Model Panel Dinamis Durbin Spasial Simultan dengan Pendekatan Modifikasi Generalized Estimating Equation

Astuti, Alfira Mulya (2023) Model Panel Dinamis Durbin Spasial Simultan dengan Pendekatan Modifikasi Generalized Estimating Equation. Doctoral thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Penelitian ini mengembangkan model panel dinamis durbin spasial simultan (PDDSS). Model ini penting untuk dikaji karena mampu menjelaskan interaksi antar unit geografi (wilayah). Selain itu, model lebih informatif, lebih bervariasi, lebih efisien, lebih komprehensif, dan lebih akurat dalam membuat kesimpulan yang berdampak pada penentuan kebijakan dari suatu fenomena. Tujuan penelitian ini adalah untuk mendapatkan metode estimasi parameter dari model PDDSS dengan pendekatan modifikasi Generalized Estimating Equation (MGEE) dan mengkaji asimtotik normalitas dari residual. Model digunakan untuk memodelkan pertumbuhan ekonomi di negara ASEAN. Variabel endogen terdiri atas gross domestic product dan foreign direct investment. Variabel predetermined terdiri atas jumlah angkatan kerja, ekspor, trade Openness, dan tingkat suku bunga. Penelitian ini membandingkan model PDDSS dengan struktur working correlation independent, first order autoregressive, dan exchangeable pada matriks pembobot spasial rook contiguity, k-nearest neighbors, dan customized. Berdasarkan nilai correlation information criterion (CIC), working correlation first order autoregressive dan exchangeable pada matriks pembobot customized merupakan model yang terpilih untuk memodelkan pertumbuhan ekonomi di negara ASEAN. Hasil analisis menunjukkan bahwa: 1) ada ketergantungan spasial yang signifikan antar negara ASEAN, 2) Terjadi hubungan simultan yang signifikan antar GDP dan FDI, 3) Pengaruh GDP terhadap FDI lebih besar dibanding pengaruh FDI terhadap GDP, 4) Jumlah tenaga kerja dan ekspor berdampak langsung sebesar 4,98% untuk jangka pendek terhadap GDP dan 5,12% untuk jangka panjang. Dampak secara tidak langsung dari jumlah tenaga kerja dan ekspor adalah 0,43% untuk jangka pendek dan 0,54% untuk jangka panjang. 5) Secara langsung, keterbukaan perdagangan dan tingkat suku bunga berdampak menurunkan FDI sebesar 4,29% untuk jangka pendek dan 14,36% untuk jangka panjang. Begitu pun untuk dampak tidak langsung, keterbukaan perdagangan dan tingkat suku bunga menurunkan FDI sebesar 6,21% untuk jangka pendek dan 29,29% untuk jangka panjang.

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This research develops a spatial simultaneous durbin dynamic panel model (PDDSS). This model is important to study because it can explain interactions between geographic units (regions). Moreover, the model is more informative, more varied, more efficient, more comprehensive, and more accurate in making conclusions that have an impact on determining the policy of a phenomenon. The purpose of this study was to obtain a parameter estimation method from the PDDSS model with Modified Generalized Estimating Equation (MGEE) approach and examine the asymptotic normality of the residuals. The model is used to model economic growth in ASEAN countries. Endogenous variables consist of gross domestic product and foreign direct investment. Predetermined variables consist of the number of labor force, exports, trade openness, and interest rates. This study compares the PDDSS model with independent, first order autoregressive, and exchangeable working correlation structures on the spatial weighting matrices of rook contiguity, k-nearest neighbors, and customized. Based on the correlation information criterion (CIC) value, the working correlation first order autoregressive and exchangeable on the customized weight matrix is the model chosen to model economic growth in ASEAN countries. The results of the analysis show that: 1) there is a significant spatial dependence between ASEAN countries, 2) there is a significant simultaneous relationship between GDP and FDI, 3) the effect of GDP on FDI is greater than the effect of FDI on GDP, 4) the amount of labor and exports has an impact directly by 4.98% for the short term to GDP and 5.12% for the long term. The indirect impact of the number of workers and exports is 0.43% for the short term and 0.54% for the long term. 5) Directly, trade openness and interest rates have an impact on reducing FDI by 4.29% for the short term and 14.36% for the long term. Likewise, for the indirect impact, trade openness and interest rates reduce FDI by 6.21% for the short term and 29.29% for the long term.

Keywords: Panel Data, Spatial Econometrics, Modified Generalized Estimating Equation, Dynamic Effect, Simultaneous Equation.

Item Type:	Thesis (Doctoral)
Uncontrolled Keywords:	Data Panel, Ekonometrika Spasial, Modifikasi Generalized Estimating Equation, Efek Dinamis, Persamaan Simultan. Panel Data, Spatial Econometrics, Modified Generalized Estimating Equation, Dynamic Effect, Simultaneous Equation.
Subjects:	H Social Sciences > HA Statistics
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49001-(S3) PhD Thesis
Depositing User:	Alfira Mulya Astuti
Date Deposited:	02 Mar 2023 04:02
Last Modified:	02 Mar 2023 04:02
URI:	http://repository.its.ac.id/id/eprint/97723

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