Astuti, Tutut Dewi and I Maruddani, Di Asih (2009) *ANALISIS DATA PANEL UNTUK MENGUJI PENGARUH RISIKO TERHADAP RETURN SAHAM SEKTOR FARMASI DENGAN LEAST SQUARE DUMMY VARIABLE.* Media Statistika, 2 (2). pp. 71-80. ISSN 1979-3693

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Official URL: http://stat.undip.ac.id

## Abstract

Panel data analysis is a method of studying pooling observations on a cross-section of subjects over several time periods. There are several types of panel data analytic models, constant coefficients models, fixed effects models, and random effects models. Fixed effects models would have constant slopes but intercepts that differ according to the cross-sectional (group) unit. While the intercept is cross-section (group) specific, it may or may not differ over time. To show how to test for the presence of statistically significant group and/or time effects, i-1 dummy variables are used to designate the particular group, so we use Least Squares Dummy Variable method. In this paper, we use this method for testing the relationship between risk and stock return at farmation sector data in Indonesia for the time period 2007-2008. The empirical results showed that the model is statistically significant time effects. Keywords : Risk, Stock Return, Panel Data, Least Square Dummy Variable

Item Type: | Article |
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Subjects: | Q Science > Q Science (General) |

Divisions: | Faculty of Science and Mathematics > Department of Statistics |

ID Code: | 8522 |

Deposited By: | Mr Hasbi Yasin |

Deposited On: | 14 Apr 2010 10:28 |

Last Modified: | 14 Apr 2010 10:28 |

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