R version 2.9.0 (2009-04-17) Copyright (C) 2009 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(1.43 + ,0 + ,0 + ,0 + ,0 + ,0.51 + ,1.43 + ,0 + ,0 + ,0 + ,0 + ,0.51 + ,1.43 + ,0 + ,0 + ,0 + ,0 + ,0.51 + ,1.43 + ,0 + ,0 + ,0 + ,0 + ,0.51 + ,1.43 + ,0 + ,0 + ,0 + ,0 + ,0.52 + ,1.43 + ,0 + ,0 + ,0 + ,0 + ,0.52 + ,1.44 + ,0 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.52 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.54 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.48 + ,1 + ,0 + ,0 + ,0 + ,0.53 + ,1.57 + ,1 + ,1 + ,0 + ,0 + ,0.54 + ,1.58 + ,1 + ,1 + ,0 + ,0 + ,0.55 + ,1.58 + ,1 + ,1 + ,0 + ,0 + ,0.55 + ,1.58 + ,1 + ,1 + ,0 + ,0 + ,0.55 + ,1.58 + ,1 + ,1 + ,0 + ,0 + ,0.55 + ,1.59 + ,1 + ,1 + ,1 + ,1 + ,0.55 + ,1.6 + ,1 + ,1 + ,1 + ,2 + ,0.55 + ,1.6 + ,1 + ,1 + ,1 + ,3 + ,0.55 + ,1.61 + ,1 + ,1 + ,1 + ,4 + ,0.55 + ,1.61 + ,1 + ,1 + ,1 + ,5 + ,0.56 + ,1.61 + ,1 + ,1 + ,1 + ,6 + ,0.56 + ,1.62 + ,1 + ,1 + ,1 + ,7 + ,0.56 + ,1.63 + ,1 + ,1 + ,1 + ,8 + ,0.56 + ,1.63 + ,1 + ,1 + ,1 + ,9 + ,0.56 + ,1.64 + ,1 + ,1 + ,1 + ,10 + ,0.55 + ,1.64 + ,1 + ,1 + ,1 + ,11 + ,0.56 + ,1.64 + ,1 + ,1 + ,1 + ,12 + ,0.55 + ,1.64 + ,1 + ,1 + ,1 + ,13 + ,0.55 + ,1.64 + ,1 + ,1 + ,1 + ,14 + ,0.56 + ,1.65 + ,1 + ,1 + ,1 + ,15 + ,0.55 + ,1.65 + ,1 + ,1 + ,1 + ,16 + ,0.55 + ,1.65 + ,1 + ,1 + ,1 + ,17 + ,0.55 + ,1.65 + ,1 + ,1 + ,1 + ,18 + ,0.55) + ,dim=c(6 + ,60) + ,dimnames=list(c('Broodprijzen' + ,'Dummy2' + ,'Dummy3' + ,'Dummy1' + ,'Dummy4' + ,'Bakmeelprijzen') + ,1:60)) > y <- array(NA,dim=c(6,60),dimnames=list(c('Broodprijzen','Dummy2','Dummy3','Dummy1','Dummy4','Bakmeelprijzen'),1:60)) > 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 Broodprijzen Dummy2 Dummy3 Dummy1 Dummy4 Bakmeelprijzen M1 M2 M3 M4 M5 M6 M7 1 1.43 0 0 0 0 0.51 1 0 0 0 0 0 0 2 1.43 0 0 0 0 0.51 0 1 0 0 0 0 0 3 1.43 0 0 0 0 0.51 0 0 1 0 0 0 0 4 1.43 0 0 0 0 0.51 0 0 0 1 0 0 0 5 1.43 0 0 0 0 0.52 0 0 0 0 1 0 0 6 1.43 0 0 0 0 0.52 0 0 0 0 0 1 0 7 1.44 0 0 0 0 0.52 0 0 0 0 0 0 1 8 1.48 1 0 0 0 0.53 0 0 0 0 0 0 0 9 1.48 1 0 0 0 0.53 0 0 0 0 0 0 0 10 1.48 1 0 0 0 0.52 0 0 0 0 0 0 0 11 1.48 1 0 0 0 0.52 0 0 0 0 0 0 0 12 1.48 1 0 0 0 0.52 0 0 0 0 0 0 0 13 1.48 1 0 0 0 0.52 1 0 0 0 0 0 0 14 1.48 1 0 0 0 0.52 0 1 0 0 0 0 0 15 1.48 1 0 0 0 0.52 0 0 1 0 0 0 0 16 1.48 1 0 0 0 0.52 0 0 0 1 0 0 0 17 1.48 1 0 0 0 0.52 0 0 0 0 1 0 0 18 1.48 1 0 0 0 0.52 0 0 0 0 0 1 0 19 1.48 1 0 0 0 0.52 0 0 0 0 0 0 1 20 1.48 1 0 0 0 0.53 0 0 0 0 0 0 0 21 1.48 1 0 0 0 0.53 0 0 0 0 0 0 0 22 1.48 1 0 0 0 0.53 0 0 0 0 0 0 0 23 1.48 1 0 0 0 0.54 0 0 0 0 0 0 0 24 1.48 1 0 0 0 0.54 0 0 0 0 0 0 0 25 1.48 1 0 0 0 0.54 1 0 0 0 0 0 0 26 1.48 1 0 0 0 0.54 0 1 0 0 0 0 0 27 1.48 1 0 0 0 0.54 0 0 1 0 0 0 0 28 1.48 1 0 0 0 0.54 0 0 0 1 0 0 0 29 1.48 1 0 0 0 0.54 0 0 0 0 1 0 0 30 1.48 1 0 0 0 0.54 0 0 0 0 0 1 0 31 1.48 1 0 0 0 0.54 0 0 0 0 0 0 1 32 1.48 1 0 0 0 0.54 0 0 0 0 0 0 0 33 1.48 1 0 0 0 0.53 0 0 0 0 0 0 0 34 1.48 1 0 0 0 0.53 0 0 0 0 0 0 0 35 1.48 1 0 0 0 0.53 0 0 0 0 0 0 0 36 1.48 1 0 0 0 0.53 0 0 0 0 0 0 0 37 1.48 1 0 0 0 0.53 1 0 0 0 0 0 0 38 1.57 1 1 0 0 0.54 0 1 0 0 0 0 0 39 1.58 1 1 0 0 0.55 0 0 1 0 0 0 0 40 1.58 1 1 0 0 0.55 0 0 0 1 0 0 0 41 1.58 1 1 0 0 0.55 0 0 0 0 1 0 0 42 1.58 1 1 0 0 0.55 0 0 0 0 0 1 0 43 1.59 1 1 1 1 0.55 0 0 0 0 0 0 1 44 1.60 1 1 1 2 0.55 0 0 0 0 0 0 0 45 1.60 1 1 1 3 0.55 0 0 0 0 0 0 0 46 1.61 1 1 1 4 0.55 0 0 0 0 0 0 0 47 1.61 1 1 1 5 0.56 0 0 0 0 0 0 0 48 1.61 1 1 1 6 0.56 0 0 0 0 0 0 0 49 1.62 1 1 1 7 0.56 1 0 0 0 0 0 0 50 1.63 1 1 1 8 0.56 0 1 0 0 0 0 0 51 1.63 1 1 1 9 0.56 0 0 1 0 0 0 0 52 1.64 1 1 1 10 0.55 0 0 0 1 0 0 0 53 1.64 1 1 1 11 0.56 0 0 0 0 1 0 0 54 1.64 1 1 1 12 0.55 0 0 0 0 0 1 0 55 1.64 1 1 1 13 0.55 0 0 0 0 0 0 1 56 1.64 1 1 1 14 0.56 0 0 0 0 0 0 0 57 1.65 1 1 1 15 0.55 0 0 0 0 0 0 0 58 1.65 1 1 1 16 0.55 0 0 0 0 0 0 0 59 1.65 1 1 1 17 0.55 0 0 0 0 0 0 0 60 1.65 1 1 1 18 0.55 0 0 0 0 0 0 0 M8 M9 M10 M11 t 1 0 0 0 0 1 2 0 0 0 0 2 3 0 0 0 0 3 4 0 0 0 0 4 5 0 0 0 0 5 6 0 0 0 0 6 7 0 0 0 0 7 8 1 0 0 0 8 9 0 1 0 0 9 10 0 0 1 0 10 11 0 0 0 1 11 12 0 0 0 0 12 13 0 0 0 0 13 14 0 0 0 0 14 15 0 0 0 0 15 16 0 0 0 0 16 17 0 0 0 0 17 18 0 0 0 0 18 19 0 0 0 0 19 20 1 0 0 0 20 21 0 1 0 0 21 22 0 0 1 0 22 23 0 0 0 1 23 24 0 0 0 0 24 25 0 0 0 0 25 26 0 0 0 0 26 27 0 0 0 0 27 28 0 0 0 0 28 29 0 0 0 0 29 30 0 0 0 0 30 31 0 0 0 0 31 32 1 0 0 0 32 33 0 1 0 0 33 34 0 0 1 0 34 35 0 0 0 1 35 36 0 0 0 0 36 37 0 0 0 0 37 38 0 0 0 0 38 39 0 0 0 0 39 40 0 0 0 0 40 41 0 0 0 0 41 42 0 0 0 0 42 43 0 0 0 0 43 44 1 0 0 0 44 45 0 1 0 0 45 46 0 0 1 0 46 47 0 0 0 1 47 48 0 0 0 0 48 49 0 0 0 0 49 50 0 0 0 0 50 51 0 0 0 0 51 52 0 0 0 0 52 53 0 0 0 0 53 54 0 0 0 0 54 55 0 0 0 0 55 56 1 0 0 0 56 57 0 1 0 0 57 58 0 0 1 0 58 59 0 0 0 1 59 60 0 0 0 0 60 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) Dummy2 Dummy3 Dummy1 Dummy4 1.366e+00 4.878e-02 9.533e-02 1.625e-02 3.681e-03 Bakmeelprijzen M1 M2 M3 M4 1.194e-01 2.971e-03 2.982e-03 4.059e-03 5.613e-03 M5 M6 M7 M8 M9 4.451e-03 4.006e-03 3.335e-03 1.443e-03 2.500e-03 M10 M11 t 3.318e-03 1.420e-03 -5.189e-05 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -7.131e-03 -1.649e-03 4.776e-05 1.608e-03 8.627e-03 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 1.366e+00 4.316e-02 31.656 < 2e-16 *** Dummy2 4.878e-02 2.086e-03 23.379 < 2e-16 *** Dummy3 9.533e-02 2.277e-03 41.874 < 2e-16 *** Dummy1 1.625e-02 2.494e-03 6.516 7.18e-08 *** Dummy4 3.681e-03 1.856e-04 19.836 < 2e-16 *** Bakmeelprijzen 1.194e-01 8.426e-02 1.417 0.1638 M1 2.971e-03 2.211e-03 1.344 0.1862 M2 2.982e-03 2.250e-03 1.325 0.1923 M3 4.059e-03 2.247e-03 1.806 0.0780 . M4 5.613e-03 2.239e-03 2.507 0.0161 * M5 4.451e-03 2.246e-03 1.982 0.0540 . M6 4.006e-03 2.234e-03 1.793 0.0801 . M7 3.335e-03 2.222e-03 1.501 0.1409 M8 1.443e-03 2.212e-03 0.652 0.5178 M9 2.500e-03 2.187e-03 1.143 0.2595 M10 3.318e-03 2.197e-03 1.511 0.1384 M11 1.420e-03 2.174e-03 0.653 0.5172 t -5.189e-05 8.951e-05 -0.580 0.5653 --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 0.003435 on 42 degrees of freedom Multiple R-squared: 0.9985, Adjusted R-squared: 0.9979 F-statistic: 1657 on 17 and 42 DF, p-value: < 2.2e-16 > 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,] 0.4766598982 0.953319796 0.5233401 [2,] 0.3367536894 0.673507379 0.6632463 [3,] 0.2500911234 0.500182247 0.7499089 [4,] 0.2433037450 0.486607490 0.7566963 [5,] 0.2526662876 0.505332575 0.7473337 [6,] 0.1822491734 0.364498347 0.8177508 [7,] 0.1147676368 0.229535274 0.8852324 [8,] 0.0745390100 0.149078020 0.9254610 [9,] 0.0420420044 0.084084009 0.9579580 [10,] 0.0269362600 0.053872520 0.9730637 [11,] 0.0417347162 0.083469432 0.9582653 [12,] 0.0234156151 0.046831230 0.9765844 [13,] 0.0120138224 0.024027645 0.9879862 [14,] 0.0059654674 0.011930935 0.9940345 [15,] 0.0024796159 0.004959232 0.9975204 [16,] 0.0027241209 0.005448242 0.9972759 [17,] 0.0009996293 0.001999259 0.9990004 [18,] 0.0009017241 0.001803448 0.9990983 [19,] 0.0088267628 0.017653526 0.9911732 > postscript(file="/var/www/html/rcomp/tmp/1pisd1260534981.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2lnor1260534981.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/3agsn1260534981.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/4f07w1260534981.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/5sxbk1260534981.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 = 60 Frequency = 1 1 2 3 4 5 -1.267990e-04 -8.561114e-05 -1.110648e-03 -2.613368e-03 -2.593772e-03 6 7 8 9 10 -2.096493e-03 8.626691e-03 6.000557e-04 -4.053852e-04 2.222547e-05 11 12 13 14 15 1.972152e-03 3.444395e-03 5.251334e-04 5.663213e-04 -4.587153e-04 16 17 18 19 20 -1.961436e-03 -7.476304e-04 -2.503509e-04 4.728335e-04 1.222691e-03 21 22 23 24 25 2.172505e-04 -5.493485e-04 2.063686e-04 1.678612e-03 -1.240650e-03 26 27 28 29 30 -1.199462e-03 -2.224499e-03 -3.727219e-03 -2.513414e-03 -2.016135e-03 31 32 33 34 35 -1.292950e-03 6.511174e-04 8.398861e-04 7.328718e-05 2.023214e-03 36 37 38 39 40 3.495457e-03 5.761951e-04 -5.907949e-03 1.872805e-03 3.700845e-04 41 42 43 44 45 1.583890e-03 2.081169e-03 -7.130961e-03 1.132499e-03 -3.553549e-03 46 47 48 49 50 1.999245e-03 -9.256456e-04 -3.134010e-03 2.661206e-04 6.626701e-03 51 52 53 54 55 1.921057e-03 7.931939e-03 4.270927e-03 2.281809e-03 -6.756141e-04 56 57 58 59 60 -3.606364e-03 2.901798e-03 -1.545409e-03 -3.276089e-03 -5.484454e-03 > postscript(file="/var/www/html/rcomp/tmp/63faq1260534981.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 = 60 Frequency = 1 lag(myerror, k = 1) myerror 0 -1.267990e-04 NA 1 -8.561114e-05 -1.267990e-04 2 -1.110648e-03 -8.561114e-05 3 -2.613368e-03 -1.110648e-03 4 -2.593772e-03 -2.613368e-03 5 -2.096493e-03 -2.593772e-03 6 8.626691e-03 -2.096493e-03 7 6.000557e-04 8.626691e-03 8 -4.053852e-04 6.000557e-04 9 2.222547e-05 -4.053852e-04 10 1.972152e-03 2.222547e-05 11 3.444395e-03 1.972152e-03 12 5.251334e-04 3.444395e-03 13 5.663213e-04 5.251334e-04 14 -4.587153e-04 5.663213e-04 15 -1.961436e-03 -4.587153e-04 16 -7.476304e-04 -1.961436e-03 17 -2.503509e-04 -7.476304e-04 18 4.728335e-04 -2.503509e-04 19 1.222691e-03 4.728335e-04 20 2.172505e-04 1.222691e-03 21 -5.493485e-04 2.172505e-04 22 2.063686e-04 -5.493485e-04 23 1.678612e-03 2.063686e-04 24 -1.240650e-03 1.678612e-03 25 -1.199462e-03 -1.240650e-03 26 -2.224499e-03 -1.199462e-03 27 -3.727219e-03 -2.224499e-03 28 -2.513414e-03 -3.727219e-03 29 -2.016135e-03 -2.513414e-03 30 -1.292950e-03 -2.016135e-03 31 6.511174e-04 -1.292950e-03 32 8.398861e-04 6.511174e-04 33 7.328718e-05 8.398861e-04 34 2.023214e-03 7.328718e-05 35 3.495457e-03 2.023214e-03 36 5.761951e-04 3.495457e-03 37 -5.907949e-03 5.761951e-04 38 1.872805e-03 -5.907949e-03 39 3.700845e-04 1.872805e-03 40 1.583890e-03 3.700845e-04 41 2.081169e-03 1.583890e-03 42 -7.130961e-03 2.081169e-03 43 1.132499e-03 -7.130961e-03 44 -3.553549e-03 1.132499e-03 45 1.999245e-03 -3.553549e-03 46 -9.256456e-04 1.999245e-03 47 -3.134010e-03 -9.256456e-04 48 2.661206e-04 -3.134010e-03 49 6.626701e-03 2.661206e-04 50 1.921057e-03 6.626701e-03 51 7.931939e-03 1.921057e-03 52 4.270927e-03 7.931939e-03 53 2.281809e-03 4.270927e-03 54 -6.756141e-04 2.281809e-03 55 -3.606364e-03 -6.756141e-04 56 2.901798e-03 -3.606364e-03 57 -1.545409e-03 2.901798e-03 58 -3.276089e-03 -1.545409e-03 59 -5.484454e-03 -3.276089e-03 60 NA -5.484454e-03 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] -8.561114e-05 -1.267990e-04 [2,] -1.110648e-03 -8.561114e-05 [3,] -2.613368e-03 -1.110648e-03 [4,] -2.593772e-03 -2.613368e-03 [5,] -2.096493e-03 -2.593772e-03 [6,] 8.626691e-03 -2.096493e-03 [7,] 6.000557e-04 8.626691e-03 [8,] -4.053852e-04 6.000557e-04 [9,] 2.222547e-05 -4.053852e-04 [10,] 1.972152e-03 2.222547e-05 [11,] 3.444395e-03 1.972152e-03 [12,] 5.251334e-04 3.444395e-03 [13,] 5.663213e-04 5.251334e-04 [14,] -4.587153e-04 5.663213e-04 [15,] -1.961436e-03 -4.587153e-04 [16,] -7.476304e-04 -1.961436e-03 [17,] -2.503509e-04 -7.476304e-04 [18,] 4.728335e-04 -2.503509e-04 [19,] 1.222691e-03 4.728335e-04 [20,] 2.172505e-04 1.222691e-03 [21,] -5.493485e-04 2.172505e-04 [22,] 2.063686e-04 -5.493485e-04 [23,] 1.678612e-03 2.063686e-04 [24,] -1.240650e-03 1.678612e-03 [25,] -1.199462e-03 -1.240650e-03 [26,] -2.224499e-03 -1.199462e-03 [27,] -3.727219e-03 -2.224499e-03 [28,] -2.513414e-03 -3.727219e-03 [29,] -2.016135e-03 -2.513414e-03 [30,] -1.292950e-03 -2.016135e-03 [31,] 6.511174e-04 -1.292950e-03 [32,] 8.398861e-04 6.511174e-04 [33,] 7.328718e-05 8.398861e-04 [34,] 2.023214e-03 7.328718e-05 [35,] 3.495457e-03 2.023214e-03 [36,] 5.761951e-04 3.495457e-03 [37,] -5.907949e-03 5.761951e-04 [38,] 1.872805e-03 -5.907949e-03 [39,] 3.700845e-04 1.872805e-03 [40,] 1.583890e-03 3.700845e-04 [41,] 2.081169e-03 1.583890e-03 [42,] -7.130961e-03 2.081169e-03 [43,] 1.132499e-03 -7.130961e-03 [44,] -3.553549e-03 1.132499e-03 [45,] 1.999245e-03 -3.553549e-03 [46,] -9.256456e-04 1.999245e-03 [47,] -3.134010e-03 -9.256456e-04 [48,] 2.661206e-04 -3.134010e-03 [49,] 6.626701e-03 2.661206e-04 [50,] 1.921057e-03 6.626701e-03 [51,] 7.931939e-03 1.921057e-03 [52,] 4.270927e-03 7.931939e-03 [53,] 2.281809e-03 4.270927e-03 [54,] -6.756141e-04 2.281809e-03 [55,] -3.606364e-03 -6.756141e-04 [56,] 2.901798e-03 -3.606364e-03 [57,] -1.545409e-03 2.901798e-03 [58,] -3.276089e-03 -1.545409e-03 [59,] -5.484454e-03 -3.276089e-03 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 -8.561114e-05 -1.267990e-04 2 -1.110648e-03 -8.561114e-05 3 -2.613368e-03 -1.110648e-03 4 -2.593772e-03 -2.613368e-03 5 -2.096493e-03 -2.593772e-03 6 8.626691e-03 -2.096493e-03 7 6.000557e-04 8.626691e-03 8 -4.053852e-04 6.000557e-04 9 2.222547e-05 -4.053852e-04 10 1.972152e-03 2.222547e-05 11 3.444395e-03 1.972152e-03 12 5.251334e-04 3.444395e-03 13 5.663213e-04 5.251334e-04 14 -4.587153e-04 5.663213e-04 15 -1.961436e-03 -4.587153e-04 16 -7.476304e-04 -1.961436e-03 17 -2.503509e-04 -7.476304e-04 18 4.728335e-04 -2.503509e-04 19 1.222691e-03 4.728335e-04 20 2.172505e-04 1.222691e-03 21 -5.493485e-04 2.172505e-04 22 2.063686e-04 -5.493485e-04 23 1.678612e-03 2.063686e-04 24 -1.240650e-03 1.678612e-03 25 -1.199462e-03 -1.240650e-03 26 -2.224499e-03 -1.199462e-03 27 -3.727219e-03 -2.224499e-03 28 -2.513414e-03 -3.727219e-03 29 -2.016135e-03 -2.513414e-03 30 -1.292950e-03 -2.016135e-03 31 6.511174e-04 -1.292950e-03 32 8.398861e-04 6.511174e-04 33 7.328718e-05 8.398861e-04 34 2.023214e-03 7.328718e-05 35 3.495457e-03 2.023214e-03 36 5.761951e-04 3.495457e-03 37 -5.907949e-03 5.761951e-04 38 1.872805e-03 -5.907949e-03 39 3.700845e-04 1.872805e-03 40 1.583890e-03 3.700845e-04 41 2.081169e-03 1.583890e-03 42 -7.130961e-03 2.081169e-03 43 1.132499e-03 -7.130961e-03 44 -3.553549e-03 1.132499e-03 45 1.999245e-03 -3.553549e-03 46 -9.256456e-04 1.999245e-03 47 -3.134010e-03 -9.256456e-04 48 2.661206e-04 -3.134010e-03 49 6.626701e-03 2.661206e-04 50 1.921057e-03 6.626701e-03 51 7.931939e-03 1.921057e-03 52 4.270927e-03 7.931939e-03 53 2.281809e-03 4.270927e-03 54 -6.756141e-04 2.281809e-03 55 -3.606364e-03 -6.756141e-04 56 2.901798e-03 -3.606364e-03 57 -1.545409e-03 2.901798e-03 58 -3.276089e-03 -1.545409e-03 59 -5.484454e-03 -3.276089e-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/74rg71260534981.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/8jg2e1260534981.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/92jua1260534981.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/rcomp/tmp/10cyea1260534981.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/11qejp1260534981.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/12k4qh1260534981.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/131ts61260534981.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/1432it1260534981.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/15bcox1260534981.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/16re561260534981.tab") + } > > system("convert tmp/1pisd1260534981.ps tmp/1pisd1260534981.png") > system("convert tmp/2lnor1260534981.ps tmp/2lnor1260534981.png") > system("convert tmp/3agsn1260534981.ps tmp/3agsn1260534981.png") > system("convert tmp/4f07w1260534981.ps tmp/4f07w1260534981.png") > system("convert tmp/5sxbk1260534981.ps tmp/5sxbk1260534981.png") > system("convert tmp/63faq1260534981.ps tmp/63faq1260534981.png") > system("convert tmp/74rg71260534981.ps tmp/74rg71260534981.png") > system("convert tmp/8jg2e1260534981.ps tmp/8jg2e1260534981.png") > system("convert tmp/92jua1260534981.ps tmp/92jua1260534981.png") > system("convert tmp/10cyea1260534981.ps tmp/10cyea1260534981.png") > > > proc.time() user system elapsed 2.354 1.538 7.593