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Minimum Variance Quadratic Unbiased Estimation Approach in Panel Data Regression Analysis with Two-Way Error Component Estimation Using Biggers Method

Pendekatan Minimum Variance Quadratic Unbiased Estimation dalam Analisis Regresi Data Panel dengan Pendugaan Komponen Galat Dua Arah Menggunakan Metode Biggers

Jurnal Matematika, Statistika dan Komputasi · Vol. 21 No. 2 (2025) · pp. 439–455

DOI
10.20956/j.v21i2.37325
ISSN
2614-8811, 1858-1382
Published
2025-01-12
Publisher
Department of Mathematics, Hasanuddin University
Language
en
License
creativecommons.org/licenses/by/4.0

Abstract

Panel data that have missing observations can be known as incomplete panel data. The model used is a two-way error component. The missing data estimation used is the Biggers method. This study aims to model the incomplete panel data regression of two-way error components on Manufacturing Company Stock Return data. The method used for estimating the error variance component is Minimum Variance Quadratic Unbiased Estimation (MIVQUE) with parameter estimation using Maximum Likelihood (ML). The method was applied to IDX data for 10 companies from 2014-2021. The results obtained using the MIVQUE method are σ ̂_v^2= 0.1142, σ ̂_μ^2=-0.0107, and σ ̂_λ^2=0.0068, for the ML method produces β ̂_0=0.0304719 〖 β ̂〗_1= -0.021107, and β ̂_2=0.0087936. Based on these methods, if there is an increase in the Debt to Equity Ratio, there is a decrease in the value of stock returns, and vice versa for Net Profit Margin.

Keywords

Collaboration network of the authors

40 authors · 128 co-authorship links · showing the 40 most connected

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  • Padjadjaran University
  • Sultan Ageng Tirtayasa University
  • Universitas Halu Oleo
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Anisa AnisaSultan Ageng Tirtayasa University7
Anna IslamiyatiAffiliation unknown6
A.Muthiah Nur AngrianyAffiliation unknown5
Anisa KalondengAffiliation unknown4
Nirwan IlyasAffiliation unknown4
Sri Astuti ThamrinAffiliation unknown3
Sitti SahrimanAffiliation unknown3
Nurtiti SunusiAffiliation unknown3
Andi Isna YunitaAffiliation unknown2
Andi M Alfin BasoAffiliation unknown2
M. Zaky Hisyam GozhiAffiliation unknown2
Vika Yugi KurniawanAffiliation unknown2
Ade Safira SeptianyAffiliation unknown2
Andi Kresna JayaAffiliation unknown2
Muhammad FadilAffiliation unknown2
Nasrah SirajangAffiliation unknown2
Fauziah NurhidayahAffiliation unknown2
Anni Ivoni ParapaAffiliation unknown2
Georgina Maria TinungkiAffiliation unknown2
Budi AyuningsihPadjadjaran University1
Iman HernamanPadjadjaran University1
Tidi DhalikaPadjadjaran University1
Destu Putra RosmawanAffiliation unknown1
Dedi RahmatPadjadjaran University1
Ansharullah AnsharullahUniversitas Halu Oleo1
Abdu Rahman BacoAffiliation unknown1
Alfiana AntohAffiliation unknown1
Yundy HafizriandaAffiliation unknown1
Zhazha Alifkhamulki RamdhaniAffiliation unknown1
Samsul ArifinAffiliation unknown1
Andi Sitti Fahmi Riyanti HufainiAffiliation unknown1
Dwicahyo Ramadhan PriyatnaAffiliation unknown1
La Podje TalangkoAffiliation unknown1
Vieri KoerniawanAffiliation unknown1
Dewi Rahma EnteAffiliation unknown1
Andi Tenri Riski AmaliaAffiliation unknown1
Fitri AnnisaAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/jmsk/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">Minimum Variance Quadratic Unbiased Estimation Approach in Panel Data Regression Analysis with Two-Way Error Component Estimation Using Biggers Method </dc:title>
	<dc:title xml:lang="id">Pendekatan Minimum Variance Quadratic Unbiased Estimation dalam Analisis Regresi Data Panel dengan Pendugaan Komponen Galat Dua Arah Menggunakan Metode Biggers</dc:title>
	<dc:creator xml:lang="en">Arumtiwi, Andi Atirah</dc:creator>
	<dc:creator xml:lang="en">Raupong, Raupong</dc:creator>
	<dc:creator xml:lang="en">Siswanto, Siswanto</dc:creator>
	<dc:subject xml:lang="en">Incomplete Panel Data</dc:subject>
	<dc:subject xml:lang="en">Two-way Error Component</dc:subject>
	<dc:subject xml:lang="en">MIVQUE</dc:subject>
	<dc:subject xml:lang="en">ML</dc:subject>
	<dc:subject xml:lang="en">Stock Return</dc:subject>
	<dc:description xml:lang="en">Panel data that have missing observations can be known as incomplete panel data. The model used is a two-way error component. The missing data estimation used is the Biggers method. This study aims to model the incomplete panel data regression of two-way error components on Manufacturing Company Stock Return data. The method used for estimating the error variance component is Minimum Variance Quadratic Unbiased Estimation (MIVQUE) with parameter estimation using Maximum Likelihood (ML). The method was applied to IDX data for 10 companies from 2014-2021. The results obtained using the MIVQUE method are σ ̂_v^2= 0.1142, σ ̂_μ^2=-0.0107, and σ ̂_λ^2=0.0068, for the ML method produces β ̂_0=0.0304719 〖 β ̂〗_1= -0.021107, and β ̂_2=0.0087936. Based on these methods, if there is an increase in the Debt to Equity Ratio, there is a decrease in the value of stock returns, and vice versa for Net Profit Margin.</dc:description>
	<dc:publisher xml:lang="en">Department of Mathematics, Hasanuddin University</dc:publisher>
	<dc:date>2025-01-12</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unhas.ac.id/index.php/jmsk/article/view/37325</dc:identifier>
	<dc:identifier>10.20956/j.v21i2.37325</dc:identifier>
	<dc:source xml:lang="en">Jurnal Matematika, Statistika dan Komputasi; Vol. 21 No. 2 (2025): JANUARY 2025; 439-455</dc:source>
	<dc:source>2614-8811</dc:source>
	<dc:source>1858-1382</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/jmsk/article/view/37325/12444</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2025 Jurnal Matematika, Statistika dan Komputasi</dc:rights>
	<dc:rights xml:lang="en">https://creativecommons.org/licenses/by/4.0</dc:rights>
</oai_dc:dc>