Maharani, Kasih (2013) Kepekaan Metode White’s Robust Standard Error Dalam Mengatasi Masalah Heteroskedastisitas Pola Linier Dan Kuadratik Pada analisis Regresi Linier Sederhana. Sarjana thesis, Universitas Brawijaya.
Abstract
Analisis regresi linier sederhana memiliki beberapa asumsi klasik yang harus terpenuhi agar didapatkan penduga model dengan sifat Best Linear Unbiased Estimator (BLUE). Salah satu asumsi klasik yang sering tidak terpenuhi adalah asumsi homoskedastisitas. Homoskedastisitas merupakan keadaan di mana masing-masing galat mempunyai ragam yang sama atau konstan, yang dapat dituliskan sebagai var(ε_it )= σ^2. Konsekuensi adanya heteroskedastisitas jika menggunakan OLS (Ordinary Least Square), tanpa menangani tidak konstannya ragam akan menghasilkan penduga parameter (β ̂_0 dan β ̂_1) dengan ragam yang lebih kecil dari seharusnya. Hal ini menyebabkan penerapan analisis regresi linier dengan Metode Kuadrat Terkecil atau Ordinary Least Square dapat memberikan informasi yang menyesatkan. Metode White’s Robust Standard Error adalah salah satu alternatif penanganan masalah heteroskedastisitas. Penelitian ini bertujuan untuk mengkaji tentang kepekaan metode White’s Robust Standard Error dalam menangani masalah heteroskedastisitas pada pola hubungan antara galat dengan peubah bebas yang meningkat secara linier dan galat mempunyai hubungan kuadratik dengan peubah bebas. Berdasarkan data hasil simulasi, disimpulkan metode White’s Robust Standard Error lebih peka menangani heteroskesdastisitas ketika terdapat hubungan linier daripada kuadratik antara galat dengan peubah bebas. Hal ini dibuktikan dengan meningkatnya nilai Standard Error (ragam penduga parameter tidak lagi lebih kecil dari seharusnya) dan P-value setelah heteroskedastisitas ditangani dengan metode ini.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/MIPA/2013/129/051304721 |
| Subjects: | 500 Natural sciences and mathematics > 519 Probabilities and applied mathematics > 519.5 Statistical mathematics |
| Divisions: | Fakultas Matematika dan Ilmu Pengetahuan Alam > Statistika |
| Depositing User: | Hasbi |
| Date Deposited: | 22 May 2013 09:56 |
| Last Modified: | 25 Oct 2021 01:44 |
| URI: | http://repository.ub.ac.id/id/eprint/153388 |
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