PENERAPAN METODE NEWEY WEST DALAM MENGOREKSI STANDARD ERROR KETIKA TERJADI HETEROSKEDASTISITAS DAN AUTOKORELASI PADA ANALISIS REGRESI
Abstract: Ordinary Least
Squares (OLS) used to estimate the parameters in the regression analysis. If
one of the assumptions is not fulfilled, the results of the OLS are no longer
best, linear, and unbiased properties. The aim of this research was to find out
the application of Newey West method to correct standard error when
heteroscedasticity and autocorrelation occurred, and to compare the results of
OLS with Newey West method on secondary and simulation data. OLS can still be
used to estimate the regression parameter when heteroscedasticity and
autocorrelation occurred. However, it will cause bias on standard error of
parameter. A method which can correct the standard error of parameters to be
unbiased parameter is Newey West method. The secondary data about Passenger Car
Milage and data simulated contain heteroscedasticity and autocorrelation. The
analysis showed that the Newey West method were known is able to correct
standard error when heteroscedasticity and autocorrelation occurred on both of
data. It was obtained that Newey west method with and changes the value of the
bias standard error of OLS to be unbiased.
Penulis: ZAKIAH NURLAILA, MADE
SUSILAWATI, DESAK PUTU EKA NILAKUSMAWATI
Kode Jurnal: jpmatematikadd170159
