Model Selection Tests Research Articles

Determinan Kemiskinan: Studi Kasus 10 Kota/Kabupaten di Provinsi Nusa Tenggara Barat Periode 2017-2022

Poverty is a condition when a person cannot fulfill their basic needs or live a decent life. Poverty basically arises due to many factors such as difficulty finding work, limited capital, low quality of education and other factors. This research aims to study how the GRDP rate, unemployment rate, and human development index affect the poverty rate of 10 cities/districts in West Nusa Tenggara in the period 2017-2022. Secondary data is used in this technique and uses panel data regression to analyze the data. The model selection test results show that the Fixed Effect Model is the best. According to the partial significance test results, the human development index affects the poverty rate at alpha α (0.05). The coefficient of determination (R2) is 0.994, which means that the simultaneous contribution of the independent variable to the dependent variable is 99.4 percent. Other additional variables not included in the model affect the remaining part.

Return On Asset, Return On Equity, And Net Profit Margin: Influence Stock Price

The company has a goal to fulfill the welfare of investors. Company performance is one of the considerations for potential investors before making investment decisions, because the higher the value of a company, the higher its share price. This study aims to analyze the effect of ROA, ROE, and NPM on stock prices. The analytical method uses panel data regression with a quantitative data approach. This study consists of several test analyses; descriptive testing, classical assumption testing, model selection testing, and hypothesis testing. The findings of this study indicate that ROA, ROE, and NPM simultaneously show a 16% effect on stock prices and partially ROA, ROE, and NPM are significant factors that influence stock prices. The implication is that a company that has a rate of return on assets, a rate of return through capital and liability management, and a high level of income contributes to an increase in profits thereby increasing stock prices.

Multi‐aspect permutation tests for model selection

AbstractIn typical machine learning frameworks, model selection is of fundamental importance: commonly, multiple models have to be trained and compared in order to identify the one with the best predictive performances. The aim of this study is to provide a new tool to improve the model selection process, allowing the user to identify the algorithm which significantly outperforms the other candidates. It proposes a robust model selection procedure based on a multi‐aspect permutation test which makes it possible to detect differences in both location and variability between two paired samples of prediction errors. A new extension of the nonparametric combination (NPC) methodology is therefore introduced and is integrated with an appropriate ranking procedure in order to deal with the comparison of candidate models. A simulation study is conducted to evaluate the performances of this testing procedure in 2‐sample and ‐sample problems, by generating data from various well‐known distributions and simulating several possible null and alternative scenarios. The adoption of the proposed technique in machine learning model selection problems is then discussed by means of multiple real data applications. These applications confirm what emerges from the simulation study: the introduced NPC‐based approach performs well under several different scenarios and represents a valuable tool for robust machine learning model selection.

PENGARUH KINERJA KEUANGAN TERHADAP PERTUMBUHAN LABA PADA PERUSAHAAN PROPERTY DAN REAL ESTATE YANG TERDAFTAR DI BEI PERIODE 2019-2021

This study aims to determine the effect of financial performance on profit growth. This study has a sample of 15 companies that have been determined by the sample selection technique. The method used in this research is a quantitative research method. The object of research is the property and real estate sector companies listed on the Indonesia Stock Exchange for the 2019-2021 period. Data collection is done in 2 ways, namely documentation and literature study. The tool used to test panel data estimation model selection, best model selection test, panel data regression and hypothesis testing is the Statistical Program For Social Science (SPSS) version 29. The results of this study indicate that the current ratio, debt to asset ratio, and total asset turnover has no effect on the profit growth of Property and Real Estate companies listed on the IDX for the 2019-2021 period. It can be concluded that the effect of the current ratio, debt to asset ratio, and total asset turnover listed on the IDX for the 2019-2021 period is 0.6%, while the remaining 99.4% is influenced by other variables not included in this study, including company size , Company Age, Past Sales Rate and Change

PENGARUH BID-ASK SPREAD, MARKET VALUE, KEBIJAKAN DIVIDEN, DAN VOLUME PERDAGANGAN TERHADAP HOLDING PERIOD

The purpose of this study is to examine and analyze the effect of Bid-Ask Spread, Market Value, Dividend Policy, and Trading Volume on the Holding Period of Tourism Recreation Companies listed on the Indonesia Stock Exchange for the 2017-2021 period. Sample selection using quota sampling technique and samples that meet the criteria of 29 companies. Data collection techniques were carried out using non-participant observation methods. The research method used is descriptive verifiative. The hypothesis was tested using panel data regression analysis technique with E-Views per 9.0. The model selection test in research is a fixed effect model. The results of the study are known that bid-ask spread has a significant positive effect on the holding period, market value has a significant positive effect on the holding period, Dividend policy with dividend payout ratio indicator has a significant positive effect on the holding period, and trading volume has a significant negative effect on the holding periodKeywords : Holding Period, Bid-Ask Spread, Market Value, Dividend Policy, Trading Volume

On vector linear double autoregression

This article proposes a vector linear double autoregressive (VLDAR) model with the constant conditional correlation specification, which can capture the co‐movement of multiple series and jointly model their conditional means and volatilities. The strict stationarity of the new model is discussed, and a self‐weighted Gaussian quasi‐maximum likelihood estimator (SQMLE) is proposed for estimation. To reduce the computational cost, especially when the series dimension is large, a block coordinate descent (BCD) algorithm is provided to calculate the SQMLE. Moreover, a Bayesian information criterion is introduced for order selection, and a multi‐variate mixed portmanteau test is constructed for checking the adequacy of fitted models. All asymptotic properties for estimation, model selection, and portmanteau test are established without any moment restrictions imposed on the data process, which makes the new model and its inference tools applicable for heavy‐tailed data. Simulation experiments are conducted to evaluate the finite‐sample performance of the proposed methodology, and an empirical example on analyzing S&P 500 sector indices is presented to illustrate the usefulness of the new model in contrast with competitors.

Pitfalls of Discrepancy in a Time-to-Event Analysis and the Value of TTT Tests for Model Selection

Pitfalls of Discrepancy in a Time-to-Event Analysis and the Value of TTT Tests for Model Selection

Pengaruh Komisaris Independen, Komite Audit dan Corporate Governance Terhadap Integritas Laporan Keuangan

This study aims to examine whether independent commissioners, audit committees, and corporate governance affect the integrity of financial reports in various industrial sector companies listed on the Indonesia Stock Exchange (IDX) in 2018 to 2020. The type of research conducted was quantitative research using the quantitative method. associative. The research sample was determined using a purposive sampling technique, so as to produce a sample of 41 companies with a total of 123 observational data. The analytical test used is descriptive statistical analysis test, panel data regression model selection, panel data regression model selection test, classical assumption test, panel data regression analysis and hypothesis testing. The results in this study were tested using the panel data regression model which aims to obtain an overall picture of the influence of independent commissioners, audit committees, and corporate governance on the integrity of financial statements. Overall the research results are presented in tabular form to make it easier to read and understand. The results of the study prove that independent commissioners, audit committees and corporate governance have proven to have a significant effect on the integrity of financial statements.

THE EFFECT OF COMPANY SIZE AND FINANCIAL PERFORMANCE ON EARNINGS MANAGEMENT

In the context of the expanding economy in Indonesia, the management of companies faces increased competition, necessitating effective strategies to stay competitive. Financial reports play a crucial role in evaluating a company's performance and aiding decision-making processes for both management and investors. Among the essential elements used to assess management performance in financial statements is profit, presented in the profit/loss statement. This study aims to provide empirical evidence on the effect of firm size and financial performance, proxied by profitability and leverage, on earnings management in mining companies listed on the Indonesia Stock Exchange during the period of 2016-2021. The research adopts a quantitative approach and utilizes secondary data from the selected mining companies. The population comprises mining companies listed on the Indonesia Stock Exchange, and the sample is obtained through purposive sampling, resulting in 66 data points from 11 companies over a 6-year period. Data analysis involves multiple linear regression, descriptive statistical tests, panel data regression model analysis, Common Effect Model selection test, classical assumption test, and multiple linear testing using Eviews version 11 for data processing. The research findings indicate that when considered together, Company Size and Financial Performance, represented by Profitability and Leverage, have a significant impact on Earnings Management. Specifically, Financial Performance, proxied by Profitability, is found to exert a notable effect on Earnings Management. However, the study reveals that Firm Size and Financial Performance, proxied by Leverage, do not significantly influence Earnings Management.

Modeling and Forecasting Unemployment Rate in Tanzania: An ARIMA Approach

Purpose: This study aims to develop a reliable forecasting approach for Tanzania's unemployment rate and provide policymakers with an effective tool for decision-making. Unemployment forecasting is vital for informed policymaking, particularly in countries like Tanzania. Methodology: This study employs a quantitative research design and adopts Box Jenkin's methodology and the ARIMA (AutoRegressive Integrated Moving Average) model for unemployment forecasting in Tanzania. The entire available dataset for the specified period is utilized, employing a non-probability sampling technique. Diagnostic tests, including ACF (AutoCorrelation Function), PACF (Partial AutoCorrelation Function), and unit root analysis, are conducted to guide the optimal model selection. Differencing addresses non-stationarity in the time series data by removing trend and seasonality effects. The optimal model selection is based on criteria such as AIC (Akaike Information Criterion), Schwartz, and Hannan-Quinn. Findings: The study finds that the ARIMA (3,1,4) model demonstrates superior performance in forecasting the unemployment rate in Tanzania. Diagnostic checks validate the adequacy of the model, revealing white noise residuals. The forecasts indicate a consistent downward trend in unemployment rates over the next nine years, suggesting potential labour market improvements in Tanzania. These findings enhance our understanding of Tanzania's unemployment dynamics and provide valuable insights for policymakers. Originality/Value: The study lies in its application of Box Jenkin's methodology and the ARIMA model to unemployment forecasting in Tanzania. By utilizing the entire available dataset and employing diagnostic tests for model selection, the study enhances the reliability of the forecasting approach. The study offers policymakers an informed decision-making tool by providing accurate forecasts and capturing underlying trends.

The development of the tourism sector and its impact

Study of the tourism industry on the island of Sumatra, which is one of the islands with the most tourist destinations. The relationship between the growth of the tourism industry sector with per capita income and unemployment has been analyzed by researchers.This study was carried out using panel regression, where time series data (2009-2020) and cross-section data (5 provinces). A series of tests were performed before the regression equation was analyzed. The series of tests carried out are the best model selection test (through the Chow test, Hausman test, and Lagrange Multiplier Test) and the Classical Assumption Test (through normality, heteroscedasticity, and autocorrelation tests). Based on the results of applying the panel regression model, the first model: Fixed Effects Model was selected, and the second model: General Effects Model.The two selected models explain that the tourism sector has a positive and significant effect on per capita income and a negative and significant effect on the unemployment rate. The results of the study, that the tourism sector is an important factor in increasing per capita income and reducing unemployment rates. At the same time, it is known that the tourism sector has a significant share in contributing to the Gross Domestic Product. For this reason, it is necessary to stimulate the government to increase the contribution of the tourism sector through improving the quality of human resources in the tourism sector, infrastructure, and adding new destinations.

The Effect of Income Inequality, Women's Empowerment, Unemployment and Population Density on Poverty in Aceh Province

This study aims to analyze the effect of income inequality, women’s empowerment, unemployment, and population density on poverty levels in Aceh Province during 2017-2020. This study uses secondary data from 2017-2020 from the Central Statistics Agency (BPS) of Aceh Province. The research method uses panel data regression analysis techniques, with the best model selection test obtained being the fixed effect model (FEM). The results showed that the variables of women’s empowerment and population density significantly negatively affected the level of poverty. Meanwhile, income inequality and unemployment variables had no effect on the poverty level in Aceh Province in 2017-2020.

Dampak Environmental, Social, Dan Governance (ESG) Terhadap Kinerja Keuangan

Purpose: The objective of this study is to assess how social, environmental, and governance factors impact the financial performance of companies in non-financial sectors. These three factors are assessed based on the Global Reporting Initiative (GRI) standard indicators. In addition, financial performance as a dependent variable is proxied through the Return on Assets (ROA) ratio. Methodology/Approach: This study used quantitative data with a purposive sampling approach and selected 32 non-financial sector companies with a research period from 2019 – 2021, so that the number of research observation data used was 96 samples. Regression analysis of panel data is used for testing research hypotheses. Data analysis techniques start from descriptive statistical analysis, classical assumption tests, panel data regression model selection tests, determination coefficient tests (R2), simultaneous tests (f), and partial tests (t). The fixed effect model was selected for this study after the chow test and hausman test. Findings: The findings of this study show that social factors, environmental factors, and governance factors have a positive influence on the financial performance of non-financial sector companies. This research provides an understanding of the application of ESG and its impact on the financial performance of non-financial sector companies in 2019-2021. Practical and Theoretical Contribution/Originality: The implication is that increasing awareness and compliance with corporate social responsibility on the environment, social and governance on the impact of the company's operational activities is a way for corporate sustainability.

Application of Minimum Bayes Factor to A Balanced Two-Way ANOVA With Random Effects

It is a common practice in statistical analysis to draw conclusions based on significance. P-values often reflect the probability of incorrectly concluding that a null hypothesized model is true; they do not provide information about other types of error that are also important for interpreting statistical results. Standard model selection criteria and test procedures are often inappropriate for comparing models with different numbers of random effects, due to constraints on the parameter space of the variance components. In this paper, we focused on a minimum Bayes factor proposed by Held and Ott (2018) and applied it to a balanced two way analysis of variance (ANOVA) with random effects under three cases namely: Case 1: both factors are fixed; Case 2: both factors are random; Case 3: factor A is fixed and factor B is random. We realized that in all the three cases, considered the Bayes factor indicates weak evidence against the null hypothesis of zero variability in the effects of the levels of the factors as well as the interactions. This result is due to the conservative nature of the minimum Bayes factor

DOES FINANCIAL INCLUSION AFFECT PROFITABILITY OF COMMERCIAL BANKS?

Purpose: The objective of this study is to investigate the impact of financial inclusion on commercial banks profitability in 60 countries between 2017 and 2021.
 Design/Methodology/Approach: The study used 300 observations from countries with developed and undeveloped banking systems. The paper applies estimation methods including Pooled OLS, FEM, REM and GLS related to panel data as well as multicollinearity, heteroscedasticity tests for model selection.
 Research findings: Similar to previous papers, this research proved that most financial inclusion indicators have positive correlation with commercial banks profitability. In addition, this research suggested 3 new variables and pointed out: “Institutions of commercial banks”; “Outstanding-loans with commercial banks” positively impact banks profitability whereas “Outstanding-deposits with commercial banks” has negative influence on banks profitability.
 Theoretical contribution/Originality: The majority of previous papers have explored the effect of financial inclusion at the national level, for example, the relationship between financial inclusion and economic growth. Meanwhile, this paper investigated the impact of financial inclusion on commercial bank profitability, an issue concerned recently.
 Policy implication: This study can assist countries achieve a higher level of financial inclusion to raise commercial banks profitability, thereby boosting economic growth.

DOES FINANCIAL INCLUSION AFFECT PROFITABILITY OF COMMERCIAL BANKS?

Purpose: The objective of this study is to investigate the impact of financial inclusion on commercial banks profitability in 60 countries between 2017 and 2021.
 Design/Methodology/Approach: The study used 300 observations from countries with developed and undeveloped banking systems. The paper applies estimation methods including Pooled OLS, FEM, REM and GLS related to panel data as well as multicollinearity, heteroscedasticity tests for model selection.
 Research findings: Similar to previous papers, this research proved that most financial inclusion indicators have positive correlation with commercial banks profitability. In addition, this research suggested 3 new variables and pointed out: “Institutions of commercial banks”; “Outstanding-loans with commercial banks” positively impact banks profitability whereas “Outstanding-deposits with commercial banks” has negative influence on banks profitability.
 Theoretical contribution/Originality: The majority of previous papers have explored the effect of financial inclusion at the national level, for example, the relationship between financial inclusion and economic growth. Meanwhile, this paper investigated the impact of financial inclusion on commercial bank profitability, an issue concerned recently.
 Policy implication: This study can assist countries achieve a higher level of financial inclusion to raise commercial banks profitability, thereby boosting economic growth.

PENGARUH EARNING PER SHARE, RETURN ON EQUITY, DEBT TO EQUITY RATIO DAN CURRENT RATIO TERHADAP HARGA SAHAM DI PERUSAHAAN MAKANAN DAN MINUMAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2017-2021

The study aims to determine the effect of Earning Per Share, Return On Equity, Debt To Equity Ratio and Current Ratio on stock prices in food and beverage companies listed on the Indonesia Stock Exchange for the 2017-2021 period. This research method uses an associative quantitative approach. The sampling technique used was purposive sampling, thus finding 17 food and beverage companies listed on the Indonesia Stock Exchange from 2017-2021 as research samples. The data that has been collected is then tested using Eviews, namely testing several tests which include, descriptive statistical test, multicollinearity test, panel regression model selection test, panel regression goodness-of-fit test, partial test, simultaneous test, coefficient of determination test, classic assumption test which includes the normality and heteroscedasticity test. The findings of the data in this study show that the variables Earning Per Share, Return on Equity, Debt to Equity Ratio, Current Ratio have a partial and simultaneous effect on stock prices in food and beverage companies listed on the Indonesia Stock Exchange for the 2017-2021 period.

Measuring Financial Distress of Islamic Banks Under Pandemic and Its Determinants: Random Effect Approach

This study objectives to measure banks’ financial distress level and test whether fundamental factors and COVID-19 affect the banks' financial conditions. The data were sourced from the Islamic banks’ quarterly financial reports in Indonesia for 2019.1 to 2021.1 to find out a financial conditions before and during the pandemic. Testing was done through a panel data regression test. The random effect model was obtained as the best model for this research after going through several stages of model selection tests. Meanwhile, this study produced several essential findings for adding to the empirical research repertoire during the pandemic. First, the Altman Z-Score test's results varied from distress, a gray area, and safe from ten Islamic banks studied. Second, after several testing stages, it was found that capital adequacy, profitability, and financing proportion positively affected financial conditions, while COVID-19 did not affect the Islamic banks’ financial conditions. These findings showed that Islamic banks in Indonesia are stable during the pandemic for the short-term, however, for the long-term impact requires more observations.

Audit Committee Attributes and Corporate Tax Avoidance: The Moderating Role of Audit Committee Independence

This research investigates the effect of audit committee (AC) attributes on tax avoidance of the selected fuel & power sector companies listed on DSE of Bangladesh. The study employs a panel data set of 17 fuel & power sector companies for 5 years, i.e., 2015-16 to 2019-2020, and analyses the sample data by applying panel data regression model. The study uses two econometric models for making the empirical analysis and testing the undertaken hypotheses. Adopting several diagnostic tests, and model selection tests, the study runs random effect model for first econometric model and fixed effect model for second econometric model. It also performs a series of robustness tests by adopting alternate regression methods, and alternate proxy of dependent variable for further confirmation of the empirical findings. The study finds that AC size has negative insignificant association with corporate tax avoidance, while AC meeting has negative significant relationship to corporate tax avoidance. Further, the study finds that AC independence moderates the relationship of AC size and AC meeting with corporate tax avoidance. Specifically, the study documents that the interaction of AC size and AC independence (ACS*ACI) has negative significant relationship to corporate tax avoidance, while the interaction of AC meeting and AC independence (ACM*ACI) has positive significant association to corporate tax avoidance. Thus, the study might contribute in policy making by the policymakers and practitioners of the business sectors to control or limit the corporate tax avoidance.

Application of Minimum Bayes Factor to a Balanced Two-Way Anova with Random Effects

It is a common practice in statistical analysis to draw conclusions based on significance. P-values often reflect the probability of incorrectly concluding that a null hypothesized model is true; they do not provide information about other types of error that are also important for interpreting statistical results. Standard model selection criteria and test procedures are often inappropriate for comparing models with different numbers of random effects, due to constraints on the parameter space of the variance components. In this paper, we focused on a minimum Bayes factor proposed by Held and Ott (2018) and applied it to a balanced two way analysis of variance (ANOVA) with random effects under three cases namely: Case 1: both factors are fixed; Case 2: both factors are random; Case 3: factor A is fixed and factor B is random. We realized that in all the three cases, considered the Bayes factor indicates weak evidence against the null hypothesis of zero variability in the effects of the levels of the factors as well as the interactions. This result is due to the conservative nature of the minimum Bayes factor.