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DATA PANEL Aplikasi data panel menggunakan data Grunfeld.xls Spesifikasi model : Y = f(X2, X3) dimana: Y : gross investment X2 : value of firm X3 : capital

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Entry data secara cut paste ke Stata

Diperlukan declare dataset sebagai data panel yang akan dikenal Stata. Klik Statistics Cross-sectional time series Setup & utilities Declare dataset to be cross-sectional time series

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Stata akan memunculkan dialog box Isi Time variable : year Panel ID variable: firm Klik radio button yearly, lalu OK

Pada Stata result window akan menunjukkan perintah yang telah dieksekusi.

Analisis individual variability ketik: xtsum variabel_dependen variabel_independen

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Fixed Effect Model Klik Statistics Cross-sectional time series (Generalized) linear models-Panel-data linear regression

Dialog box xtreg akan muncul. Isi dependent variable : y Independent variable : x2 x3

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Hasil estimasi fixed effect model :

Menyimpan hasil estimasi di memory komputer (akan digunakan untuk hausman test) Klik Statistics General-Post estimation Manage estimation results Store estimation results

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Dialog box estimates store, isi Store estimation result under the name: fixed

Stata result window akan menunjukkan perintah estimates store

Perbedaan antar firm pada fixed effect model dapat ditunjukkan pada intercept-nya. Gunakan LSDV model, ketik : xi: regress y x2 x3 i.firm

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Random Effects Model Klik Statistics Cross-sectional time series (Generalized) linear models-Panel-data linear regression

Hasil estimasi random effects model :

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Hausman Test Klik Statistics General-Post estimation Tests Hausman Specification test

Isi box consistent estimation dengan : fixed

Chi square statistics :

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Breusch Pagan LM test

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Quick Reference Analisis awal regresi data panel xtsum Estimasi data panel Fixed Effect xtreg variabel_dependen variabel_independen, fe xi: regress variabel_dependen variabel_independen i.panel_id Random Effect xtreg variabel_dependen variabel_independen, re Post Estimation Hausman Test estimates store nama_hasil_estimasi hausman nama_hasil_estimasi Breusch-Pagan LM Test xttest0

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Data Susenas