1.84 0.20 0.21
2019 2.29 -0.02 -118.17 1.87 0.48 0.49
2015 1.46 0.09 15.50 1.28 0.09 0.09
2016 2.18 0.17 12.95 1.17 0.80 0.82
AISA 2017 0.67 -0.25 -2.69 1.56 -0.40 -0.42
2018 -0.92 0.03 -30.65 -1.53 -0.43 -0.44
2019 -1.90 -0.97 1.96 -2.13 -0.06 -0.06
2015 0.38 0.02 21.35 2.28 -0.65 -0.67
2016 0.92 -0.98 -0.94 2.78 0.83 0.85
MGNA 2017 1.44 -0.67 -2.15 3.22 0.74 0.76
2018 3.03 -2.23 -1.36 11.35 -0.57 -0.58
2019 -0.48 1.16 -0.41 -1.85 -0.35 -0.36
Lampiran 6. Analisis Regresi Panel DROP 4

Lagrange Multiplier Test

Lagrange Multiplier Tests for Random Effects

Null hypotheses: No effects
Alternative hypotheses: Two-sided (Breusch-Pagan) and one-sided
        (all others) alternatives

Test Hypothesis
Cross-section Time Both

Breusch-Pagan  141.4600  1.222412  142.6824

(0.0000) (0.2689) (0.0000)

Honda  11.89370 -1.105627  7.628317

(0.0000) -- (0.0000)

King-Wu  11.89370 -1.105627  3.390659

(0.0000) -- (0.0003)

Standardized Honda  12.40960 -0.889851  4.428717

(0.0000) -- (0.0000)

Standardized King-Wu  12.40960 -0.889851  0.838110

(0.0000) -- (0.2010)

Gourierioux, et al.* -- --  141.4600

(< 0.01)

*Mixed chi-square asymptotic critical values:

1% 7.289
5% 4.321
10% 2.952
Chow Test

Redundant Fixed Effects Tests

Equation: Untitled
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 38.465751 (25,101) 0.0000

Cross-section Chi-square 305.941309 25 0.0000

Cross-section fixed effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 15:37
Sample: 2015 2019
Periods included: 5
Cross-sections included: 26
Total panel (balanced) observations: 130

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 3.204893 0.657836 4.871874 0.0000

DER 0.740301 0.156206 4.739252 0.0000
PER 0.011532 0.004610 2.501727 0.0136
C 1.082392 0.204235 5.299741 0.0000

R-squared 0.219695    Mean dependent var 1.965917

Adjusted R-squared 0.201117    S.D. dependent var 1.716055
S.E. of regression 1.533815    Akaike info criterion 3.723679
Sum squared resid 296.4261    Schwarz criterion 3.811911
Log likelihood -238.0391    Hannan-Quinn criter. 3.759530
F-statistic 11.82513    Durbin-Watson stat 0.397957
Prob(F-statistic) 0.000001
Hausman Test

Correlated Random Effects - Hausman Test

Equation: Untitled
Test cross-section random effects

Chi-Sq.
Test Summary Statistic Chi-Sq. d.f. Prob. 

Cross-section random 18.684220 3 0.0003

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

ROE 1.194161 1.299702 0.001711 0.0107

DER 0.610885 0.616699 0.000144 0.6286
PER -0.000554 0.000113 0.000000 0.0024

Cross-section random effects test equation:

Dependent Variable: PBV
Method: Panel Least Squares
Date: 09/28/21 Time: 15:38
Sample: 2015 2019
Periods included: 5
Cross-sections included: 26
Total panel (balanced) observations: 130

Variable Coefficient Std. Error t-Statistic Prob.  

C 1.465045 0.082179 17.82752 0.0000

ROE 1.194161 0.284720 4.194154 0.0001
DER 0.610885 0.072040 8.479763 0.0000
PER -0.000554 0.001855 -0.298443 0.7660

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.925835    Mean dependent var 1.965917

Adjusted R-squared 0.905275    S.D. dependent var 1.716055
S.E. of regression 0.528159    Akaike info criterion 1.754900
Sum squared resid 28.17410    Schwarz criterion 2.394580
Log likelihood -85.06848    Hannan-Quinn criter. 2.014823
F-statistic 45.02971    Durbin-Watson stat 1.787517
Prob(F-statistic) 0.000000
Common Effect Model (CEM)

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 15:34
Sample: 2015 2019
Periods included: 5
Cross-sections included: 26
Total panel (balanced) observations: 130

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 3.204893 0.657836 4.871874 0.0000

DER 0.740301 0.156206 4.739252 0.0000
PER 0.011532 0.004610 2.501727 0.0136
C 1.082392 0.204235 5.299741 0.0000

R-squared 0.219695    Mean dependent var 1.965917

Adjusted R-squared 0.201117    S.D. dependent var 1.716055
S.E. of regression 1.533815    Akaike info criterion 3.723679
Sum squared resid 296.4261    Schwarz criterion 3.811911
Log likelihood -238.0391    Hannan-Quinn criter. 3.759530
F-statistic 11.82513    Durbin-Watson stat 0.397957
Prob(F-statistic) 0.000001
Fixed Effect Model (FEM)

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 15:35
Sample: 2015 2019
Periods included: 5
Cross-sections included: 26
Total panel (balanced) observations: 130

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 1.194161 0.284720 4.194154 0.0001

DER 0.610885 0.072040 8.479763 0.0000
PER -0.000554 0.001855 -0.298443 0.7660
C 1.465045 0.082179 17.82752 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.925835    Mean dependent var 1.965917

Adjusted R-squared 0.905275    S.D. dependent var 1.716055
S.E. of regression 0.528159    Akaike info criterion 1.754900
Sum squared resid 28.17410    Schwarz criterion 2.394580
Log likelihood -85.06848    Hannan-Quinn criter. 2.014823
F-statistic 45.02971    Durbin-Watson stat 1.787517
Prob(F-statistic) 0.000000
Random Effect Model (REM)

Dependent Variable: PBV

Method: Panel EGLS (Cross-section random effects)
Date: 09/28/21 Time: 15:37
Sample: 2015 2019
Periods included: 5
Cross-sections included: 26
Total panel (balanced) observations: 130
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 1.299702 0.281699 4.613794 0.0000

DER 0.616699 0.071031 8.682130 0.0000
PER 0.000113 0.001842 0.061286 0.9512
C 1.445216 0.254283 5.683498 0.0000

Effects Specification
S.D.   Rho  

Cross-section random 1.228154 0.8439

Idiosyncratic random 0.528159 0.1561

Weighted Statistics

R-squared 0.370488    Mean dependent var 0.371283

Adjusted R-squared 0.355500    S.D. dependent var 0.697635
S.E. of regression 0.560067    Sum squared resid 39.52303
F-statistic 24.71835    Durbin-Watson stat 1.271194
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.095397    Mean dependent var 1.965917

Sum squared resid 343.6452    Durbin-Watson stat 0.146201
Asumsi Klasik
Asumsi Normalitas

Asumsi Heteroskedastisitas

Dependent Variable: ABSRES

Method: Panel Least Squares
Date: 09/28/21 Time: 15:42
Sample: 2015 2019
Periods included: 5
Cross-sections included: 26
Total panel (balanced) observations: 130

Variable Coefficient Std. Error t-Statistic Prob.  

ROE -0.010381 0.128991 -0.080476 0.9360

DER 0.018074 0.032637 0.553784 0.5810
PER -0.001193 0.000840 -1.419905 0.1587
C 0.348436 0.037231 9.358845 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.546897    Mean dependent var 0.344312

Adjusted R-squared 0.421284    S.D. dependent var 0.314538
S.E. of regression 0.239279    Akaike info criterion 0.171371
Sum squared resid 5.782720    Schwarz criterion 0.811051
Log likelihood 17.86091    Hannan-Quinn criter. 0.431294
F-statistic 4.353833    Durbin-Watson stat 2.517396
Prob(F-statistic) 0.000000
Asumsi Multikolinieritas

PBV ROE PER DER

PBV  1.000000  0.199117  0.226647  0.127099

ROE  0.199117  1.000000  0.130652 -0.703431
PER  0.226647  0.130652  1.000000 -0.081567
DER  0.127099 -0.703431 -0.081567  1.000000

Asumsi Autokorelasi

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 15:35
Sample: 2015 2019
Periods included: 5
Cross-sections included: 26
Total panel (balanced) observations: 130

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 1.194161 0.284720 4.194154 0.0001

DER 0.610885 0.072040 8.479763 0.0000
PER -0.000554 0.001855 -0.298443 0.7660
C 1.465045 0.082179 17.82752 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.925835    Mean dependent var 1.965917

Adjusted R-squared 0.905275    S.D. dependent var 1.716055
S.E. of regression 0.528159    Akaike info criterion 1.754900
Sum squared resid 28.17410    Schwarz criterion 2.394580
Log likelihood -85.06848    Hannan-Quinn criter. 2.014823
F-statistic 45.02971    Durbin-Watson stat 1.787517
Prob(F-statistic) 0.000000
Identifikasi Outlier

  LM Test Chow Test Hausman Test Model Terbaik

Chi Square 141.460 305.941 18.684
Probabilitas 0.000 0.000 0.000 FEM
Model Terpilih REM FEM FEM

Sehingga residual diperoleh dari model Fixed Effect Model

Residua Keteranga
Kode Period PBV ROE PER DER Zresid
l n
2015 0.26 0.02 13.45 1.95 -0.28 -0.61
2016 0.34 0.03 10.13 1.52 0.04 0.09
BUDI 2017 0.35 0.04 9.26 1.46 0.09 0.19
2018 0.35 0.04 8.56 1.77 -0.10 -0.22
2019 0.46 0.05 9.14 1.33 0.25 0.54
2015 0.63 0.17 3.77 1.32 -0.64 -1.37
2016 0.90 0.28 3.22 0.61 -0.06 -0.14
CEKA 2017 0.85 0.12 7.15 0.54 0.12 0.25
2018 0.84 0.09 8.83 0.20 0.34 0.74
2019 0.88 0.19 4.61 0.23 0.25 0.53
2015 4.90 0.23 21.69 0.22 0.91 1.96
2016 3.96 0.25 15.74 0.18 -0.04 -0.09
DLTA 2017 3.21 0.24 13.14 0.17 -0.77 -1.65
2018 3.43 0.26 13.03 0.19 -0.58 -1.25
2019 4.49 0.26 17.14 0.18 0.48 1.04
2015 4.79 0.18 26.88 0.62 -0.35 -0.75
2016 5.41 0.20 27.54 0.56 0.28 0.59
ICBP 2017 5.11 0.17 29.29 0.56 0.01 0.02
2018 5.37 0.21 26.16 0.51 0.26 0.55
2019 4.88 0.20 24.26 0.45 -0.19 -0.41
2015 5.25 0.24 21.81 1.18 -0.61 -1.30
2016 5.87 0.22 26.49 1.06 0.11 0.24
MYOR 2017 6.14 0.22 27.69 1.03 0.40 0.86
2018 6.86 0.21 33.28 1.06 1.12 2.40 Outlier
2019 4.63 0.21 22.48 0.92 -1.03 -2.20 Outlier
2015 4.22 0.18 23.67 0.78 0.51 1.10
2016 5.61 0.19 28.95 1.02 1.74 3.73 Outlier
ROTI 2017 2.80 0.05 58.28 0.62 -0.63 -1.35
2018 2.55 0.04 58.38 0.51 -0.81 -1.74
2019 2.60 0.08 34.01 0.51 -0.81 -1.74
SKLT 2015 1.68 0.13 12.74 1.48 -0.74 -1.58
 2016 0.72 0.07 10.31 0.92 -1.28 -2.75 Outlier
2017 2.47 0.07 33.09 1.07 0.38 0.82
2018 3.06 0.09 32.44 1.20 0.86 1.85
2019 2.92 0.12 24.75 1.08 0.77 1.66
2015 1.05 0.09 12.25 1.13 -0.39 -0.83
2016 1.58 0.12 13.21 0.87 0.26 0.56
INDF 2017 1.43 0.11 13.01 0.88 0.12 0.25
2018 1.31 0.10 13.18 0.93 -0.03 -0.05
2019 1.28 0.11 11.79 0.77 0.03 0.07
2015 2.78 0.17 16.40 0.67 -0.31 -0.67
2016 3.11 0.17 18.42 0.59 0.06 0.14
GGRM 2017 3.82 0.18 20.79 0.58 0.77 1.64
2018 3.56 0.17 20.65 0.53 0.55 1.19
2019 2.00 0.21 9.37 0.54 -1.07 -2.29 Outlier
2015 1.34 0.11 12.04 0.41 -0.23 -0.49
2016 1.63 0.14 11.55 0.42 0.02 0.05
DVLA 2017 1.76 0.15 12.10 0.47 0.12 0.25
2018 1.62 0.17 9.65 0.40 -0.01 -0.02
2019 1.72 0.17 10.14 0.40 0.10 0.20
2015 5.66 0.19 30.07 0.25 0.36 0.78
2016 5.70 0.19 30.21 0.22 0.42 0.91
KLBF 2017 5.70 0.18 32.29 0.20 0.46 0.98
2018 4.66 0.16 28.53 0.19 -0.57 -1.21
2019 4.55 0.15 29.92 0.21 -0.68 -1.46
2015 0.59 0.03 19.41 0.58 -0.23 -0.50
2016 1.01 0.05 20.79 0.58 0.16 0.35
PYFA 2017 0.90 0.07 13.74 0.47 0.10 0.21
2018 0.85 0.07 11.97 0.57 -0.02 -0.05
2019 0.85 0.07 11.34 0.53 0.00 -0.01
2015 1.82 0.12 14.88 0.45 0.29 0.62
2016 1.91 0.12 16.25 0.42 0.41 0.87
TSPC 2017 1.59 0.11 14.53 0.46 0.07 0.16
2018 1.15 0.10 11.58 0.45 -0.35 -0.75
2019 1.08 0.10 10.55 0.45 -0.42 -0.90
2015 3.09 0.15 20.87 0.81 0.89 1.90
2016 2.22 0.09 23.91 0.68 0.16 0.34
KINO 2017 1.47 0.05 27.62 0.58 -0.47 -1.00
2018 1.83 0.07 26.65 0.64 -0.17 -0.37
2019 1.81 0.19 9.51 0.74 -0.40 -0.86
2015 1.93 0.32 6.09 0.21 0.10 0.21
2016 1.41 0.09 15.50 0.23 -0.16 -0.34
TCID
2017 1.94 0.10 20.09 0.27 0.34 0.72
2018 1.76 0.09 20.04 0.24 0.19 0.41
 2019 1.10 0.07 15.23 0.26 -0.47 -1.01
2015 1.07 0.09 11.47 0.21 0.17 0.36
2016 0.97 0.06 15.33 0.22 0.10 0.20
CINT 2017 0.87 0.08 11.27 0.25 -0.03 -0.07
2018 0.73 0.03 20.95 0.26 -0.13 -0.28
2019 0.78 0.02 41.82 0.34 -0.10 -0.21
2015 1.32 0.07 18.24 0.44 0.31 0.67
2016 1.02 0.10 10.54 0.32 0.05 0.10
ADES 2017 0.78 0.06 13.65 0.26 -0.10 -0.21
2018 0.93 0.12 7.75 0.51 -0.18 -0.39
2019 1.09 0.19 5.60 0.45 -0.08 -0.17
2015 3.92 0.18 21.27 0.90 0.35 0.75
2016 3.58 0.19 19.19 1.00 -0.05 -0.11
STTP 2017 4.12 0.16 26.44 0.69 0.72 1.55
2018 2.98 0.20 15.13 0.60 -0.42 -0.89
2019 2.74 0.28 9.71 0.34 -0.60 -1.29
2015 0.34 -0.03 -10.66 0.49 0.07 0.14
2016 0.45 0.02 22.46 0.61 0.06 0.12
MBTO 2017 0.35 -0.06 -5.85 0.89 -0.13 -0.29
2018 0.21 -0.18 -1.18 0.54 0.08 0.18
2019 0.17 -0.11 -1.50 0.60 -0.07 -0.15
2015 0.28 0.01 28.73 0.98 -0.02 -0.05
2016 0.33 0.02 19.65 0.99 0.01 0.02
LMPI 2017 0.45 -0.08 -5.41 1.22 0.08 0.18
2018 0.32 -0.10 -3.13 1.00 0.11 0.24
2019 0.31 -0.14 -2.16 1.55 -0.18 -0.39
2015 0.37 -0.14 -2.65 0.43 0.07 0.15
2016 0.37 0.00 91.24 0.57 -0.13 -0.27
KICI 2017 0.52 0.09 5.94 0.63 -0.17 -0.36
2018 0.83 -0.01 -89.68 0.63 0.21 0.45
2019 0.64 -0.04 -17.57 0.75 0.02 0.04
2015 1.85 0.14 13.29 0.42 0.48 1.03
2016 1.80 0.11 16.77 0.37 0.51 1.09
WIIM 2017 1.20 0.04 28.94 0.25 0.06 0.14
2018 0.57 0.05 11.17 0.25 -0.59 -1.26
2019 0.66 0.03 24.90 0.26 -0.47 -1.00
2015 -1.17 0.52 -2.25 -3.93 -0.80 -1.72
2016 1.87 -0.22 -8.45 0.04 0.69 1.48
RMBA 2017 1.55 -0.05 -28.81 0.05 0.16 0.34
2018 1.36 -0.07 -18.67 0.06 -0.01 -0.02
2019 1.43 0.01 237.34 0.30 -0.04 -0.08
2015 1.40 -0.05 -29.19 1.33 -0.33 -0.71
ALTO
2016 1.50 -0.09 -16.95 1.42 -0.23 -0.49
 2017 2.03 -0.09 -23.80 1.65 0.15 0.32
2018 2.26 -0.09 -26.55 1.84 0.27 0.57
2019 2.29 -0.02 -118.17 1.87 0.14 0.31
2015 1.46 0.09 15.50 1.28 0.10 0.21
2016 2.18 0.17 12.95 1.17 0.80 1.71
AISA 2017 0.67 -0.25 -2.69 1.56 -0.47 -1.00
2018 -0.92 0.03 -30.65 -1.53 -0.51 -1.09
2019 -1.90 -0.97 1.96 -2.13 0.08 0.18
2015 0.38 0.02 21.35 2.28 -0.56 -1.20
2016 0.92 -0.98 -0.94 2.78 0.86 1.85
MGNA 2017 1.44 -0.67 -2.15 3.22 0.74 1.58
2018 3.03 -2.23 -1.36 11.35 -0.78 -1.67
2019 -0.48 1.16 -0.41 -1.85 -0.27 -0.57
Lampiran 7. Analisis Regresi Panel DROP-5

Lagrange Multiplier Test

Lagrange Multiplier Tests for Random Effects

Null hypotheses: No effects
Alternative hypotheses: Two-sided (Breusch-Pagan) and one-sided
        (all others) alternatives

Test Hypothesis
Cross-section Time Both

Breusch-Pagan  142.8680  1.707011  144.5750

(0.0000) (0.1914) (0.0000)

Honda  11.95274 -1.306526  7.528009

(0.0000) -- (0.0000)

King-Wu  11.95274 -1.306526  3.583645

(0.0000) -- (0.0002)

Standardized Honda  12.50949 -1.111937  4.589853

(0.0000) -- (0.0000)

Standardized King-Wu  12.50949 -1.111937  1.090825

(0.0000) -- (0.1377)

Gourierioux, et al.* -- --  142.8680

(< 0.01)

*Mixed chi-square asymptotic critical values:

1% 7.289
5% 4.321
10% 2.952
Chow Test

Redundant Fixed Effects Tests

Pool: PANEL
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 58.683586 (21,85) 0.0000

Cross-section Chi-square 301.480322 21 0.0000

Cross-section fixed effects test equation:

Dependent Variable: PBV?
Method: Panel Least Squares
Date: 09/28/21 Time: 17:10
Sample: 2015 2019
Included observations: 5
Cross-sections included: 22
Total pool (balanced) observations: 110

Variable Coefficient Std. Error t-Statistic Prob.  

ROE? 2.363185 0.648217 3.645671 0.0004

PER? 0.008087 0.004499 1.797545 0.0751
DER? 0.560874 0.153265 3.659506 0.0004
C 1.080046 0.194677 5.547875 0.0000

R-squared 0.153981    Mean dependent var 1.662844

Adjusted R-squared 0.130037    S.D. dependent var 1.554842
S.E. of regression 1.450229    Akaike info criterion 3.617006
Sum squared resid 222.9354    Schwarz criterion 3.715205
Log likelihood -194.9353    Hannan-Quinn criter. 3.656836
F-statistic 6.430909    Durbin-Watson stat 0.310249
Prob(F-statistic) 0.000482
Hausman Test

Correlated Random Effects - Hausman Test

Pool: PANEL
Test cross-section random effects

Chi-Sq.
Test Summary Statistic Chi-Sq. d.f. Prob. 

Cross-section random 11.453403 3 0.0095

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

ROE? 1.059719 1.094069 0.000529 0.1353

PER? -0.000659 -0.000374 0.000000 0.0231
DER? 0.577235 0.574783 0.000048 0.7244

Cross-section random effects test equation:

Dependent Variable: PBV?
Method: Panel Least Squares
Date: 09/28/21 Time: 17:11
Sample: 2015 2019
Included observations: 5
Cross-sections included: 22
Total pool (balanced) observations: 110

Variable Coefficient Std. Error t-Statistic Prob.  

C 1.227945 0.061992 19.80811 0.0000

ROE? 1.059719 0.224317 4.724211 0.0000
PER? -0.000659 0.001463 -0.450388 0.6536
DER? 0.577235 0.056769 10.16811 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.945412    Mean dependent var 1.662844

Adjusted R-squared 0.929999    S.D. dependent var 1.554842
S.E. of regression 0.411375    Akaike info criterion 1.258094
Sum squared resid 14.38451    Schwarz criterion 1.871840
Log likelihood -44.19517    Hannan-Quinn criter. 1.507033
F-statistic 61.33846    Durbin-Watson stat 1.767563
Prob(F-statistic) 0.000000
Common Effect Model (CEM)

Dependent Variable: PBV?

Method: Pooled Least Squares
Date: 09/28/21 Time: 16:44
Sample: 2015 2019
Included observations: 5
Cross-sections included: 22
Total pool (balanced) observations: 110

Variable Coefficient Std. Error t-Statistic Prob.  

ROE? 2.363185 0.648217 3.645671 0.0004

PER? 0.008087 0.004499 1.797545 0.0751
DER? 0.560874 0.153265 3.659506 0.0004
C 1.080046 0.194677 5.547875 0.0000

R-squared 0.153981    Mean dependent var 1.662844

Adjusted R-squared 0.130037    S.D. dependent var 1.554842
S.E. of regression 1.450229    Akaike info criterion 3.617006
Sum squared resid 222.9354    Schwarz criterion 3.715205
Log likelihood -194.9353    Hannan-Quinn criter. 3.656836
F-statistic 6.430909    Durbin-Watson stat 0.310249
Prob(F-statistic) 0.000482
Fixed Effect Model (FEM)

Dependent Variable: PBV?

Method: Pooled Least Squares
Date: 09/28/21 Time: 16:45
Sample: 2015 2019
Included observations: 5
Cross-sections included: 22
Total pool (balanced) observations: 110

Variable Coefficient Std. Error t-Statistic Prob.  

ROE? 1.059719 0.224317 4.724211 0.0000

PER? -0.000659 0.001463 -0.450388 0.6536
DER? 0.577235 0.056769 10.16811 0.0000
C 1.227945 0.061992 19.80811 0.0000
Fixed Effects (Cross)
_BUDI--C -1.836319
_CEKA--C -0.919849
_DLTA--C 2.407961
_ICBP--C 3.385002
_INDF--C -0.527878
_DVLA--C -0.007920
_KLBF--C 3.736499
_PYFA--C -0.753764
_TSPC--C -0.081570
_KINO--C 0.356050
_TCID--C 0.127654
_CINT--C -0.540231
_ADES--C -0.536692
_STTP--C 1.631703
_MBTO--C -1.208308
_LMPI--C -1.481610
_KICI--C -1.012984
_WIIM--C -0.257389
_RMBA--C 0.165105
_ALTO--C -0.224429
_AISA--C -0.774495
_MGNA--C -1.646536

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.945412    Mean dependent var 1.662844

Adjusted R-squared 0.929999    S.D. dependent var 1.554842
S.E. of regression 0.411375    Akaike info criterion 1.258094
Sum squared resid 14.38451    Schwarz criterion 1.871840
Log likelihood -44.19517    Hannan-Quinn criter. 1.507033
F-statistic 61.33846    Durbin-Watson stat 1.767563
Prob(F-statistic) 0.000000
Random Effect Model (REM)

Dependent Variable: PBV?

Method: Pooled EGLS (Cross-section random effects)
Date: 09/28/21 Time: 16:45
Sample: 2015 2019
Included observations: 5
Cross-sections included: 22
Total pool (balanced) observations: 110
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

ROE? 1.094069 0.223134 4.903183 0.0000

PER? -0.000374 0.001457 -0.256628 0.7980
DER? 0.574783 0.056342 10.20173 0.0000
C 1.224810 0.275257 4.449699 0.0000
Random Effects (Cross)
_BUDI--C -1.794990
_CEKA--C -0.903401
_DLTA--C 2.348181
_ICBP--C 3.304601
_INDF--C -0.518619
_DVLA--C -0.011707
_KLBF--C 3.647595
_PYFA--C -0.739867
_TSPC--C -0.083214
_KINO--C 0.343542
_TCID--C 0.119873
_CINT--C -0.532793
_ADES--C -0.528182
_STTP--C 1.590425
_MBTO--C -1.176189
_LMPI--C -1.444847
_KICI--C -0.985921
_WIIM--C -0.255943
_RMBA--C 0.151854
_ALTO--C -0.198603
_AISA--C -0.748623
_MGNA--C -1.583173

Effects Specification
S.D.   Rho  

Cross-section random 1.258135 0.9034

Idiosyncratic random 0.411375 0.0966

Weighted Statistics

R-squared 0.514938    Mean dependent var 0.240593

Adjusted R-squared 0.501210    S.D. dependent var 0.605258
S.E. of regression 0.427464    Sum squared resid 19.36889
F-statistic 37.50959    Durbin-Watson stat 1.302975
Prob(F-statistic) 0.000000

Unweighted Statistics
R-squared 0.045404    Mean dependent var 1.662844
Sum squared resid 251.5467    Durbin-Watson stat 0.100328
Asumsi Klasik
Asumsi Normalitas

Asumsi Heteroskedastisitas

Dependent Variable: ABSRES

Method: Panel Least Squares
Date: 09/28/21 Time: 15:02
Sample: 2015 2019
Periods included: 5
Cross-sections included: 22
Total panel (balanced) observations: 110

Variable Coefficient Std. Error t-Statistic Prob.  

ROE -0.044647 0.107235 -0.416348 0.6780

PER -0.000104 0.000744 -0.139720 0.8891
DER 0.012779 0.025355 0.503997 0.6153
C 0.267409 0.032206 8.303206 0.0000

R-squared 0.014919    Mean dependent var 0.272880

Adjusted R-squared -0.012961    S.D. dependent var 0.238372
S.E. of regression 0.239912    Akaike info criterion 0.018594
Sum squared resid 6.101108    Schwarz criterion 0.116794
Log likelihood 2.977313    Hannan-Quinn criter. 0.058424
F-statistic 0.535122    Durbin-Watson stat 1.229876
Prob(F-statistic) 0.659206
Asumsi Multikolinieritas

ROE PER DER

ROE  1.000000  0.118650 -0.725002

PER  0.118650  1.000000 -0.092432
DER -0.725002 -0.092432  1.000000

Asumsi Autokorelasi

Dependent Variable: PBV

Method: Panel Least Squares
Date: 09/28/21 Time: 15:08
Sample: 2015 2019
Periods included: 5
Cross-sections included: 22
Total panel (balanced) observations: 110

Variable Coefficient Std. Error t-Statistic Prob.  

ROE 1.059719 0.224317 4.724211 0.0000

PER -0.000659 0.001463 -0.450388 0.6536
DER 0.577235 0.056769 10.16811 0.0000
C 1.227945 0.061992 19.80811 0.0000

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.945412    Mean dependent var 1.662844

Adjusted R-squared 0.929999    S.D. dependent var 1.554842
S.E. of regression 0.411375    Akaike info criterion 1.258094
Sum squared resid 14.38451    Schwarz criterion 1.871840
Log likelihood -44.19517    Hannan-Quinn criter. 1.507033
F-statistic 61.33846    Durbin-Watson stat 1.767563
Prob(F-statistic) 0.000000