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.
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Type 'license()' or 'licence()' for distribution details.
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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(99.9
+ ,11554.5
+ ,98.6
+ ,13182.1
+ ,107.2
+ ,14800.1
+ ,95.7
+ ,12150.7
+ ,93.7
+ ,14478.2
+ ,106.7
+ ,13253.9
+ ,86.7
+ ,12036.8
+ ,95.3
+ ,12653.2
+ ,99.3
+ ,14035.4
+ ,101.8
+ ,14571.4
+ ,96
+ ,15400.9
+ ,91.7
+ ,14283.2
+ ,95.3
+ ,14485.3
+ ,96.6
+ ,14196.3
+ ,107.2
+ ,15559.1
+ ,108
+ ,13767.4
+ ,98.4
+ ,14634
+ ,103.1
+ ,14381.1
+ ,81.1
+ ,12509.9
+ ,96.6
+ ,12122.3
+ ,103.7
+ ,13122.3
+ ,106.6
+ ,13908.7
+ ,97.6
+ ,13456.5
+ ,87.6
+ ,12441.6
+ ,99.4
+ ,12953
+ ,98.5
+ ,13057.2
+ ,105.2
+ ,14350.1
+ ,104.6
+ ,13830.2
+ ,97.5
+ ,13755.5
+ ,108.9
+ ,13574.4
+ ,86.8
+ ,12802.6
+ ,88.9
+ ,11737.3
+ ,110.3
+ ,13850.2
+ ,114.8
+ ,15081.8
+ ,94.6
+ ,13653.3
+ ,92
+ ,14019.1
+ ,93.8
+ ,13962
+ ,93.8
+ ,13768.7
+ ,107.6
+ ,14747.1
+ ,101
+ ,13858.1
+ ,95.4
+ ,13188
+ ,96.5
+ ,13693.1
+ ,89.2
+ ,12970
+ ,87.1
+ ,11392.8
+ ,110.5
+ ,13985.2
+ ,110.8
+ ,14994.7
+ ,104.2
+ ,13584.7
+ ,88.9
+ ,14257.8
+ ,89.8
+ ,13553.4
+ ,90
+ ,14007.3
+ ,93.9
+ ,16535.8
+ ,91.3
+ ,14721.4
+ ,87.8
+ ,13664.6
+ ,99.7
+ ,16405.9
+ ,73.5
+ ,13829.4
+ ,79.2
+ ,13735.6
+ ,96.9
+ ,15870.5
+ ,95.2
+ ,15962.4
+ ,95.6
+ ,15744.1
+ ,89.7
+ ,16083.7
+ ,92.8
+ ,14863.9
+ ,88
+ ,15533.1
+ ,101.1
+ ,17473.1
+ ,92.7
+ ,15925.5
+ ,95.8
+ ,15573.7
+ ,103.8
+ ,17495
+ ,81.8
+ ,14155.8
+ ,87.1
+ ,14913.9
+ ,105.9
+ ,17250.4
+ ,108.1
+ ,15879.8
+ ,102.6
+ ,17647.8
+ ,93.7
+ ,17749.9)
+ ,dim=c(2
+ ,72)
+ ,dimnames=list(c('metallurgie'
+ ,'Invoer')
+ ,1:72))
> y <- array(NA,dim=c(2,72),dimnames=list(c('metallurgie','Invoer'),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 = '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
metallurgie Invoer M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 t
1 99.9 11554.5 1 0 0 0 0 0 0 0 0 0 0 1
2 98.6 13182.1 0 1 0 0 0 0 0 0 0 0 0 2
3 107.2 14800.1 0 0 1 0 0 0 0 0 0 0 0 3
4 95.7 12150.7 0 0 0 1 0 0 0 0 0 0 0 4
5 93.7 14478.2 0 0 0 0 1 0 0 0 0 0 0 5
6 106.7 13253.9 0 0 0 0 0 1 0 0 0 0 0 6
7 86.7 12036.8 0 0 0 0 0 0 1 0 0 0 0 7
8 95.3 12653.2 0 0 0 0 0 0 0 1 0 0 0 8
9 99.3 14035.4 0 0 0 0 0 0 0 0 1 0 0 9
10 101.8 14571.4 0 0 0 0 0 0 0 0 0 1 0 10
11 96.0 15400.9 0 0 0 0 0 0 0 0 0 0 1 11
12 91.7 14283.2 0 0 0 0 0 0 0 0 0 0 0 12
13 95.3 14485.3 1 0 0 0 0 0 0 0 0 0 0 13
14 96.6 14196.3 0 1 0 0 0 0 0 0 0 0 0 14
15 107.2 15559.1 0 0 1 0 0 0 0 0 0 0 0 15
16 108.0 13767.4 0 0 0 1 0 0 0 0 0 0 0 16
17 98.4 14634.0 0 0 0 0 1 0 0 0 0 0 0 17
18 103.1 14381.1 0 0 0 0 0 1 0 0 0 0 0 18
19 81.1 12509.9 0 0 0 0 0 0 1 0 0 0 0 19
20 96.6 12122.3 0 0 0 0 0 0 0 1 0 0 0 20
21 103.7 13122.3 0 0 0 0 0 0 0 0 1 0 0 21
22 106.6 13908.7 0 0 0 0 0 0 0 0 0 1 0 22
23 97.6 13456.5 0 0 0 0 0 0 0 0 0 0 1 23
24 87.6 12441.6 0 0 0 0 0 0 0 0 0 0 0 24
25 99.4 12953.0 1 0 0 0 0 0 0 0 0 0 0 25
26 98.5 13057.2 0 1 0 0 0 0 0 0 0 0 0 26
27 105.2 14350.1 0 0 1 0 0 0 0 0 0 0 0 27
28 104.6 13830.2 0 0 0 1 0 0 0 0 0 0 0 28
29 97.5 13755.5 0 0 0 0 1 0 0 0 0 0 0 29
30 108.9 13574.4 0 0 0 0 0 1 0 0 0 0 0 30
31 86.8 12802.6 0 0 0 0 0 0 1 0 0 0 0 31
32 88.9 11737.3 0 0 0 0 0 0 0 1 0 0 0 32
33 110.3 13850.2 0 0 0 0 0 0 0 0 1 0 0 33
34 114.8 15081.8 0 0 0 0 0 0 0 0 0 1 0 34
35 94.6 13653.3 0 0 0 0 0 0 0 0 0 0 1 35
36 92.0 14019.1 0 0 0 0 0 0 0 0 0 0 0 36
37 93.8 13962.0 1 0 0 0 0 0 0 0 0 0 0 37
38 93.8 13768.7 0 1 0 0 0 0 0 0 0 0 0 38
39 107.6 14747.1 0 0 1 0 0 0 0 0 0 0 0 39
40 101.0 13858.1 0 0 0 1 0 0 0 0 0 0 0 40
41 95.4 13188.0 0 0 0 0 1 0 0 0 0 0 0 41
42 96.5 13693.1 0 0 0 0 0 1 0 0 0 0 0 42
43 89.2 12970.0 0 0 0 0 0 0 1 0 0 0 0 43
44 87.1 11392.8 0 0 0 0 0 0 0 1 0 0 0 44
45 110.5 13985.2 0 0 0 0 0 0 0 0 1 0 0 45
46 110.8 14994.7 0 0 0 0 0 0 0 0 0 1 0 46
47 104.2 13584.7 0 0 0 0 0 0 0 0 0 0 1 47
48 88.9 14257.8 0 0 0 0 0 0 0 0 0 0 0 48
49 89.8 13553.4 1 0 0 0 0 0 0 0 0 0 0 49
50 90.0 14007.3 0 1 0 0 0 0 0 0 0 0 0 50
51 93.9 16535.8 0 0 1 0 0 0 0 0 0 0 0 51
52 91.3 14721.4 0 0 0 1 0 0 0 0 0 0 0 52
53 87.8 13664.6 0 0 0 0 1 0 0 0 0 0 0 53
54 99.7 16405.9 0 0 0 0 0 1 0 0 0 0 0 54
55 73.5 13829.4 0 0 0 0 0 0 1 0 0 0 0 55
56 79.2 13735.6 0 0 0 0 0 0 0 1 0 0 0 56
57 96.9 15870.5 0 0 0 0 0 0 0 0 1 0 0 57
58 95.2 15962.4 0 0 0 0 0 0 0 0 0 1 0 58
59 95.6 15744.1 0 0 0 0 0 0 0 0 0 0 1 59
60 89.7 16083.7 0 0 0 0 0 0 0 0 0 0 0 60
61 92.8 14863.9 1 0 0 0 0 0 0 0 0 0 0 61
62 88.0 15533.1 0 1 0 0 0 0 0 0 0 0 0 62
63 101.1 17473.1 0 0 1 0 0 0 0 0 0 0 0 63
64 92.7 15925.5 0 0 0 1 0 0 0 0 0 0 0 64
65 95.8 15573.7 0 0 0 0 1 0 0 0 0 0 0 65
66 103.8 17495.0 0 0 0 0 0 1 0 0 0 0 0 66
67 81.8 14155.8 0 0 0 0 0 0 1 0 0 0 0 67
68 87.1 14913.9 0 0 0 0 0 0 0 1 0 0 0 68
69 105.9 17250.4 0 0 0 0 0 0 0 0 1 0 0 69
70 108.1 15879.8 0 0 0 0 0 0 0 0 0 1 0 70
71 102.6 17647.8 0 0 0 0 0 0 0 0 0 0 1 71
72 93.7 17749.9 0 0 0 0 0 0 0 0 0 0 0 72
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) Invoer M1 M2 M3 M4
9.295e+01 8.544e-05 3.725e+00 2.861e+00 1.226e+01 7.659e+00
M5 M6 M7 M8 M9 M10
3.614e+00 1.200e+01 -7.697e+00 -1.736e+00 1.359e+01 1.542e+01
M11 t
7.738e+00 -8.614e-02
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-9.543 -3.609 0.504 3.549 8.065
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 9.295e+01 9.189e+00 10.116 2.02e-14 ***
Invoer 8.544e-05 6.806e-04 0.126 0.90053
M1 3.725e+00 2.882e+00 1.293 0.20128
M2 2.861e+00 2.844e+00 1.006 0.31863
M3 1.226e+01 2.932e+00 4.182 9.90e-05 ***
M4 7.659e+00 2.839e+00 2.698 0.00913 **
M5 3.614e+00 2.829e+00 1.277 0.20653
M6 1.200e+01 2.825e+00 4.248 7.91e-05 ***
M7 -7.697e+00 3.009e+00 -2.558 0.01316 *
M8 -1.736e+00 3.094e+00 -0.561 0.57688
M9 1.359e+01 2.816e+00 4.824 1.06e-05 ***
M10 1.542e+01 2.825e+00 5.459 1.04e-06 ***
M11 7.738e+00 2.817e+00 2.747 0.00800 **
t -8.614e-02 3.975e-02 -2.167 0.03435 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 4.876 on 58 degrees of freedom
Multiple R-squared: 0.7139, Adjusted R-squared: 0.6498
F-statistic: 11.13 on 13 and 58 DF, p-value: 2.003e-11
> 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,] 0.62775700 0.74448600 0.372242998
[2,] 0.54904182 0.90191636 0.450958182
[3,] 0.54827890 0.90344220 0.451721100
[4,] 0.42479892 0.84959783 0.575201084
[5,] 0.33148593 0.66297187 0.668514067
[6,] 0.25123040 0.50246081 0.748769595
[7,] 0.19510015 0.39020029 0.804899853
[8,] 0.20832511 0.41665021 0.791674894
[9,] 0.14162824 0.28325648 0.858371758
[10,] 0.09420613 0.18841226 0.905793872
[11,] 0.06784265 0.13568530 0.932157352
[12,] 0.04737326 0.09474652 0.952626739
[13,] 0.02770436 0.05540872 0.972295639
[14,] 0.02156643 0.04313286 0.978433572
[15,] 0.01252182 0.02504364 0.987478181
[16,] 0.02311645 0.04623291 0.976883547
[17,] 0.03262903 0.06525805 0.967370974
[18,] 0.05747443 0.11494886 0.942525572
[19,] 0.05672953 0.11345905 0.943270475
[20,] 0.03592400 0.07184799 0.964076005
[21,] 0.03888993 0.07777985 0.961110074
[22,] 0.03472090 0.06944181 0.965279096
[23,] 0.03376093 0.06752186 0.966239071
[24,] 0.03486585 0.06973170 0.965134148
[25,] 0.02380183 0.04760365 0.976198174
[26,] 0.04640417 0.09280835 0.953595827
[27,] 0.12415280 0.24830559 0.875847204
[28,] 0.11222482 0.22444963 0.887775183
[29,] 0.19702133 0.39404267 0.802978667
[30,] 0.88076307 0.23847386 0.119236930
[31,] 0.95299173 0.09401654 0.047008268
[32,] 0.93597109 0.12805781 0.064028907
[33,] 0.92589281 0.14821439 0.074107195
[34,] 0.98027945 0.03944110 0.019720548
[35,] 0.97283135 0.05433729 0.027168647
[36,] 0.99065144 0.01869712 0.009348561
[37,] 0.98347502 0.03304996 0.016524982
[38,] 0.98382147 0.03235706 0.016178531
[39,] 0.97325877 0.05348245 0.026741227
> postscript(file="/var/www/html/freestat/rcomp/tmp/18qcc1229765196.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$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/2b0vi1229765196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$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/3se0s1229765196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/4brdo1229765196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/54lzn1229765196.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 6
2.32077742 1.83216255 0.98234198 -5.60580078 -3.67318526 1.13140044
7 8 9 10 11 12
1.01921621 3.69163570 -7.66185843 -6.95845271 -5.05897577 -1.43942636
13 14 15 16 17 18
-1.49600788 0.77913967 1.95112447 7.58969619 2.04713718 -1.53127764
19 20 21 22 23 24
-3.58757280 6.07063269 -2.15020465 -1.06819417 -2.25920335 -4.34843761
25 26 27 28 29 30
3.76855297 3.81010384 1.08806119 5.21796494 2.25583459 5.37128487
31 32 33 34 35 36
3.12105233 -0.56283663 5.42123515 8.06520586 -4.24238413 0.95040877
37 38 39 40 41 42
-0.88402561 0.08294492 4.48777449 2.64921570 1.23795885 -6.00522270
43 44 45 46 47 48
6.54038361 -1.29976644 6.64333483 5.10628271 6.39711200 -1.13635212
49 50 51 52 53 54
-3.81547844 -2.70380742 -8.33142495 -6.09091365 -5.36912922 -2.00338116
55 56 57 58 59 60
-8.19941250 -8.36631052 -6.08411853 -9.54276702 -1.35376161 0.54126992
61 62 63 64 65 66
0.10618155 -3.80054357 -0.17787718 -3.76016239 3.50138385 3.03719619
67 68 69 70 71 72
1.10633315 0.46664519 3.83161164 4.39792533 6.51721286 5.43253740
> postscript(file="/var/www/html/freestat/rcomp/tmp/6w4vq1229765196.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 2.32077742 NA
1 1.83216255 2.32077742
2 0.98234198 1.83216255
3 -5.60580078 0.98234198
4 -3.67318526 -5.60580078
5 1.13140044 -3.67318526
6 1.01921621 1.13140044
7 3.69163570 1.01921621
8 -7.66185843 3.69163570
9 -6.95845271 -7.66185843
10 -5.05897577 -6.95845271
11 -1.43942636 -5.05897577
12 -1.49600788 -1.43942636
13 0.77913967 -1.49600788
14 1.95112447 0.77913967
15 7.58969619 1.95112447
16 2.04713718 7.58969619
17 -1.53127764 2.04713718
18 -3.58757280 -1.53127764
19 6.07063269 -3.58757280
20 -2.15020465 6.07063269
21 -1.06819417 -2.15020465
22 -2.25920335 -1.06819417
23 -4.34843761 -2.25920335
24 3.76855297 -4.34843761
25 3.81010384 3.76855297
26 1.08806119 3.81010384
27 5.21796494 1.08806119
28 2.25583459 5.21796494
29 5.37128487 2.25583459
30 3.12105233 5.37128487
31 -0.56283663 3.12105233
32 5.42123515 -0.56283663
33 8.06520586 5.42123515
34 -4.24238413 8.06520586
35 0.95040877 -4.24238413
36 -0.88402561 0.95040877
37 0.08294492 -0.88402561
38 4.48777449 0.08294492
39 2.64921570 4.48777449
40 1.23795885 2.64921570
41 -6.00522270 1.23795885
42 6.54038361 -6.00522270
43 -1.29976644 6.54038361
44 6.64333483 -1.29976644
45 5.10628271 6.64333483
46 6.39711200 5.10628271
47 -1.13635212 6.39711200
48 -3.81547844 -1.13635212
49 -2.70380742 -3.81547844
50 -8.33142495 -2.70380742
51 -6.09091365 -8.33142495
52 -5.36912922 -6.09091365
53 -2.00338116 -5.36912922
54 -8.19941250 -2.00338116
55 -8.36631052 -8.19941250
56 -6.08411853 -8.36631052
57 -9.54276702 -6.08411853
58 -1.35376161 -9.54276702
59 0.54126992 -1.35376161
60 0.10618155 0.54126992
61 -3.80054357 0.10618155
62 -0.17787718 -3.80054357
63 -3.76016239 -0.17787718
64 3.50138385 -3.76016239
65 3.03719619 3.50138385
66 1.10633315 3.03719619
67 0.46664519 1.10633315
68 3.83161164 0.46664519
69 4.39792533 3.83161164
70 6.51721286 4.39792533
71 5.43253740 6.51721286
72 NA 5.43253740
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] 1.83216255 2.32077742
[2,] 0.98234198 1.83216255
[3,] -5.60580078 0.98234198
[4,] -3.67318526 -5.60580078
[5,] 1.13140044 -3.67318526
[6,] 1.01921621 1.13140044
[7,] 3.69163570 1.01921621
[8,] -7.66185843 3.69163570
[9,] -6.95845271 -7.66185843
[10,] -5.05897577 -6.95845271
[11,] -1.43942636 -5.05897577
[12,] -1.49600788 -1.43942636
[13,] 0.77913967 -1.49600788
[14,] 1.95112447 0.77913967
[15,] 7.58969619 1.95112447
[16,] 2.04713718 7.58969619
[17,] -1.53127764 2.04713718
[18,] -3.58757280 -1.53127764
[19,] 6.07063269 -3.58757280
[20,] -2.15020465 6.07063269
[21,] -1.06819417 -2.15020465
[22,] -2.25920335 -1.06819417
[23,] -4.34843761 -2.25920335
[24,] 3.76855297 -4.34843761
[25,] 3.81010384 3.76855297
[26,] 1.08806119 3.81010384
[27,] 5.21796494 1.08806119
[28,] 2.25583459 5.21796494
[29,] 5.37128487 2.25583459
[30,] 3.12105233 5.37128487
[31,] -0.56283663 3.12105233
[32,] 5.42123515 -0.56283663
[33,] 8.06520586 5.42123515
[34,] -4.24238413 8.06520586
[35,] 0.95040877 -4.24238413
[36,] -0.88402561 0.95040877
[37,] 0.08294492 -0.88402561
[38,] 4.48777449 0.08294492
[39,] 2.64921570 4.48777449
[40,] 1.23795885 2.64921570
[41,] -6.00522270 1.23795885
[42,] 6.54038361 -6.00522270
[43,] -1.29976644 6.54038361
[44,] 6.64333483 -1.29976644
[45,] 5.10628271 6.64333483
[46,] 6.39711200 5.10628271
[47,] -1.13635212 6.39711200
[48,] -3.81547844 -1.13635212
[49,] -2.70380742 -3.81547844
[50,] -8.33142495 -2.70380742
[51,] -6.09091365 -8.33142495
[52,] -5.36912922 -6.09091365
[53,] -2.00338116 -5.36912922
[54,] -8.19941250 -2.00338116
[55,] -8.36631052 -8.19941250
[56,] -6.08411853 -8.36631052
[57,] -9.54276702 -6.08411853
[58,] -1.35376161 -9.54276702
[59,] 0.54126992 -1.35376161
[60,] 0.10618155 0.54126992
[61,] -3.80054357 0.10618155
[62,] -0.17787718 -3.80054357
[63,] -3.76016239 -0.17787718
[64,] 3.50138385 -3.76016239
[65,] 3.03719619 3.50138385
[66,] 1.10633315 3.03719619
[67,] 0.46664519 1.10633315
[68,] 3.83161164 0.46664519
[69,] 4.39792533 3.83161164
[70,] 6.51721286 4.39792533
[71,] 5.43253740 6.51721286
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 1.83216255 2.32077742
2 0.98234198 1.83216255
3 -5.60580078 0.98234198
4 -3.67318526 -5.60580078
5 1.13140044 -3.67318526
6 1.01921621 1.13140044
7 3.69163570 1.01921621
8 -7.66185843 3.69163570
9 -6.95845271 -7.66185843
10 -5.05897577 -6.95845271
11 -1.43942636 -5.05897577
12 -1.49600788 -1.43942636
13 0.77913967 -1.49600788
14 1.95112447 0.77913967
15 7.58969619 1.95112447
16 2.04713718 7.58969619
17 -1.53127764 2.04713718
18 -3.58757280 -1.53127764
19 6.07063269 -3.58757280
20 -2.15020465 6.07063269
21 -1.06819417 -2.15020465
22 -2.25920335 -1.06819417
23 -4.34843761 -2.25920335
24 3.76855297 -4.34843761
25 3.81010384 3.76855297
26 1.08806119 3.81010384
27 5.21796494 1.08806119
28 2.25583459 5.21796494
29 5.37128487 2.25583459
30 3.12105233 5.37128487
31 -0.56283663 3.12105233
32 5.42123515 -0.56283663
33 8.06520586 5.42123515
34 -4.24238413 8.06520586
35 0.95040877 -4.24238413
36 -0.88402561 0.95040877
37 0.08294492 -0.88402561
38 4.48777449 0.08294492
39 2.64921570 4.48777449
40 1.23795885 2.64921570
41 -6.00522270 1.23795885
42 6.54038361 -6.00522270
43 -1.29976644 6.54038361
44 6.64333483 -1.29976644
45 5.10628271 6.64333483
46 6.39711200 5.10628271
47 -1.13635212 6.39711200
48 -3.81547844 -1.13635212
49 -2.70380742 -3.81547844
50 -8.33142495 -2.70380742
51 -6.09091365 -8.33142495
52 -5.36912922 -6.09091365
53 -2.00338116 -5.36912922
54 -8.19941250 -2.00338116
55 -8.36631052 -8.19941250
56 -6.08411853 -8.36631052
57 -9.54276702 -6.08411853
58 -1.35376161 -9.54276702
59 0.54126992 -1.35376161
60 0.10618155 0.54126992
61 -3.80054357 0.10618155
62 -0.17787718 -3.80054357
63 -3.76016239 -0.17787718
64 3.50138385 -3.76016239
65 3.03719619 3.50138385
66 1.10633315 3.03719619
67 0.46664519 1.10633315
68 3.83161164 0.46664519
69 4.39792533 3.83161164
70 6.51721286 4.39792533
71 5.43253740 6.51721286
> 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/7h7aq1229765196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/8tnn71229765196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/9fycm1229765196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/www/html/freestat/rcomp/tmp/10fr711229765196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
null device
1
>
> #Note: the /var/www/html/freestat/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/freestat/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$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/11w5j21229765196.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/12aa011229765196.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/13t5dh1229765196.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/14fdf41229765196.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/155ifb1229765196.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/16o1q11229765196.tab")
+ }
>
> system("convert tmp/18qcc1229765196.ps tmp/18qcc1229765196.png")
> system("convert tmp/2b0vi1229765196.ps tmp/2b0vi1229765196.png")
> system("convert tmp/3se0s1229765196.ps tmp/3se0s1229765196.png")
> system("convert tmp/4brdo1229765196.ps tmp/4brdo1229765196.png")
> system("convert tmp/54lzn1229765196.ps tmp/54lzn1229765196.png")
> system("convert tmp/6w4vq1229765196.ps tmp/6w4vq1229765196.png")
> system("convert tmp/7h7aq1229765196.ps tmp/7h7aq1229765196.png")
> system("convert tmp/8tnn71229765196.ps tmp/8tnn71229765196.png")
> system("convert tmp/9fycm1229765196.ps tmp/9fycm1229765196.png")
> system("convert tmp/10fr711229765196.ps tmp/10fr711229765196.png")
>
>
> proc.time()
user system elapsed
3.850 2.524 4.348