Analisis Simultan Metode 2SLS Dengan Eviews

Misalkan kita akan melihat hubungan simultan antara:

Income = a₀+a₁Earns+a₂Wealth+a₃Ed+a₄Size+e₁

Wealth = b₀+b₁Income+b₂Saving+e₂

Varaibel endogen= income dan welath

Variabel eksogen = earns, ed, size, dan saving

M=income dan welath =2

K=earn, educ, size, saving, a₀ dan b₀ (intersept) = 6

Persamaan 1 : (K-k) > (m-1) = (6-3) > (2-1) overindentified

Persamaan 2 : (K-k) = (m-1) = (6-1) > (2-1) overindentified

Sehingga metode yang digunakan adalah metode 2sls

 

Lakukan regersi persamaan I dengan Quick > estimate equation:

Pada equation specification: income c earn wealth ed size

Pada instrument list masukkan semua variabel eksogen: earns ed size saving

Berikut hasilnya:

Dependent Variable: INCOME
Method: Two-Stage Least Squares
Date: 03/13/15   Time: 08:07
Sample: 1 100
Included observations: 100
Instrument specification: EARNS ED SIZE SAVING
Constant added to instrument list
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	3.894706	1.575148	2.472597	0.0152
EARNS	0.884186	0.343653	2.572905	0.0116
WEALTH	0.039356	0.153197	0.256897	0.7978
ED	-0.000796	0.110176	-0.007229	0.9942
SIZE	-0.330206	0.287204	-1.149727	0.2531
R-squared	0.812227	Mean dependent var		9.941240
Adjusted R-squared	0.804321	S.D. dependent var		5.583998
S.E. of regression	2.470115	Sum squared resid		579.6395
F-statistic	100.6640	Durbin-Watson stat		2.021751
Prob(F-statistic)	0.000000	Second-Stage SSR		630.1294
J-statistic	9.29E-40	Instrument rank		5

Terlihat bahwa wealth tidak berpengaruh signifikan terhadap income

Lakukan regersi persamaan II dengan Quick > estimate equation:

 

Pada equation specification: wealth c income saving

 

Pada instrument list masukkan semua variabel eksogen: earns ed size saving

Berikut hasilnya:

Dependent Variable: WEALTH
Method: Two-Stage Least Squares
Date: 03/13/15   Time: 08:11
Sample: 1 100
Included observations: 100
Instrument specification: EARNS ED SIZE SAVING
Constant added to instrument list
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	-9.623045	2.878678	-3.342870	0.0012
INCOME	2.315114	0.280015	8.267834	0.0000
SAVING	-0.427895	0.320115	-1.336690	0.1845
R-squared	0.455431	Mean dependent var		12.63536
Adjusted R-squared	0.444203	S.D. dependent var		16.81237
S.E. of regression	12.53393	Sum squared resid		15238.64
F-statistic	37.18449	Durbin-Watson stat		2.165039
Prob(F-statistic)	0.000000	Second-Stage SSR		16299.61
J-statistic	1.179442	Instrument rank		5
Prob(J-statistic)	0.554482

Terlihat bahwa income mempengaruhi wealth

download data analisis simultan 2sls dalam m.excel

baca juga analisis simultan 2sls dengan eviews

baca juga analisis simultan 2sls dengan gretl

baca juga analisis simultan 2sls dengan spss