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*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: Sat, 05 Dec 2009 17:58:02 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/06/t12600611223joh8467d43csx8.htm/, Retrieved Sun, 06 Dec 2009 01:58:53 +0100
 
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/2009/Dec/06/t12600611223joh8467d43csx8.htm/},
    year = {2009},
}
@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 = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
100.00 0 100.83 0 101.51 0 102.16 0 102.39 0 102.54 0 102.85 0 103.47 0 103.57 0 103.69 0 103.50 0 103.47 0 103.45 0 103.48 0 103.93 0 103.89 0 104.40 0 104.79 0 104.77 0 105.13 0 105.26 0 104.96 0 104.75 0 105.01 0 105.15 0 105.20 0 105.77 0 105.78 0 106.26 0 106.13 0 106.12 0 106.57 0 106.44 0 106.54 0 107.10 0 108.10 0 108.40 0 108.84 0 109.62 0 110.42 0 110.67 0 111.66 0 112.28 0 112.87 1 112.18 1 112.36 1 112.16 1 111.49 1 111.25 1 111.36 1 111.74 1 111.10 1 111.33 1 111.25 1 111.04 1 110.97 1 111.31 1 111.02 1 111.07 1 111.36 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'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Y[t] = + 100.798537205082 + 0.405499092558974X[t] -0.0388475499092781M1[t] + 0.0607840290381172M2[t] + 0.440415607985486M3[t] + 0.404047186932851M4[t] + 0.551678765880222M5[t] + 0.62331034482759M6[t] + 0.568941923774957M7[t] + 0.685473684210528M8[t] + 0.443105263157899M9[t] + 0.212736842105264M10[t] + 0.0223684210526305M11[t] + 0.192368421052632t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)100.7985372050820.643474156.647400
X0.4054990925589740.5500920.73710.4647760.232388
M1-0.03884754990927810.752095-0.05170.9590290.479515
M20.06078402903811720.7508780.0810.9358320.467916
M30.4404156079854860.7499310.58730.5598910.279945
M40.4040471869328510.7492540.53930.5923040.296152
M50.5516787658802220.7488470.73670.4650430.232521
M60.623310344827590.7487110.83250.4094220.204711
M70.5689419237749570.7488470.75980.4512760.225638
M80.6854736842105280.7476810.91680.364030.182015
M90.4431052631578990.746730.59340.5558240.277912
M100.2127368421052640.7460490.28520.7768080.388404
M110.02236842105263050.7456410.030.9761980.488099
t0.1923684210526320.01425313.497100


Multiple Linear Regression - Regression Statistics
Multiple R0.958777964425264
R-squared0.919255185067454
Adjusted R-squared0.89643599823869
F-TEST (value)40.2843095139899
F-TEST (DF numerator)13
F-TEST (DF denominator)46
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation1.17874632783709
Sum Squared Residuals63.9143736479132


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1100100.952058076225-0.952058076225158
2100.83101.244058076225-0.414058076225041
3101.51101.816058076225-0.306058076225035
4102.16101.9720580762250.187941923774961
5102.39102.3120580762250.0779419237749595
6102.54102.576058076225-0.0360580762250324
7102.85102.7140580762250.135941923774957
8103.47103.0229582577130.447041742286757
9103.57102.9729582577130.597041742286748
10103.69102.9349582577130.755041742286756
11103.5102.9369582577130.56304174228676
12103.47103.1069582577130.363041742286757
13103.45103.2604791288570.189520871143408
14103.48103.552479128857-0.0724791288566186
15103.93104.124479128857-0.194479128856616
16103.89104.280479128857-0.390479128856619
17104.4104.620479128857-0.220479128856618
18104.79104.884479128857-0.094479128856616
19104.77105.022479128857-0.252479128856626
20105.13105.331379310345-0.201379310344829
21105.26105.281379310345-0.0213793103448229
22104.96105.243379310345-0.283379310344831
23104.75105.245379310345-0.495379310344823
24105.01105.415379310345-0.40537931034482
25105.15105.568900181488-0.418900181488173
26105.2105.860900181488-0.660900181488204
27105.77106.432900181488-0.66290018148821
28105.78106.588900181488-0.808900181488202
29106.26106.928900181488-0.668900181488202
30106.13107.192900181488-1.06290018148821
31106.12107.330900181488-1.2109001814882
32106.57107.639800362976-1.06980036297642
33106.44107.589800362976-1.14980036297641
34106.54107.551800362976-1.01180036297640
35107.1107.553800362976-0.453800362976413
36108.1107.7238003629760.376199637023586
37108.4107.8773212341200.522678765880243
38108.84108.1693212341200.670678765880211
39109.62108.7413212341200.878678765880214
40110.42108.8973212341201.52267876588021
41110.67109.2373212341201.43267876588021
42111.66109.5013212341202.15867876588021
43112.28109.6393212341202.64067876588021
44112.87110.3537205081672.51627949183304
45112.18110.3037205081671.87627949183304
46112.36110.2657205081672.09427949183303
47112.16110.2677205081671.89227949183303
48111.49110.4377205081671.05227949183303
49111.25110.5912413793100.65875862068968
50111.36110.8832413793100.476758620689652
51111.74111.4552413793100.284758620689648
52111.1111.611241379310-0.511241379310351
53111.33111.951241379310-0.62124137931035
54111.25112.215241379310-0.965241379310347
55111.04112.353241379310-1.31324137931034
56110.97112.662141560799-1.69214156079855
57111.31112.612141560799-1.30214156079855
58111.02112.574141560799-1.55414156079855
59111.07112.576141560799-1.50614156079856
60111.36112.746141560799-1.38614156079855


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.06553610784159110.1310722156831820.93446389215841
180.01991623225653960.03983246451307910.98008376774346
190.006853303664186440.01370660732837290.993146696335814
200.002927156516761280.005854313033522560.997072843483239
210.001075401582644700.002150803165289410.998924598417355
220.0006737222621886970.001347444524377390.999326277737811
230.0003629101496620340.0007258202993240680.999637089850338
240.0001226973508203480.0002453947016406960.99987730264918
254.24735365985779e-058.49470731971557e-050.999957526463401
261.19812274245535e-052.39624548491069e-050.999988018772575
273.38997248688998e-066.77994497377996e-060.999996610027513
281.18071988136748e-062.36143976273496e-060.999998819280119
293.72306159309784e-077.44612318619569e-070.99999962769384
303.05555619232664e-076.11111238465327e-070.999999694444381
317.07883400666634e-071.41576680133327e-060.9999992921166
329.30244008912707e-071.86048801782541e-060.999999069755991
333.22144775638634e-066.44289551277268e-060.999996778552244
341.69609052481110e-053.39218104962219e-050.999983039094752
350.0001505454506540690.0003010909013081380.999849454549346
360.003459495639505150.006918991279010310.996540504360495
370.04697151969070150.0939430393814030.953028480309299
380.2319520291397280.4639040582794560.768047970860272
390.6558415655060430.6883168689879140.344158434493957
400.7673864038664930.4652271922670140.232613596133507
410.8853302942211730.2293394115576530.114669705778827
420.8858212769971560.2283574460056880.114178723002844
430.8211341812063570.3577316375872860.178865818793643


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level170.62962962962963NOK
5% type I error level190.703703703703704NOK
10% type I error level200.740740740740741NOK
 
Charts produced by software:
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http://www.freestatistics.org/blog/date/2009/Dec/06/t12600611223joh8467d43csx8/9kgjf1260061077.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/06/t12600611223joh8467d43csx8/9kgjf1260061077.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = 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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