ANALISIS REGRESI DATA PANEL DINAMIS MENGGUNAKAN METODE GENERALIZED METHOD OF MOMENT SYSTEM (SYS-GMM) BLUNDELL-BOND

Rayi Lentera Surya, NIM.: 20106010017 (2024) ANALISIS REGRESI DATA PANEL DINAMIS MENGGUNAKAN METODE GENERALIZED METHOD OF MOMENT SYSTEM (SYS-GMM) BLUNDELL-BOND. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Dynamic panel data regression is one of the mathematical modeling approaches well-suited for dynamic concepts, where a variable is not only influenced by variables in the same period but also by variables from previous periods. Due to the correlation between the lagged dependent variable and the error term, OLS estimates are biased and inconsistent. Therefore, the FD-GMM estimation method can be used to obtain unbiased, consistent, and efficient estimates. Furthermore, according to Blundell & Bond (1998), a more efficient estimator is the Generalized Method of Moment System (SYS-GMM). This study uses a case study of economic growth in West Java province from 2013-2023, with suspected influencing variables being the previous year's GRDP and the Human Development Index (HDI). The study found that the variables significantly affecting West Java's economic growth are the previous year's GRDP and HDI. For short-term elasticity modeling, the previous year's GRDP variable is 0,26106 and HDI is 0,28709. For the long-term effect, the HDI variable is 0,388516.

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