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Type 'q()' to quit R. > x <- array(list(1.2935,123.10,1.2811,123.08,1.2773,122.52,1.2602,119.30,1.2542,119.87,1.2634,122.07,1.2653,121.92,1.2660,121.93,1.2675,122.17,1.2525,120.34,1.2530,121.81,1.2747,124.77,1.2891,127.89,1.2756,124.29,1.2770,124.86,1.2870,127.40,1.2820,127.35,1.2822,126.38),dim=c(2,18),dimnames=list(c('dollar','yen'),1:18)) > y <- array(NA,dim=c(2,18),dimnames=list(c('dollar','yen'),1:18)) > 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 dollar yen M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 t 1 1.2935 123.10 1 0 0 0 0 0 0 0 0 0 0 1 2 1.2811 123.08 0 1 0 0 0 0 0 0 0 0 0 2 3 1.2773 122.52 0 0 1 0 0 0 0 0 0 0 0 3 4 1.2602 119.30 0 0 0 1 0 0 0 0 0 0 0 4 5 1.2542 119.87 0 0 0 0 1 0 0 0 0 0 0 5 6 1.2634 122.07 0 0 0 0 0 1 0 0 0 0 0 6 7 1.2653 121.92 0 0 0 0 0 0 1 0 0 0 0 7 8 1.2660 121.93 0 0 0 0 0 0 0 1 0 0 0 8 9 1.2675 122.17 0 0 0 0 0 0 0 0 1 0 0 9 10 1.2525 120.34 0 0 0 0 0 0 0 0 0 1 0 10 11 1.2530 121.81 0 0 0 0 0 0 0 0 0 0 1 11 12 1.2747 124.77 0 0 0 0 0 0 0 0 0 0 0 12 13 1.2891 127.89 1 0 0 0 0 0 0 0 0 0 0 13 14 1.2756 124.29 0 1 0 0 0 0 0 0 0 0 0 14 15 1.2770 124.86 0 0 1 0 0 0 0 0 0 0 0 15 16 1.2870 127.40 0 0 0 1 0 0 0 0 0 0 0 16 17 1.2820 127.35 0 0 0 0 1 0 0 0 0 0 0 17 18 1.2822 126.38 0 0 0 0 0 1 0 0 0 0 0 18 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) yen M1 M2 M3 M4 0.6823292 0.0048460 0.0079753 0.0048189 0.0046169 0.0037368 M5 M6 M7 M8 M9 M10 -0.0020009 0.0007411 -0.0007002 0.0009736 0.0023329 -0.0027767 M11 t -0.0083780 -0.0010223 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: 1 2 3 4 5 6 7 7.673e-03 -4.518e-04 -3.138e-04 9.279e-05 -1.909e-03 -5.090e-03 -6.505e-19 8 9 10 11 12 13 14 2.168e-19 -4.337e-19 2.168e-19 -1.518e-18 4.337e-18 -7.673e-03 4.518e-04 15 16 17 18 3.138e-04 -9.279e-05 1.909e-03 5.090e-03 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.6823292 0.1856033 3.676 0.0213 * yen 0.0048460 0.0015445 3.138 0.0349 * M1 0.0079753 0.0092911 0.858 0.4391 M2 0.0048189 0.0082918 0.581 0.5923 M3 0.0046169 0.0082159 0.562 0.6041 M4 0.0037368 0.0082419 0.453 0.6738 M5 -0.0020009 0.0082501 -0.243 0.8203 M6 0.0007411 0.0082014 0.090 0.9323 M7 -0.0007002 0.0096537 -0.073 0.9457 M8 0.0009736 0.0097077 0.100 0.9249 M9 0.0023329 0.0097211 0.240 0.8221 M10 -0.0027767 0.0109936 -0.253 0.8130 M11 -0.0083780 0.0102261 -0.819 0.4586 t -0.0010223 0.0006852 -1.492 0.2100 --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 0.006661 on 4 degrees of freedom Multiple R-squared: 0.9345, Adjusted R-squared: 0.7217 F-statistic: 4.392 on 13 and 4 DF, p-value: 0.08202 > 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 + } > postscript(file="/var/www/html/rcomp/tmp/1j63z1227787849.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2svc61227787849.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/3lbbe1227787849.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/4oezi1227787849.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/5tenz1227787849.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 = 18 Frequency = 1 1 2 3 4 5 7.672623e-03 -4.517543e-04 -3.137527e-04 9.278658e-05 -1.909480e-03 6 7 8 9 10 -5.090422e-03 -6.505213e-19 2.168404e-19 -4.336809e-19 2.168404e-19 11 12 13 14 15 -1.517883e-18 4.336809e-18 -7.672623e-03 4.517543e-04 3.137527e-04 16 17 18 -9.278658e-05 1.909480e-03 5.090422e-03 > postscript(file="/var/www/html/rcomp/tmp/6pu5t1227787849.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 = 18 Frequency = 1 lag(myerror, k = 1) myerror 0 7.672623e-03 NA 1 -4.517543e-04 7.672623e-03 2 -3.137527e-04 -4.517543e-04 3 9.278658e-05 -3.137527e-04 4 -1.909480e-03 9.278658e-05 5 -5.090422e-03 -1.909480e-03 6 -6.505213e-19 -5.090422e-03 7 2.168404e-19 -6.505213e-19 8 -4.336809e-19 2.168404e-19 9 2.168404e-19 -4.336809e-19 10 -1.517883e-18 2.168404e-19 11 4.336809e-18 -1.517883e-18 12 -7.672623e-03 4.336809e-18 13 4.517543e-04 -7.672623e-03 14 3.137527e-04 4.517543e-04 15 -9.278658e-05 3.137527e-04 16 1.909480e-03 -9.278658e-05 17 5.090422e-03 1.909480e-03 18 NA 5.090422e-03 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] -4.517543e-04 7.672623e-03 [2,] -3.137527e-04 -4.517543e-04 [3,] 9.278658e-05 -3.137527e-04 [4,] -1.909480e-03 9.278658e-05 [5,] -5.090422e-03 -1.909480e-03 [6,] -6.505213e-19 -5.090422e-03 [7,] 2.168404e-19 -6.505213e-19 [8,] -4.336809e-19 2.168404e-19 [9,] 2.168404e-19 -4.336809e-19 [10,] -1.517883e-18 2.168404e-19 [11,] 4.336809e-18 -1.517883e-18 [12,] -7.672623e-03 4.336809e-18 [13,] 4.517543e-04 -7.672623e-03 [14,] 3.137527e-04 4.517543e-04 [15,] -9.278658e-05 3.137527e-04 [16,] 1.909480e-03 -9.278658e-05 [17,] 5.090422e-03 1.909480e-03 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 -4.517543e-04 7.672623e-03 2 -3.137527e-04 -4.517543e-04 3 9.278658e-05 -3.137527e-04 4 -1.909480e-03 9.278658e-05 5 -5.090422e-03 -1.909480e-03 6 -6.505213e-19 -5.090422e-03 7 2.168404e-19 -6.505213e-19 8 -4.336809e-19 2.168404e-19 9 2.168404e-19 -4.336809e-19 10 -1.517883e-18 2.168404e-19 11 4.336809e-18 -1.517883e-18 12 -7.672623e-03 4.336809e-18 13 4.517543e-04 -7.672623e-03 14 3.137527e-04 4.517543e-04 15 -9.278658e-05 3.137527e-04 16 1.909480e-03 -9.278658e-05 17 5.090422e-03 1.909480e-03 > 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/7t34y1227787849.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/8d3x21227787849.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/97f3m1227787849.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') Warning message: In dropInf(r.w/(s * sqrt(1 - hii))) : Not plotting observations with leverage one: 7, 8, 9, 10, 11, 12 > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/rcomp/tmp/102nqm1227787849.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/11ozem1227787849.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/120mus1227787849.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/1336hr1227787849.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/149wlp1227787849.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/15lz541227787849.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/16u98r1227787849.tab") + } > > system("convert tmp/1j63z1227787849.ps tmp/1j63z1227787849.png") > system("convert tmp/2svc61227787849.ps tmp/2svc61227787849.png") > system("convert tmp/3lbbe1227787849.ps tmp/3lbbe1227787849.png") > system("convert tmp/4oezi1227787849.ps tmp/4oezi1227787849.png") > system("convert tmp/5tenz1227787849.ps tmp/5tenz1227787849.png") > system("convert tmp/6pu5t1227787849.ps tmp/6pu5t1227787849.png") > system("convert tmp/7t34y1227787849.ps tmp/7t34y1227787849.png") > system("convert tmp/8d3x21227787849.ps tmp/8d3x21227787849.png") > system("convert tmp/97f3m1227787849.ps tmp/97f3m1227787849.png") > system("convert tmp/102nqm1227787849.ps tmp/102nqm1227787849.png") convert: unable to open image `tmp/102nqm1227787849.ps': No such file or directory. convert: missing an image filename `tmp/102nqm1227787849.png'. > > > proc.time() user system elapsed 1.868 1.303 2.342