Salah satu asumsi dalam model regresi linier dengan estimator OLS adalah bahwa homosedastisity varians error. Gejala heterosedastik akan mengakibatkan hasil estimasi menjadi unbiased dan konsisten tapi tidak efisien.
Mendeteksi gejala heterosedastik dapat dilakukan dengan secar visual maupun pengujian hipotesis. Pengujian White test, Park Test, Glejser Test, Goldfeld-Quandt Test, Breusch–Pagan–Godfrey Test dapat mendeteksi gejala hetrosedastisity.
Silahkan download materi lebih lengkap pada blog ini Pengujian Homosedastisitas.
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8 komentar:
Saya mau tanya Pak .. Data yg saya gunakan adalah time series .. Variabel Independentnya adalah perubahan kurs dan Variabel dummy..
Waktu melakukan uji normalitas data saya ternyata tidak normal jd saya transformasi dg Zscore dan hasilnya menunjukkan bahwa data saya normal..
Tp setelah dilakukan uji hetero dg Glejser dan Spearman’s Rank ternyata terdeteksi gejala hetero .. sudah saya koreksi dg membaginya dg Bobot (Weight Least Square)tp yg variabel ZscorePerubahanKurs signifikan, berarti msh terdeteksi gejala hetero.. Lalu bagaimana caranya untuk menghilangkan gejala hetero ini Pak ???
Terima Kasih
asslmlkm,
pak saya mau tanya kalo untuk model VAR, menganalisis uji asumsi klasiknya bisa dengan OLS tidak pak? karena saya lihat d eviews, bisa juga analisis uji asumsi klasik as VAR, tapi saya tidak mengerti bagaimana meginterpretasikannya. terima kasih..
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