R version 2.8.0 (2008-10-20)
Copyright (C) 2008 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> x <- array(list(95.2,0,95.00,0,94.00,0,92.2,0,91.00,0,91.2,0,103.4,1,105.00,0,104.6,0,103.8,0,101.8,0,102.4,0,103.8,0,103.4,0,102.00,0,101.8,0,100.2,0,101.4,0,113.8,0,116.00,0,115.6,0,113.00,0,109.4,0,111.00,0,112.4,0,112.2,0,111.00,0,108.8,0,107.4,0,108.6,0,118.8,0,122.2,1,122.6,0,122.2,0,118.8,0,119.00,0,118.2,0,117.8,0,116.8,0,114.6,0,113.4,0,113.8,0,124.2,0,125.8,0,125.6,0,122.4,0,119.00,0,119.4,0,118.6,0,118.00,0,116.00,0,114.8,0,114.6,0,114.6,0,124.00,0,125.2,0,124.00,0,117.6,1,113.2,0,111.4,0,112.2,0,109.8,0,106.4,0,105.2,0,102.2,0,99.8,0,111.00,0,113.00,0,108.4,0,105.4,0,102.00,0,102.8,0),dim=c(2,72),dimnames=list(c('Werkloosheid','Dumivariabele'),1:72))
> y <- array(NA,dim=c(2,72),dimnames=list(c('Werkloosheid','Dumivariabele'),1:72))
> for (i in 1:dim(x)[1])
+ {
+ for (j in 1:dim(x)[2])
+ {
+ y[i,j] <- as.numeric(x[i,j])
+ }
+ }
> par3 = 'No Linear Trend'
> par2 = 'Include Monthly Dummies'
> par1 = '1'
> #'GNU S' R Code compiled by R2WASP v. 1.0.44 ()
> #Author: Prof. Dr. P. Wessa
> #To cite this work: AUTHOR(S), (YEAR), YOUR SOFTWARE TITLE (vNUMBER) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_YOURPAGE.wasp/
> #Source of accompanying publication: Office for Research, Development, and Education
> #Technical description: Write here your technical program description (don't use hard returns!)
> library(lattice)
> library(lmtest)
Loading required package: zoo
Attaching package: 'zoo'
The following object(s) are masked from package:base :
as.Date.numeric
> 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
Werkloosheid Dumivariabele M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11
1 95.2 0 1 0 0 0 0 0 0 0 0 0 0
2 95.0 0 0 1 0 0 0 0 0 0 0 0 0
3 94.0 0 0 0 1 0 0 0 0 0 0 0 0
4 92.2 0 0 0 0 1 0 0 0 0 0 0 0
5 91.0 0 0 0 0 0 1 0 0 0 0 0 0
6 91.2 0 0 0 0 0 0 1 0 0 0 0 0
7 103.4 1 0 0 0 0 0 0 1 0 0 0 0
8 105.0 0 0 0 0 0 0 0 0 1 0 0 0
9 104.6 0 0 0 0 0 0 0 0 0 1 0 0
10 103.8 0 0 0 0 0 0 0 0 0 0 1 0
11 101.8 0 0 0 0 0 0 0 0 0 0 0 1
12 102.4 0 0 0 0 0 0 0 0 0 0 0 0
13 103.8 0 1 0 0 0 0 0 0 0 0 0 0
14 103.4 0 0 1 0 0 0 0 0 0 0 0 0
15 102.0 0 0 0 1 0 0 0 0 0 0 0 0
16 101.8 0 0 0 0 1 0 0 0 0 0 0 0
17 100.2 0 0 0 0 0 1 0 0 0 0 0 0
18 101.4 0 0 0 0 0 0 1 0 0 0 0 0
19 113.8 0 0 0 0 0 0 0 1 0 0 0 0
20 116.0 0 0 0 0 0 0 0 0 1 0 0 0
21 115.6 0 0 0 0 0 0 0 0 0 1 0 0
22 113.0 0 0 0 0 0 0 0 0 0 0 1 0
23 109.4 0 0 0 0 0 0 0 0 0 0 0 1
24 111.0 0 0 0 0 0 0 0 0 0 0 0 0
25 112.4 0 1 0 0 0 0 0 0 0 0 0 0
26 112.2 0 0 1 0 0 0 0 0 0 0 0 0
27 111.0 0 0 0 1 0 0 0 0 0 0 0 0
28 108.8 0 0 0 0 1 0 0 0 0 0 0 0
29 107.4 0 0 0 0 0 1 0 0 0 0 0 0
30 108.6 0 0 0 0 0 0 1 0 0 0 0 0
31 118.8 0 0 0 0 0 0 0 1 0 0 0 0
32 122.2 1 0 0 0 0 0 0 0 1 0 0 0
33 122.6 0 0 0 0 0 0 0 0 0 1 0 0
34 122.2 0 0 0 0 0 0 0 0 0 0 1 0
35 118.8 0 0 0 0 0 0 0 0 0 0 0 1
36 119.0 0 0 0 0 0 0 0 0 0 0 0 0
37 118.2 0 1 0 0 0 0 0 0 0 0 0 0
38 117.8 0 0 1 0 0 0 0 0 0 0 0 0
39 116.8 0 0 0 1 0 0 0 0 0 0 0 0
40 114.6 0 0 0 0 1 0 0 0 0 0 0 0
41 113.4 0 0 0 0 0 1 0 0 0 0 0 0
42 113.8 0 0 0 0 0 0 1 0 0 0 0 0
43 124.2 0 0 0 0 0 0 0 1 0 0 0 0
44 125.8 0 0 0 0 0 0 0 0 1 0 0 0
45 125.6 0 0 0 0 0 0 0 0 0 1 0 0
46 122.4 0 0 0 0 0 0 0 0 0 0 1 0
47 119.0 0 0 0 0 0 0 0 0 0 0 0 1
48 119.4 0 0 0 0 0 0 0 0 0 0 0 0
49 118.6 0 1 0 0 0 0 0 0 0 0 0 0
50 118.0 0 0 1 0 0 0 0 0 0 0 0 0
51 116.0 0 0 0 1 0 0 0 0 0 0 0 0
52 114.8 0 0 0 0 1 0 0 0 0 0 0 0
53 114.6 0 0 0 0 0 1 0 0 0 0 0 0
54 114.6 0 0 0 0 0 0 1 0 0 0 0 0
55 124.0 0 0 0 0 0 0 0 1 0 0 0 0
56 125.2 0 0 0 0 0 0 0 0 1 0 0 0
57 124.0 0 0 0 0 0 0 0 0 0 1 0 0
58 117.6 1 0 0 0 0 0 0 0 0 0 1 0
59 113.2 0 0 0 0 0 0 0 0 0 0 0 1
60 111.4 0 0 0 0 0 0 0 0 0 0 0 0
61 112.2 0 1 0 0 0 0 0 0 0 0 0 0
62 109.8 0 0 1 0 0 0 0 0 0 0 0 0
63 106.4 0 0 0 1 0 0 0 0 0 0 0 0
64 105.2 0 0 0 0 1 0 0 0 0 0 0 0
65 102.2 0 0 0 0 0 1 0 0 0 0 0 0
66 99.8 0 0 0 0 0 0 1 0 0 0 0 0
67 111.0 0 0 0 0 0 0 0 1 0 0 0 0
68 113.0 0 0 0 0 0 0 0 0 1 0 0 0
69 108.4 0 0 0 0 0 0 0 0 0 1 0 0
70 105.4 0 0 0 0 0 0 0 0 0 0 1 0
71 102.0 0 0 0 0 0 0 0 0 0 0 0 1
72 102.8 0 0 0 0 0 0 0 0 0 0 0 0
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) Dumivariabele M1 M2 M3
111.0000 -1.8400 -0.9333 -1.6333 -3.3000
M4 M5 M6 M7 M8
-4.7667 -6.2000 -6.1000 5.1733 7.1733
M9 M10 M11
5.8000 3.3733 -0.3000
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-14.867 -5.767 1.283 8.007 9.800
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 111.0000 3.4850 31.851 <2e-16 ***
Dumivariabele -1.8400 5.3989 -0.341 0.734
M1 -0.9333 4.9285 -0.189 0.850
M2 -1.6333 4.9285 -0.331 0.742
M3 -3.3000 4.9285 -0.670 0.506
M4 -4.7667 4.9285 -0.967 0.337
M5 -6.2000 4.9285 -1.258 0.213
M6 -6.1000 4.9285 -1.238 0.221
M7 5.1733 5.0100 1.033 0.306
M8 7.1733 5.0100 1.432 0.157
M9 5.8000 4.9285 1.177 0.244
M10 3.3733 5.0100 0.673 0.503
M11 -0.3000 4.9285 -0.061 0.952
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 8.536 on 59 degrees of freedom
Multiple R-squared: 0.2411, Adjusted R-squared: 0.0867
F-statistic: 1.562 on 12 and 59 DF, p-value: 0.1285
> 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
+ }
[,1] [,2] [,3]
[1,] 0.7178033 0.5643935 0.2821967
[2,] 0.7093843 0.5812315 0.2906157
[3,] 0.7240073 0.5519855 0.2759927
[4,] 0.6145472 0.7709056 0.3854528
[5,] 0.6476626 0.7046748 0.3523374
[6,] 0.6691782 0.6616437 0.3308218
[7,] 0.6500136 0.6999727 0.3499864
[8,] 0.6074501 0.7850999 0.3925499
[9,] 0.5742790 0.8514420 0.4257210
[10,] 0.6544690 0.6910619 0.3455310
[11,] 0.7095736 0.5808529 0.2904264
[12,] 0.7453054 0.5093893 0.2546946
[13,] 0.7546280 0.4907441 0.2453720
[14,] 0.7583053 0.4833894 0.2416947
[15,] 0.7601628 0.4796744 0.2398372
[16,] 0.6975393 0.6049214 0.3024607
[17,] 0.7566126 0.4867749 0.2433874
[18,] 0.7505259 0.4989483 0.2494741
[19,] 0.7722726 0.4554548 0.2277274
[20,] 0.7820603 0.4358795 0.2179397
[21,] 0.7852231 0.4295539 0.2147769
[22,] 0.7839512 0.4320975 0.2160488
[23,] 0.7791996 0.4416008 0.2208004
[24,] 0.7771440 0.4457119 0.2228560
[25,] 0.7617278 0.4765445 0.2382722
[26,] 0.7447890 0.5104220 0.2552110
[27,] 0.7285593 0.5428815 0.2714407
[28,] 0.6999793 0.6000415 0.3000207
[29,] 0.6610294 0.6779413 0.3389706
[30,] 0.6451024 0.7097952 0.3548976
[31,] 0.6882082 0.6235837 0.3117918
[32,] 0.6878638 0.6242724 0.3121362
[33,] 0.7015079 0.5969842 0.2984921
[34,] 0.6484538 0.7030925 0.3515462
[35,] 0.6002765 0.7994469 0.3997235
[36,] 0.5563827 0.8872347 0.4436173
[37,] 0.5081063 0.9837874 0.4918937
[38,] 0.4949412 0.9898824 0.5050588
[39,] 0.5223270 0.9553461 0.4776730
[40,] 0.5099827 0.9800345 0.4900173
[41,] 0.4760300 0.9520600 0.5239700
> postscript(file="/var/www/html/freestat/rcomp/tmp/1ml951228490610.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(x[,1], type='l', main='Actuals and Interpolation', ylab='value of Actuals and Interpolation (dots)', xlab='time or index')
> points(x[,1]-mysum$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/2paga1228490610.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/3vwip1228490610.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/4m0ql1228490610.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/5uhi61228490610.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> qqnorm(mysum$resid, main='Residual Normal Q-Q Plot')
> qqline(mysum$resid)
> grid()
> dev.off()
null device
1
> (myerror <- as.ts(mysum$resid))
Time Series:
Start = 1
End = 72
Frequency = 1
1 2 3 4 5
-1.486667e+01 -1.436667e+01 -1.370000e+01 -1.403333e+01 -1.380000e+01
6 7 8 9 10
-1.370000e+01 -1.093333e+01 -1.317333e+01 -1.220000e+01 -1.057333e+01
11 12 13 14 15
-8.900000e+00 -8.600000e+00 -6.266667e+00 -5.966667e+00 -5.700000e+00
16 17 18 19 20
-4.433333e+00 -4.600000e+00 -3.500000e+00 -2.373333e+00 -2.173333e+00
21 22 23 24 25
-1.200000e+00 -1.373333e+00 -1.300000e+00 -8.401374e-15 2.333333e+00
26 27 28 29 30
2.833333e+00 3.300000e+00 2.566667e+00 2.600000e+00 3.700000e+00
31 32 33 34 35
2.626667e+00 5.866667e+00 5.800000e+00 7.826667e+00 8.100000e+00
36 37 38 39 40
8.000000e+00 8.133333e+00 8.433333e+00 9.100000e+00 8.366667e+00
41 42 43 44 45
8.600000e+00 8.900000e+00 8.026667e+00 7.626667e+00 8.800000e+00
46 47 48 49 50
8.026667e+00 8.300000e+00 8.400000e+00 8.533333e+00 8.633333e+00
51 52 53 54 55
8.300000e+00 8.566667e+00 9.800000e+00 9.700000e+00 7.826667e+00
56 57 58 59 60
7.026667e+00 7.200000e+00 5.066667e+00 2.500000e+00 4.000000e-01
61 62 63 64 65
2.133333e+00 4.333333e-01 -1.300000e+00 -1.033333e+00 -2.600000e+00
66 67 68 69 70
-5.100000e+00 -5.173333e+00 -5.173333e+00 -8.400000e+00 -8.973333e+00
71 72
-8.700000e+00 -8.200000e+00
> postscript(file="/var/www/html/freestat/rcomp/tmp/6y8nw1228490610.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> dum <- cbind(lag(myerror,k=1),myerror)
> dum
Time Series:
Start = 0
End = 72
Frequency = 1
lag(myerror, k = 1) myerror
0 -1.486667e+01 NA
1 -1.436667e+01 -1.486667e+01
2 -1.370000e+01 -1.436667e+01
3 -1.403333e+01 -1.370000e+01
4 -1.380000e+01 -1.403333e+01
5 -1.370000e+01 -1.380000e+01
6 -1.093333e+01 -1.370000e+01
7 -1.317333e+01 -1.093333e+01
8 -1.220000e+01 -1.317333e+01
9 -1.057333e+01 -1.220000e+01
10 -8.900000e+00 -1.057333e+01
11 -8.600000e+00 -8.900000e+00
12 -6.266667e+00 -8.600000e+00
13 -5.966667e+00 -6.266667e+00
14 -5.700000e+00 -5.966667e+00
15 -4.433333e+00 -5.700000e+00
16 -4.600000e+00 -4.433333e+00
17 -3.500000e+00 -4.600000e+00
18 -2.373333e+00 -3.500000e+00
19 -2.173333e+00 -2.373333e+00
20 -1.200000e+00 -2.173333e+00
21 -1.373333e+00 -1.200000e+00
22 -1.300000e+00 -1.373333e+00
23 -8.401374e-15 -1.300000e+00
24 2.333333e+00 -8.401374e-15
25 2.833333e+00 2.333333e+00
26 3.300000e+00 2.833333e+00
27 2.566667e+00 3.300000e+00
28 2.600000e+00 2.566667e+00
29 3.700000e+00 2.600000e+00
30 2.626667e+00 3.700000e+00
31 5.866667e+00 2.626667e+00
32 5.800000e+00 5.866667e+00
33 7.826667e+00 5.800000e+00
34 8.100000e+00 7.826667e+00
35 8.000000e+00 8.100000e+00
36 8.133333e+00 8.000000e+00
37 8.433333e+00 8.133333e+00
38 9.100000e+00 8.433333e+00
39 8.366667e+00 9.100000e+00
40 8.600000e+00 8.366667e+00
41 8.900000e+00 8.600000e+00
42 8.026667e+00 8.900000e+00
43 7.626667e+00 8.026667e+00
44 8.800000e+00 7.626667e+00
45 8.026667e+00 8.800000e+00
46 8.300000e+00 8.026667e+00
47 8.400000e+00 8.300000e+00
48 8.533333e+00 8.400000e+00
49 8.633333e+00 8.533333e+00
50 8.300000e+00 8.633333e+00
51 8.566667e+00 8.300000e+00
52 9.800000e+00 8.566667e+00
53 9.700000e+00 9.800000e+00
54 7.826667e+00 9.700000e+00
55 7.026667e+00 7.826667e+00
56 7.200000e+00 7.026667e+00
57 5.066667e+00 7.200000e+00
58 2.500000e+00 5.066667e+00
59 4.000000e-01 2.500000e+00
60 2.133333e+00 4.000000e-01
61 4.333333e-01 2.133333e+00
62 -1.300000e+00 4.333333e-01
63 -1.033333e+00 -1.300000e+00
64 -2.600000e+00 -1.033333e+00
65 -5.100000e+00 -2.600000e+00
66 -5.173333e+00 -5.100000e+00
67 -5.173333e+00 -5.173333e+00
68 -8.400000e+00 -5.173333e+00
69 -8.973333e+00 -8.400000e+00
70 -8.700000e+00 -8.973333e+00
71 -8.200000e+00 -8.700000e+00
72 NA -8.200000e+00
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] -1.436667e+01 -1.486667e+01
[2,] -1.370000e+01 -1.436667e+01
[3,] -1.403333e+01 -1.370000e+01
[4,] -1.380000e+01 -1.403333e+01
[5,] -1.370000e+01 -1.380000e+01
[6,] -1.093333e+01 -1.370000e+01
[7,] -1.317333e+01 -1.093333e+01
[8,] -1.220000e+01 -1.317333e+01
[9,] -1.057333e+01 -1.220000e+01
[10,] -8.900000e+00 -1.057333e+01
[11,] -8.600000e+00 -8.900000e+00
[12,] -6.266667e+00 -8.600000e+00
[13,] -5.966667e+00 -6.266667e+00
[14,] -5.700000e+00 -5.966667e+00
[15,] -4.433333e+00 -5.700000e+00
[16,] -4.600000e+00 -4.433333e+00
[17,] -3.500000e+00 -4.600000e+00
[18,] -2.373333e+00 -3.500000e+00
[19,] -2.173333e+00 -2.373333e+00
[20,] -1.200000e+00 -2.173333e+00
[21,] -1.373333e+00 -1.200000e+00
[22,] -1.300000e+00 -1.373333e+00
[23,] -8.401374e-15 -1.300000e+00
[24,] 2.333333e+00 -8.401374e-15
[25,] 2.833333e+00 2.333333e+00
[26,] 3.300000e+00 2.833333e+00
[27,] 2.566667e+00 3.300000e+00
[28,] 2.600000e+00 2.566667e+00
[29,] 3.700000e+00 2.600000e+00
[30,] 2.626667e+00 3.700000e+00
[31,] 5.866667e+00 2.626667e+00
[32,] 5.800000e+00 5.866667e+00
[33,] 7.826667e+00 5.800000e+00
[34,] 8.100000e+00 7.826667e+00
[35,] 8.000000e+00 8.100000e+00
[36,] 8.133333e+00 8.000000e+00
[37,] 8.433333e+00 8.133333e+00
[38,] 9.100000e+00 8.433333e+00
[39,] 8.366667e+00 9.100000e+00
[40,] 8.600000e+00 8.366667e+00
[41,] 8.900000e+00 8.600000e+00
[42,] 8.026667e+00 8.900000e+00
[43,] 7.626667e+00 8.026667e+00
[44,] 8.800000e+00 7.626667e+00
[45,] 8.026667e+00 8.800000e+00
[46,] 8.300000e+00 8.026667e+00
[47,] 8.400000e+00 8.300000e+00
[48,] 8.533333e+00 8.400000e+00
[49,] 8.633333e+00 8.533333e+00
[50,] 8.300000e+00 8.633333e+00
[51,] 8.566667e+00 8.300000e+00
[52,] 9.800000e+00 8.566667e+00
[53,] 9.700000e+00 9.800000e+00
[54,] 7.826667e+00 9.700000e+00
[55,] 7.026667e+00 7.826667e+00
[56,] 7.200000e+00 7.026667e+00
[57,] 5.066667e+00 7.200000e+00
[58,] 2.500000e+00 5.066667e+00
[59,] 4.000000e-01 2.500000e+00
[60,] 2.133333e+00 4.000000e-01
[61,] 4.333333e-01 2.133333e+00
[62,] -1.300000e+00 4.333333e-01
[63,] -1.033333e+00 -1.300000e+00
[64,] -2.600000e+00 -1.033333e+00
[65,] -5.100000e+00 -2.600000e+00
[66,] -5.173333e+00 -5.100000e+00
[67,] -5.173333e+00 -5.173333e+00
[68,] -8.400000e+00 -5.173333e+00
[69,] -8.973333e+00 -8.400000e+00
[70,] -8.700000e+00 -8.973333e+00
[71,] -8.200000e+00 -8.700000e+00
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 -1.436667e+01 -1.486667e+01
2 -1.370000e+01 -1.436667e+01
3 -1.403333e+01 -1.370000e+01
4 -1.380000e+01 -1.403333e+01
5 -1.370000e+01 -1.380000e+01
6 -1.093333e+01 -1.370000e+01
7 -1.317333e+01 -1.093333e+01
8 -1.220000e+01 -1.317333e+01
9 -1.057333e+01 -1.220000e+01
10 -8.900000e+00 -1.057333e+01
11 -8.600000e+00 -8.900000e+00
12 -6.266667e+00 -8.600000e+00
13 -5.966667e+00 -6.266667e+00
14 -5.700000e+00 -5.966667e+00
15 -4.433333e+00 -5.700000e+00
16 -4.600000e+00 -4.433333e+00
17 -3.500000e+00 -4.600000e+00
18 -2.373333e+00 -3.500000e+00
19 -2.173333e+00 -2.373333e+00
20 -1.200000e+00 -2.173333e+00
21 -1.373333e+00 -1.200000e+00
22 -1.300000e+00 -1.373333e+00
23 -8.401374e-15 -1.300000e+00
24 2.333333e+00 -8.401374e-15
25 2.833333e+00 2.333333e+00
26 3.300000e+00 2.833333e+00
27 2.566667e+00 3.300000e+00
28 2.600000e+00 2.566667e+00
29 3.700000e+00 2.600000e+00
30 2.626667e+00 3.700000e+00
31 5.866667e+00 2.626667e+00
32 5.800000e+00 5.866667e+00
33 7.826667e+00 5.800000e+00
34 8.100000e+00 7.826667e+00
35 8.000000e+00 8.100000e+00
36 8.133333e+00 8.000000e+00
37 8.433333e+00 8.133333e+00
38 9.100000e+00 8.433333e+00
39 8.366667e+00 9.100000e+00
40 8.600000e+00 8.366667e+00
41 8.900000e+00 8.600000e+00
42 8.026667e+00 8.900000e+00
43 7.626667e+00 8.026667e+00
44 8.800000e+00 7.626667e+00
45 8.026667e+00 8.800000e+00
46 8.300000e+00 8.026667e+00
47 8.400000e+00 8.300000e+00
48 8.533333e+00 8.400000e+00
49 8.633333e+00 8.533333e+00
50 8.300000e+00 8.633333e+00
51 8.566667e+00 8.300000e+00
52 9.800000e+00 8.566667e+00
53 9.700000e+00 9.800000e+00
54 7.826667e+00 9.700000e+00
55 7.026667e+00 7.826667e+00
56 7.200000e+00 7.026667e+00
57 5.066667e+00 7.200000e+00
58 2.500000e+00 5.066667e+00
59 4.000000e-01 2.500000e+00
60 2.133333e+00 4.000000e-01
61 4.333333e-01 2.133333e+00
62 -1.300000e+00 4.333333e-01
63 -1.033333e+00 -1.300000e+00
64 -2.600000e+00 -1.033333e+00
65 -5.100000e+00 -2.600000e+00
66 -5.173333e+00 -5.100000e+00
67 -5.173333e+00 -5.173333e+00
68 -8.400000e+00 -5.173333e+00
69 -8.973333e+00 -8.400000e+00
70 -8.700000e+00 -8.973333e+00
71 -8.200000e+00 -8.700000e+00
> 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()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/7tlkh1228490611.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/8fhks1228490611.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/9jdvw1228490611.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/www/html/freestat/rcomp/tmp/107ii81228490611.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
null device
1
>
> #Note: the /var/www/html/freestat/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/freestat/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$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="/var/www/html/freestat/rcomp/tmp/1145jb1228490611.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
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="/var/www/html/freestat/rcomp/tmp/12z7kq1228490611.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="/var/www/html/freestat/rcomp/tmp/13ixeb1228490611.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
Forecast', 1, TRUE)
> a<-table.element(a, 'Residuals
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="/var/www/html/freestat/rcomp/tmp/14bdpt1228490611.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="/var/www/html/freestat/rcomp/tmp/152hp41228490611.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="/var/www/html/freestat/rcomp/tmp/16s9n61228490611.tab")
+ }
>
> system("convert tmp/1ml951228490610.ps tmp/1ml951228490610.png")
> system("convert tmp/2paga1228490610.ps tmp/2paga1228490610.png")
> system("convert tmp/3vwip1228490610.ps tmp/3vwip1228490610.png")
> system("convert tmp/4m0ql1228490610.ps tmp/4m0ql1228490610.png")
> system("convert tmp/5uhi61228490610.ps tmp/5uhi61228490610.png")
> system("convert tmp/6y8nw1228490610.ps tmp/6y8nw1228490610.png")
> system("convert tmp/7tlkh1228490611.ps tmp/7tlkh1228490611.png")
> system("convert tmp/8fhks1228490611.ps tmp/8fhks1228490611.png")
> system("convert tmp/9jdvw1228490611.ps tmp/9jdvw1228490611.png")
> system("convert tmp/107ii81228490611.ps tmp/107ii81228490611.png")
>
>
> proc.time()
user system elapsed
3.864 2.553 4.439