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Type 'q()' to quit R. > x <- array(list(60.9,0,61.1,0,60.2,1,60.1,0,59.7,0,60.5,0,59.5,1,59.5,0,59.7,0,60.4,0,60,1,59,0,59.3,0,59.7,0,60.4,1,59.9,0,60.5,0,60.4,0,60.6,1,60.9,0,61,0,61.2,0,61.2,1,60.3,0,60.4,0,61.2,0,62.1,1,61.7,0,61.6,0,62.1,0,62.7,1,62.6,0,62,0),dim=c(2,33),dimnames=list(c('Werkgelegenheid','dummy'),1:33)) > y <- array(NA,dim=c(2,33),dimnames=list(c('Werkgelegenheid','dummy'),1:33)) > 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 = 'Do not include Seasonal 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 Werkgelegenheid dummy 1 60.9 0 2 61.1 0 3 60.2 1 4 60.1 0 5 59.7 0 6 60.5 0 7 59.5 1 8 59.5 0 9 59.7 0 10 60.4 0 11 60.0 1 12 59.0 0 13 59.3 0 14 59.7 0 15 60.4 1 16 59.9 0 17 60.5 0 18 60.4 0 19 60.6 1 20 60.9 0 21 61.0 0 22 61.2 0 23 61.2 1 24 60.3 0 25 60.4 0 26 61.2 0 27 62.1 1 28 61.7 0 29 61.6 0 30 62.1 0 31 62.7 1 32 62.6 0 33 62.0 0 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) dummy 60.6280 0.2095 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -1.628 -0.728 -0.228 0.572 1.972 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 60.6280 0.1931 313.911 <2e-16 *** dummy 0.2095 0.3923 0.534 0.597 --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 0.9657 on 31 degrees of freedom Multiple R-squared: 0.009117, Adjusted R-squared: -0.02285 F-statistic: 0.2852 on 1 and 31 DF, p-value: 0.5971 > 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,] 0.26034368 0.52068736 0.7396563 [2,] 0.12761730 0.25523459 0.8723827 [3,] 0.09441838 0.18883675 0.9055816 [4,] 0.11915644 0.23831289 0.8808436 [5,] 0.09350696 0.18701392 0.9064930 [6,] 0.05069082 0.10138163 0.9493092 [7,] 0.03195871 0.06391741 0.9680413 [8,] 0.10363897 0.20727793 0.8963610 [9,] 0.15118349 0.30236697 0.8488165 [10,] 0.15204305 0.30408610 0.8479569 [11,] 0.14853660 0.29707319 0.8514634 [12,] 0.15426201 0.30852402 0.8457380 [13,] 0.13942029 0.27884059 0.8605797 [14,] 0.13280119 0.26560239 0.8671988 [15,] 0.18428031 0.36856061 0.8157197 [16,] 0.18758789 0.37517578 0.8124121 [17,] 0.18528218 0.37056435 0.8147178 [18,] 0.18221085 0.36442171 0.8177891 [19,] 0.24967464 0.49934927 0.7503254 [20,] 0.38663122 0.77326243 0.6133688 [21,] 0.74925429 0.50149141 0.2507457 [22,] 0.85039544 0.29920911 0.1496046 [23,] 0.86952073 0.26095854 0.1304793 [24,] 0.82219727 0.35560545 0.1778027 > postscript(file="/var/www/html/rcomp/tmp/1rqrf1227693708.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2npyi1227693708.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/rcomp/tmp/3alzz1227693708.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/4he291227693708.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/5ehvd1227693708.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 = 33 Frequency = 1 1 2 3 4 5 6 7 8 9 10 0.2720 0.4720 -0.6375 -0.5280 -0.9280 -0.1280 -1.3375 -1.1280 -0.9280 -0.2280 11 12 13 14 15 16 17 18 19 20 -0.8375 -1.6280 -1.3280 -0.9280 -0.4375 -0.7280 -0.1280 -0.2280 -0.2375 0.2720 21 22 23 24 25 26 27 28 29 30 0.3720 0.5720 0.3625 -0.3280 -0.2280 0.5720 1.2625 1.0720 0.9720 1.4720 31 32 33 1.8625 1.9720 1.3720 > postscript(file="/var/www/html/rcomp/tmp/66swx1227693708.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 = 33 Frequency = 1 lag(myerror, k = 1) myerror 0 0.2720 NA 1 0.4720 0.2720 2 -0.6375 0.4720 3 -0.5280 -0.6375 4 -0.9280 -0.5280 5 -0.1280 -0.9280 6 -1.3375 -0.1280 7 -1.1280 -1.3375 8 -0.9280 -1.1280 9 -0.2280 -0.9280 10 -0.8375 -0.2280 11 -1.6280 -0.8375 12 -1.3280 -1.6280 13 -0.9280 -1.3280 14 -0.4375 -0.9280 15 -0.7280 -0.4375 16 -0.1280 -0.7280 17 -0.2280 -0.1280 18 -0.2375 -0.2280 19 0.2720 -0.2375 20 0.3720 0.2720 21 0.5720 0.3720 22 0.3625 0.5720 23 -0.3280 0.3625 24 -0.2280 -0.3280 25 0.5720 -0.2280 26 1.2625 0.5720 27 1.0720 1.2625 28 0.9720 1.0720 29 1.4720 0.9720 30 1.8625 1.4720 31 1.9720 1.8625 32 1.3720 1.9720 33 NA 1.3720 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] 0.4720 0.2720 [2,] -0.6375 0.4720 [3,] -0.5280 -0.6375 [4,] -0.9280 -0.5280 [5,] -0.1280 -0.9280 [6,] -1.3375 -0.1280 [7,] -1.1280 -1.3375 [8,] -0.9280 -1.1280 [9,] -0.2280 -0.9280 [10,] -0.8375 -0.2280 [11,] -1.6280 -0.8375 [12,] -1.3280 -1.6280 [13,] -0.9280 -1.3280 [14,] -0.4375 -0.9280 [15,] -0.7280 -0.4375 [16,] -0.1280 -0.7280 [17,] -0.2280 -0.1280 [18,] -0.2375 -0.2280 [19,] 0.2720 -0.2375 [20,] 0.3720 0.2720 [21,] 0.5720 0.3720 [22,] 0.3625 0.5720 [23,] -0.3280 0.3625 [24,] -0.2280 -0.3280 [25,] 0.5720 -0.2280 [26,] 1.2625 0.5720 [27,] 1.0720 1.2625 [28,] 0.9720 1.0720 [29,] 1.4720 0.9720 [30,] 1.8625 1.4720 [31,] 1.9720 1.8625 [32,] 1.3720 1.9720 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 0.4720 0.2720 2 -0.6375 0.4720 3 -0.5280 -0.6375 4 -0.9280 -0.5280 5 -0.1280 -0.9280 6 -1.3375 -0.1280 7 -1.1280 -1.3375 8 -0.9280 -1.1280 9 -0.2280 -0.9280 10 -0.8375 -0.2280 11 -1.6280 -0.8375 12 -1.3280 -1.6280 13 -0.9280 -1.3280 14 -0.4375 -0.9280 15 -0.7280 -0.4375 16 -0.1280 -0.7280 17 -0.2280 -0.1280 18 -0.2375 -0.2280 19 0.2720 -0.2375 20 0.3720 0.2720 21 0.5720 0.3720 22 0.3625 0.5720 23 -0.3280 0.3625 24 -0.2280 -0.3280 25 0.5720 -0.2280 26 1.2625 0.5720 27 1.0720 1.2625 28 0.9720 1.0720 29 1.4720 0.9720 30 1.8625 1.4720 31 1.9720 1.8625 32 1.3720 1.9720 > 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/rcomp/tmp/7v2ax1227693708.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/8xpc61227693708.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/9gg9o1227693708.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/rcomp/tmp/101s061227693708.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/rcomp/tmp/11yngo1227693708.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/rcomp/tmp/12ehqs1227693708.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/rcomp/tmp/139svr1227693708.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/rcomp/tmp/14lcxn1227693708.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/rcomp/tmp/157m4x1227693708.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/rcomp/tmp/16msgx1227693708.tab") + } > > system("convert tmp/1rqrf1227693708.ps tmp/1rqrf1227693708.png") > system("convert tmp/2npyi1227693708.ps tmp/2npyi1227693708.png") > system("convert tmp/3alzz1227693708.ps tmp/3alzz1227693708.png") > system("convert tmp/4he291227693708.ps tmp/4he291227693708.png") > system("convert tmp/5ehvd1227693708.ps tmp/5ehvd1227693708.png") > system("convert tmp/66swx1227693708.ps tmp/66swx1227693708.png") > system("convert tmp/7v2ax1227693708.ps tmp/7v2ax1227693708.png") > system("convert tmp/8xpc61227693708.ps tmp/8xpc61227693708.png") > system("convert tmp/9gg9o1227693708.ps tmp/9gg9o1227693708.png") > system("convert tmp/101s061227693708.ps tmp/101s061227693708.png") > > > proc.time() user system elapsed 2.291 1.578 3.014