Penentuan Distribusi Sample Terbatas Uji-J Davidson dan Mackinnon dengan Metode Bootstrap pada Model Regresi Tak Tersarang
DOI:
https://doi.org/10.20956/jmsk.v15i2.5708Keywords:
un-nested hypothesis, J-Davidson Test, MacKinnon TestAbstract
Georgina Maria Tinungki*
Abstract
There are some tests proposed for un-nested hypothesis between J-Davidson Test and MacKinnon Test. J’s Test is often bad result, but it always works very well when used bootstrap. Bootstrapping for J’s Test is expected to be able to show that by using bounded sample is better, because there is no fault in counting process. Moreover, bootstrapping J-Test will omit the possibility of inconsistence of the results test previously. Simulation result of Monte Carlo will compare the proposed bounded sample test with Cox and J’s Test previously.
Keywords: un-nested hypothesis, J-Davidson Test, MacKinnon Test
Abstrak
Terdapat beberapa pengujian yang diusulkan untuk hipotesis tak tersarang antara lain Uji-J Davidson dan MacKinnon. Uji-J sering bekerja buruk, tetapi biasanya bekerja sangat baik ketika dibootstrapkan.. Bootstrapping Uji-J diharapkan mampuh menunjukkan sampel terbatas lebih baik karena tidak mempunyai kesalahan didalam proses perhitungan. Lebih dari itu, bootstrapping J-Tests akan mengeluarkan kemungkinan dari ketidak konsistenan hasil uji yang sebelumnya. Hasil Simulasi Monte Carlo membandingkan uji sampel terbatas yang diusulkan dengan test yang sebelumnya seperti Uji Cox dan J-Test.
Kata Kunci: Hipotesis tak tersarang,, Uji-J Davidson, Uji MacKinnon
References
. Bain, L.J and Max Engelhardt, 1992. Introduction to Probability and Mathematical Statistics.Duxbury
. Davidson Russel, 1997. Bootstrap Tests of Nonnested Linear regression Models, Canada,Ontario,Kingston
. Jeong Jinook, 2006. “R2-based bootstrap Tests for Nonnested Hypotheses in Regression Models,”Department of Economics,Yonsei University
. James G.MacKinnon, 1999. Bootstrap Testing in Econometrics, Queen’s University at Kingston
. Hashem Pesaran, M dan Melvyn Weeks., 1999. Non-nested Hypotesis testing:An Overview, Faculty of Economics and Politic,University of Cambrige.
. Abdul Halid Nusi., 2005. Metode Bootstrap Nonparametrik Pada Model Regresi Linear: Skripsi, Fakultas Matematika dan Ilmu Pengetahuan Alam,Universitas Hasanuddin.
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