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H1: multiple linear regression export poland

*The author of this computation has been verified*
R Software Module: rwasp_multipleregression.wasp (opens new window with default values)
Title produced by software: Multiple Regression
Date of computation: Wed, 03 Dec 2008 15:54:46 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9.htm/, Retrieved Wed, 03 Dec 2008 22:55:53 +0000
 
BibTeX entries for LaTeX users:
@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
 
Feedback Forum:
2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply
test

Post a new message
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
156.3 0 151.5 0 159.1 0 166.9 0 160.5 0 162.8 0 178.9 0 148.5 0 184.1 0 197 0 186.8 0 139.2 0 162.7 0 187.5 0 235.8 0 219.4 0 212.4 1 220.2 1 197.5 1 185.6 1 232.4 1 223.8 1 219.4 1 191.4 1 210.4 1 212.6 1 274.4 1 256 1 227.6 1 261.7 1 237 1 234.9 1 310.6 1 274.2 1 288.1 1 242.5 1 271.7 1 282.2 1 317.4 1 280.3 1 322.6 1 328.2 1 280.7 1 288.8 1 347.9 1 360.1 1 348 1 275.7 1 332.6 1 340.8 1 390.5 1 351.2 1 377.4 1 413.5 1 366.9 1 364.8 1 388 1 429.8 1 423.6 1 326.4 1
 
Output produced by software:

Enter (or paste) a matrix (table) containing all data (time) series. Every column represents a different variable and must be delimited by a space or Tab. Every row represents a period in time (or category) and must be delimited by hard returns. The easiest way to enter data is to copy and paste a block of spreadsheet cells. Please, do not use commas or spaces to seperate groups of digits!


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time4 seconds
R Server'George Udny Yule' @ 72.249.76.132


Multiple Linear Regression - Estimated Regression Equation
Poland[t] = + 174.8125 + 118.864772727273Dummy[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)174.812514.90879111.725500
Dummy118.86477272727317.4097176.827500


Multiple Linear Regression - Regression Statistics
Multiple R0.667521250439188
R-squared0.445584619787897
Adjusted R-squared0.436025733922171
F-TEST (value)46.6147023876049
F-TEST (DF numerator)1
F-TEST (DF denominator)58
p-value5.70843161629142e-09
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation59.6351630206148
Sum Squared Residuals206268.454772727


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1156.3174.812500000000-18.5125000000004
2151.5174.8125-23.3125000000001
3159.1174.8125-15.7125000000000
4166.9174.8125-7.91249999999994
5160.5174.8125-14.3124999999999
6162.8174.8125-12.0124999999999
7178.9174.81254.08750000000006
8148.5174.8125-26.3124999999999
9184.1174.81259.28750000000005
10197174.812522.1875000000001
11186.8174.812511.9875000000001
12139.2174.8125-35.6125000000000
13162.7174.8125-12.1125000000000
14187.5174.812512.6875000000001
15235.8174.812560.9875000000001
16219.4174.812544.5875000000001
17212.4293.677272727273-81.2772727272727
18220.2293.677272727273-73.4772727272727
19197.5293.677272727273-96.1772727272727
20185.6293.677272727273-108.077272727273
21232.4293.677272727273-61.2772727272727
22223.8293.677272727273-69.8772727272727
23219.4293.677272727273-74.2772727272727
24191.4293.677272727273-102.277272727273
25210.4293.677272727273-83.2772727272727
26212.6293.677272727273-81.0772727272727
27274.4293.677272727273-19.2772727272727
28256293.677272727273-37.6772727272727
29227.6293.677272727273-66.0772727272727
30261.7293.677272727273-31.9772727272727
31237293.677272727273-56.6772727272727
32234.9293.677272727273-58.7772727272727
33310.6293.67727272727316.9227272727273
34274.2293.677272727273-19.4772727272727
35288.1293.677272727273-5.5772727272727
36242.5293.677272727273-51.1772727272727
37271.7293.677272727273-21.9772727272727
38282.2293.677272727273-11.4772727272727
39317.4293.67727272727323.7227272727273
40280.3293.677272727273-13.3772727272727
41322.6293.67727272727328.9227272727273
42328.2293.67727272727334.5227272727273
43280.7293.677272727273-12.9772727272727
44288.8293.677272727273-4.87727272727271
45347.9293.67727272727354.2227272727273
46360.1293.67727272727366.4227272727273
47348293.67727272727354.3227272727273
48275.7293.677272727273-17.9772727272727
49332.6293.67727272727338.9227272727273
50340.8293.67727272727347.1227272727273
51390.5293.67727272727396.8227272727273
52351.2293.67727272727357.5227272727273
53377.4293.67727272727383.7227272727273
54413.5293.677272727273119.822727272727
55366.9293.67727272727373.2227272727273
56364.8293.67727272727371.1227272727273
57388293.67727272727394.3227272727273
58429.8293.677272727273136.122727272727
59423.6293.677272727273129.922727272727
60326.4293.67727272727332.7227272727273


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
50.001617140080275050.00323428016055010.998382859919725
60.0001658385577314640.0003316771154629280.999834161442269
70.0002495155070903380.0004990310141806750.99975048449291
88.24195296359191e-050.0001648390592718380.999917580470364
98.35896580041033e-050.0001671793160082070.999916410341996
100.0001772849260373050.0003545698520746090.999822715073963
117.91191391961849e-050.0001582382783923700.999920880860804
126.92778199440554e-050.0001385556398881110.999930722180056
131.86400134457655e-053.72800268915311e-050.999981359986554
149.27199685518291e-061.85439937103658e-050.999990728003145
150.0002057315031764490.0004114630063528970.999794268496824
160.0002764707032852540.0005529414065705080.999723529296715
170.0001258909345975090.0002517818691950180.999874109065402
185.64305042716156e-050.0001128610085432310.999943569495728
193.47125302796719e-056.94250605593439e-050.99996528746972
203.00677896348129e-056.01355792696258e-050.999969932210365
212.15063398392615e-054.3012679678523e-050.99997849366016
221.23888155216186e-052.47776310432371e-050.999987611184478
237.2218294242005e-061.4443658848401e-050.999992778170576
248.85877606338048e-061.77175521267610e-050.999991141223937
257.21077205415314e-061.44215441083063e-050.999992789227946
266.69174692914068e-061.33834938582814e-050.99999330825307
273.59543704523615e-057.1908740904723e-050.999964045629548
284.86885829250711e-059.73771658501422e-050.999951311417075
295.30009010148538e-050.0001060018020297080.999946999098985
308.1378147219624e-050.0001627562944392480.99991862185278
310.0001041737950728640.0002083475901457280.999895826204927
320.0001684001077457130.0003368002154914250.999831599892254
330.001318337221382910.002636674442765820.998681662778617
340.001951191716109150.003902383432218310.99804880828389
350.003202977849964230.006405955699928470.996797022150036
360.006593293104237740.01318658620847550.993406706895762
370.01081575301556440.02163150603112890.989184246984436
380.01795953807983100.03591907615966190.98204046192017
390.03405137204249620.06810274408499230.965948627957504
400.05455368154016750.1091073630803350.945446318459833
410.08157419695188640.1631483939037730.918425803048114
420.1088544550283490.2177089100566980.891145544971651
430.1755723253305360.3511446506610710.824427674669464
440.2789375385513840.5578750771027680.721062461448616
450.3288899596673230.6577799193346460.671110040332677
460.3690521549956830.7381043099913650.630947845004317
470.3706620968003330.7413241936006670.629337903199667
480.6814754749226160.6370490501547680.318524525077384
490.7251467921206570.5497064157586870.274853207879343
500.7518150277917710.4963699444164570.248184972208229
510.7315963205584350.5368073588831290.268403679441564
520.7097872882997820.5804254234004370.290212711700218
530.6318440187447810.7363119625104370.368155981255219
540.5976566558503520.8046866882992960.402343344149648
550.4664468438940670.9328936877881340.533553156105933


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level310.607843137254902NOK
5% type I error level340.666666666666667NOK
10% type I error level350.686274509803922NOK
 
Charts produced by software:
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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9/1l2ro1228344881.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9/4uj2l1228344881.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9/5icql1228344881.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9/6zm6a1228344881.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9/71eqm1228344881.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9/80bvc1228344881.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9/80bvc1228344881.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9/9be691228344881.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t122834494392dime3uf95yhw9/9be691228344881.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;
 
R code (references can be found in the software module):
library(lattice)
library(lmtest)
n25 <- 25 #minimum number of obs. for Goldfeld-Quandt test
par1 <- as.numeric(par1)
x <- t(y)
k <- length(x[1,])
n <- length(x[,1])
x1 <- cbind(x[,par1], x[,1:k!=par1])
mycolnames <- c(colnames(x)[par1], colnames(x)[1:k!=par1])
colnames(x1) <- mycolnames #colnames(x)[par1]
x <- x1
if (par3 == 'First Differences'){
x2 <- array(0, dim=c(n-1,k), dimnames=list(1:(n-1), paste('(1-B)',colnames(x),sep='')))
for (i in 1:n-1) {
for (j in 1:k) {
x2[i,j] <- x[i+1,j] - x[i,j]
}
}
x <- x2
}
if (par2 == 'Include Monthly Dummies'){
x2 <- array(0, dim=c(n,11), dimnames=list(1:n, paste('M', seq(1:11), sep ='')))
for (i in 1:11){
x2[seq(i,n,12),i] <- 1
}
x <- cbind(x, x2)
}
if (par2 == 'Include Quarterly Dummies'){
x2 <- array(0, dim=c(n,3), dimnames=list(1:n, paste('Q', seq(1:3), sep ='')))
for (i in 1:3){
x2[seq(i,n,4),i] <- 1
}
x <- cbind(x, x2)
}
k <- length(x[1,])
if (par3 == 'Linear Trend'){
x <- cbind(x, c(1:n))
colnames(x)[k+1] <- 't'
}
x
k <- length(x[1,])
df <- as.data.frame(x)
(mylm <- lm(df))
(mysum <- summary(mylm))
if (n > n25) {
kp3 <- k + 3
nmkm3 <- n - k - 3
gqarr <- array(NA, dim=c(nmkm3-kp3+1,3))
numgqtests <- 0
numsignificant1 <- 0
numsignificant5 <- 0
numsignificant10 <- 0
for (mypoint in kp3:nmkm3) {
j <- 0
numgqtests <- numgqtests + 1
for (myalt in c('greater', 'two.sided', 'less')) {
j <- j + 1
gqarr[mypoint-kp3+1,j] <- gqtest(mylm, point=mypoint, alternative=myalt)$p.value
}
if (gqarr[mypoint-kp3+1,2] < 0.01) numsignificant1 <- numsignificant1 + 1
if (gqarr[mypoint-kp3+1,2] < 0.05) numsignificant5 <- numsignificant5 + 1
if (gqarr[mypoint-kp3+1,2] < 0.10) numsignificant10 <- numsignificant10 + 1
}
gqarr
}
bitmap(file='test0.png')
plot(x[,1], type='l', main='Actuals and Interpolation', ylab='value of Actuals and Interpolation (dots)', xlab='time or index')
points(x[,1]-mysum$resid)
grid()
dev.off()
bitmap(file='test1.png')
plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index')
grid()
dev.off()
bitmap(file='test2.png')
hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
grid()
dev.off()
bitmap(file='test3.png')
densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
dev.off()
bitmap(file='test4.png')
qqnorm(mysum$resid, main='Residual Normal Q-Q Plot')
qqline(mysum$resid)
grid()
dev.off()
(myerror <- as.ts(mysum$resid))
bitmap(file='test5.png')
dum <- cbind(lag(myerror,k=1),myerror)
dum
dum1 <- dum[2:length(myerror),]
dum1
z <- as.data.frame(dum1)
z
plot(z,main=paste('Residual Lag plot, lowess, and regression line'), ylab='values of Residuals', xlab='lagged values of Residuals')
lines(lowess(z))
abline(lm(z))
grid()
dev.off()
bitmap(file='test6.png')
acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
grid()
dev.off()
bitmap(file='test7.png')
pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
grid()
dev.off()
bitmap(file='test8.png')
opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
plot(mylm, las = 1, sub='Residual Diagnostics')
par(opar)
dev.off()
if (n > n25) {
bitmap(file='test9.png')
plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
grid()
dev.off()
}
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
a<-table.row.end(a)
myeq <- colnames(x)[1]
myeq <- paste(myeq, '[t] = ', sep='')
for (i in 1:k){
if (mysum$coefficients[i,1] > 0) myeq <- paste(myeq, '+', '')
myeq <- paste(myeq, mysum$coefficients[i,1], sep=' ')
if (rownames(mysum$coefficients)[i] != '(Intercept)') {
myeq <- paste(myeq, rownames(mysum$coefficients)[i], sep='')
if (rownames(mysum$coefficients)[i] != 't') myeq <- paste(myeq, '[t]', sep='')
}
}
myeq <- paste(myeq, ' + e[t]')
a<-table.row.start(a)
a<-table.element(a, myeq)
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable1.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,hyperlink('http://www.xycoon.com/ols1.htm','Multiple Linear Regression - Ordinary Least Squares',''), 6, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Variable',header=TRUE)
a<-table.element(a,'Parameter',header=TRUE)
a<-table.element(a,'S.D.',header=TRUE)
a<-table.element(a,'T-STAT<br />H0: parameter = 0',header=TRUE)
a<-table.element(a,'2-tail p-value',header=TRUE)
a<-table.element(a,'1-tail p-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:k){
a<-table.row.start(a)
a<-table.element(a,rownames(mysum$coefficients)[i],header=TRUE)
a<-table.element(a,mysum$coefficients[i,1])
a<-table.element(a, round(mysum$coefficients[i,2],6))
a<-table.element(a, round(mysum$coefficients[i,3],4))
a<-table.element(a, round(mysum$coefficients[i,4],6))
a<-table.element(a, round(mysum$coefficients[i,4]/2,6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable2.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Regression Statistics', 2, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Multiple R',1,TRUE)
a<-table.element(a, sqrt(mysum$r.squared))
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'R-squared',1,TRUE)
a<-table.element(a, mysum$r.squared)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Adjusted R-squared',1,TRUE)
a<-table.element(a, mysum$adj.r.squared)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'F-TEST (value)',1,TRUE)
a<-table.element(a, mysum$fstatistic[1])
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'F-TEST (DF numerator)',1,TRUE)
a<-table.element(a, mysum$fstatistic[2])
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'F-TEST (DF denominator)',1,TRUE)
a<-table.element(a, mysum$fstatistic[3])
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'p-value',1,TRUE)
a<-table.element(a, 1-pf(mysum$fstatistic[1],mysum$fstatistic[2],mysum$fstatistic[3]))
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Residual Statistics', 2, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Residual Standard Deviation',1,TRUE)
a<-table.element(a, mysum$sigma)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Sum Squared Residuals',1,TRUE)
a<-table.element(a, sum(myerror*myerror))
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable3.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Actuals, Interpolation, and Residuals', 4, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Time or Index', 1, TRUE)
a<-table.element(a, 'Actuals', 1, TRUE)
a<-table.element(a, 'Interpolation<br />Forecast', 1, TRUE)
a<-table.element(a, 'Residuals<br />Prediction Error', 1, TRUE)
a<-table.row.end(a)
for (i in 1:n) {
a<-table.row.start(a)
a<-table.element(a,i, 1, TRUE)
a<-table.element(a,x[i])
a<-table.element(a,x[i]-mysum$resid[i])
a<-table.element(a,mysum$resid[i])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable4.tab')
if (n > n25) {
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'p-values',header=TRUE)
a<-table.element(a,'Alternative Hypothesis',3,header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'breakpoint index',header=TRUE)
a<-table.element(a,'greater',header=TRUE)
a<-table.element(a,'2-sided',header=TRUE)
a<-table.element(a,'less',header=TRUE)
a<-table.row.end(a)
for (mypoint in kp3:nmkm3) {
a<-table.row.start(a)
a<-table.element(a,mypoint,header=TRUE)
a<-table.element(a,gqarr[mypoint-kp3+1,1])
a<-table.element(a,gqarr[mypoint-kp3+1,2])
a<-table.element(a,gqarr[mypoint-kp3+1,3])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable5.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Description',header=TRUE)
a<-table.element(a,'# significant tests',header=TRUE)
a<-table.element(a,'% significant tests',header=TRUE)
a<-table.element(a,'OK/NOK',header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'1% type I error level',header=TRUE)
a<-table.element(a,numsignificant1)
a<-table.element(a,numsignificant1/numgqtests)
if (numsignificant1/numgqtests < 0.01) dum <- 'OK' else dum <- 'NOK'
a<-table.element(a,dum)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'5% type I error level',header=TRUE)
a<-table.element(a,numsignificant5)
a<-table.element(a,numsignificant5/numgqtests)
if (numsignificant5/numgqtests < 0.05) dum <- 'OK' else dum <- 'NOK'
a<-table.element(a,dum)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'10% type I error level',header=TRUE)
a<-table.element(a,numsignificant10)
a<-table.element(a,numsignificant10/numgqtests)
if (numsignificant10/numgqtests < 0.1) dum <- 'OK' else dum <- 'NOK'
a<-table.element(a,dum)
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable6.tab')
}
 





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Software written by Ed van Stee & Patrick Wessa


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