PERMASALAHAN AUTOKORELASI PADA ANALISIS REGRESI LINIER SEDERHANA

Authors

  • Nadia Utika
  • Maiyastri .
  • Hazmira Yozza

DOI:

https://doi.org/10.25077/jmu.2.2.26-34.2013

Abstract

Pada analisis regresi linier sederhana model yang terbentuk harus memenuhi
beberapa asumsi yang dikenal dengan asumsi linier klasik. Dalam asumsi linier klasik
dinyatakan bahwa tidak terdapat korelasi antar galat yang disebut autokorelasi. Bila au-
tokorelasi terjadi pada model regresi linier sederhana maka pengaruhnya terlihat pada
penduga parameter yang tidak lagi BLUE (Best Linear Unbiased Estimator), yaitu pen-
duga tidak bias dan linier, namun tidak lagi memiliki ragam yang minimum. Pengaruh
autokorelasi juga dilihat menggunakan simulasi Monte Carlo. Simulasi Monte Carlo
menggunakan nilai bias dan Kuadrat Tengah Galat (KTG) dengan berbagai ukuran
sampel dan koesien autokorelasi yang bervariasi. Hasil simulasi menunjukkan semakin
besar ukuran sampel maka bias dan KTG semakin kecil dan semakin besar nilai koesien
autokorelasi maka bias dan KTG semakin besar.

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Published

10-06-2013

Issue

Vol. 2 No. 2 (2013)

Section

Articles

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