Fitriandari, Mike (2018) Penerapan Generalized Method of Moment (GMM) Pada Persamaan Simultan Durbin Spasial Untuk Pemodelan Pertumbuhan Ekonomi Negara ASEAN. Masters thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Keterkaitan antar variabel ekonomi dapat disajikan dalam bentuk persamaan simultan agar dapat memberikan informasi yang lebih komprehensif. Persamaan simultan dapat juga menyertakan aspek keterkaitan antar spasial (efek spasial) yang dinyatakan dalam persamaan simultan spasial. Dalam model persamaan simultan spasial, variabel endogen dalam suatu persamaan dapat mejandi variabel eksplanatori pada persamaan yang lainnya. Hal teresebut dapat menimbulkan adanya endogenitas. Persamaan simultan spaial yang diestimasi dengan metode Ordinary Least Square (OLS) akan menimbulkan masalah endogenitas dan menghasilkan estimator yang bias dan tidak konsisten. Salah satu metode yang dapat mengatasi masalah endogenitas adalah Generalized Method of Moment (GMM). Estimator GMM akan diterapkan pada persamaan simultan durbin spasial pada hubungan keterkaitan antara pertumbuhan ekonomi, Foreign Direct Investment (FDI), dan Trade Openness di negara ASEAN. Penelitian ini menggunakan pendekatan dua matriks pembobot spasial, yaitu bobot rook contiguity dan bobot customized. Hasil penelitian menunjukkan bahwa estimasi GMM dengan bobot customized memberikan hasil yang lebih baik. Keterkaitan antar lokasi terbukti berpengaruh positif dan signifikan pada persamaan pertumbuhan ekonomi, FDI dan Trade Openness. Variabel FDI berpengaruh positif dan Term of Trade berpengaruh negatif dalam peningkatan pertumbuhan ekonomi dengan elastisitas masing-masing sebesar 0,99 dan 0,62. Variabel pertumbuhan ekonomi berpengaruh positif dan tingkat suku bunga berpengaruh negatif dalam peningkatan FDI dengan elastisitas masing-masing sebesar 0,89 dan 0,17. Variabel Kurs mata uang berpengaruh negatif dan FDI berpengaruh positif terhadap peningkatan tingkat keterbukaan perdagangan internasional (Trade Openness) negara ASEAN dengan elastisitas masing-masing sebesar 0,19 dan 0,22.
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The linkage between economic variables can be presented in the form of simultaneous equations in order to provide more comprehensive information. Simultaneous equations may also include aspects of interconnected spatial (spatial effects), which is showed in spatial simultaneous equations. In the spatial simultaneous equation model, the endogenous variable in an equation can be an explanatory variable in the other equation. This can be lead to endogeneity problem. The simultaneous spatial equations that has estimated by the Ordinary Least Square (OLS) method, will cause endogeneity problems and produce biased and inconsistent estimators. One of methods that can solve the problem of endogeneity is the Generalized Method of Moment (GMM). The GMM method will be applied to the spatial durbin simultaneous equations on the relationship between economic growth, Foreign Direct Investment (FDI) and Trade Openness in ASEAN countries. This research uses two spatial weighted matrix approach, such as rook weight contiguity and customized weight. The results show that GMM estimation with customized weight gives better result. Interconnection between sites proved that have significant impact on the economic growth equation, FDI and Trade Openness. FDI variable has positive effect and Term of Trade has negative effect in increasing economic growth with elasticity of 0.99 and 0.62 respectively. The variable of economic growth had positive effect and the interest rate had negative effect in increasing FDI with elasticity of 0.89 and 0.17 respectively. Variable currency exchange rate has negative effect and FDI has positive effect to increase of ASEAN Trade Openness level with elasticity of 0,19 and 0,22 respectively.
| Item Type: | Thesis (Masters) |
|---|---|
| Additional Information: | RTSt 519.544 Fit p-1 3100018074987 |
| Uncontrolled Keywords: | Simultan spasial, Model Durbin Spasial, Generalized Method of Moment (GMM), Spatial simultaneous, Spatial Durbin Model |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Mathematics and Science > Statistics > 49101-(S2) Master Thesis |
| Depositing User: | MIKE FITRIANDARI |
| Date Deposited: | 22 Feb 2018 02:04 |
| Last Modified: | 10 Apr 2020 23:29 |
| URI: | http://repository.its.ac.id/id/eprint/50903 |
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