REGRESI LINIER LANCUNG DALAM ANALISIS EKONOMI: SUATU TINJAUAN DENGAN SATU STUDIKASUS DI INDONESIA



Insukindro Insukindro(1*)

(1) Universitas Gadjah Mada
(*) Corresponding Author

Abstract


Sejak pertengahan tahun 1970-an, permasalahan regresi lancung (spurious regression) telah kembali menjadi sorotan para pakar ekonometrika. Ciri utama adanya regresi lancung (semrawut) ini ditunjukkan oleh tidak diamatinya perilaku data melalui uji stasioneritas, misalnya, dan oleh apa yang disebut "sindrom R2". Yang disebut terakhir ini sering membuat pengamat terkecoh oleh nilai koefisien determinasi yang begitu meyakinkan tetapi kurang memperhatikan uji diagnostik regresi tersebut, khususnya uji otokorelasi. Akibatnya koefisien regresi penaksir tidak efisien, prediksi akan bias dan uji baku statistik menjadi tidak sahih. Tulisan ini bermaksud mengetengahkan beberapa kemungkinan terjadinya regresi lancung dan cam pencegahannya. Dalam tulisan ini untuk mendukung maksud ini digunakan satu studi kasus impor barang di Indonesia. Hasil studi menunjukkan bahwa data yang digunakan dalam studi empiris
tidak stasioner dan perlu dideferensi pertama untuk memperoleh data yang stasioner.
Di samping itu untuk mencegah adanya regresi lancung, pem-bentukan model dinamis memang merupakan langkah yang perlu dilakukan. Selanjutnya dengan memperhatikan perilaku data nampaknya model koreksi kesalahan (error correction model) dapat dipakai sebagai salah satu model dinamis impor barang di Indonesia.


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References

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