Home » date » 2009 » Dec » 16 »

Model 5, kijken naar het verleden tot Y(t-3)

*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: Wed, 16 Dec 2009 08:21:57 -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/16/t1260977183y1innofha53fic5.htm/, Retrieved Wed, 16 Dec 2009 16:26:36 +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/16/t1260977183y1innofha53fic5.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 «
102.9 120 112.7 97 95.1 97.4 114 102.9 112.7 97 111.4 116 97.4 102.9 112.7 87.4 153 111.4 97.4 102.9 96.8 162 87.4 111.4 97.4 114.1 161 96.8 87.4 111.4 110.3 149 114.1 96.8 87.4 103.9 139 110.3 114.1 96.8 101.6 135 103.9 110.3 114.1 94.6 130 101.6 103.9 110.3 95.9 127 94.6 101.6 103.9 104.7 122 95.9 94.6 101.6 102.8 117 104.7 95.9 94.6 98.1 112 102.8 104.7 95.9 113.9 113 98.1 102.8 104.7 80.9 149 113.9 98.1 102.8 95.7 157 80.9 113.9 98.1 113.2 157 95.7 80.9 113.9 105.9 147 113.2 95.7 80.9 108.8 137 105.9 113.2 95.7 102.3 132 108.8 105.9 113.2 99 125 102.3 108.8 105.9 100.7 123 99 102.3 108.8 115.5 117 100.7 99 102.3 100.7 114 115.5 100.7 99 109.9 111 100.7 115.5 100.7 114.6 112 109.9 100.7 115.5 85.4 144 114.6 109.9 100.7 100.5 150 85.4 114.6 109.9 114.8 149 100.5 85.4 114.6 116.5 134 114.8 100.5 85.4 112.9 123 116.5 114.8 100.5 102 116 112.9 116.5 114.8 106 117 102 112.9 116.5 105.3 111 106 102 112.9 118.8 105 105.3 106 102 106.1 102 118.8 105.3 106 109.3 95 106.1 118.8 1 etc...
 
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 time3 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Y[t] = -23.3563271745923 + 0.0503661112985457X[t] + 0.137335934853832Y1[t] + 0.44197286432973Y2[t] + 0.71371757685287Y3[t] -7.3392913869526M1[t] -12.6020682925414M2[t] -6.88849991241403M3[t] -30.9409798345795M4[t] -20.1475895309494M5[t] -2.05730628225174M6[t] + 10.2155687017701M7[t] -10.1579795949487M8[t] -27.2356280091489M9[t] -22.8543489826544M10[t] -14.1311859451063M11[t] -0.0656504752053687t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)-23.356327174592338.666223-0.6040.5491380.274569
X0.05036611129854570.1353960.3720.7118160.355908
Y10.1373359348538320.1401580.97990.3328990.166449
Y20.441972864329730.1489122.9680.0049860.002493
Y30.713717576852870.1660024.29940.0001035.2e-05
M1-7.33929138695263.040656-2.41370.0203420.010171
M2-12.60206829254143.243173-3.88570.0003650.000182
M3-6.888499912414033.439432-2.00280.0518410.02592
M4-30.94097983457955.357523-5.77521e-060
M5-20.14758953094946.038678-3.33640.0018120.000906
M6-2.057306282251745.568339-0.36950.7136830.356841
M710.21556870177014.840612.11040.040970.020485
M8-10.15797959494874.406753-2.30510.0262980.013149
M9-27.23562800914894.669276-5.83291e-060
M10-22.85434898265444.022714-5.68131e-061e-06
M11-14.13118594510633.347037-4.2220.0001316.6e-05
t-0.06565047520536870.098949-0.66350.510740.25537


Multiple Linear Regression - Regression Statistics
Multiple R0.923644579935657
R-squared0.853119310044516
Adjusted R-squared0.795800016403352
F-TEST (value)14.8836326453235
F-TEST (DF numerator)16
F-TEST (DF denominator)41
p-value2.99338331899435e-12
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation4.12775134037727
Sum Squared Residuals698.57157624744


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1102.9101.5063335757941.39366642420611
297.4102.824854731638-5.42485473163798
3111.4114.692189103620-3.29218910361967
487.484.9350249052772.46497509472299
596.895.08217072682211.71782927317787
6114.1113.7320925086690.367907491331412
7110.3114.736158435104-4.43615843510442
8103.9107.626497773072-3.72649777307151
9101.6100.0706016505091.52939834949111
1094.698.2777738713903-3.67777387139034
1195.9100.238506476044-4.33850647604386
12104.7109.495387627692-4.79538762769227
13102.898.62571312141394.17428687858613
1498.197.6017109639150.498289036084906
15113.9108.0954823204015.80451767959866
1680.984.5271038420985-3.6271038420985
1795.794.75438535593640.945614644063591
18113.2111.5032231566601.69677684334033
19105.9108.598683768368-2.69868376836808
20108.8104.9508168222183.84918317778176
21102.397.21761727271425.08238272728578
229996.3595824638942.64041753610607
23100.7103.660111573352-2.96011157335197
24115.5111.5592467628813.94075323711865
25100.7104.431864268411-3.73186426841052
26109.9104.6742849906145.22571500938608
27114.6115.657881352832-1.05788135283217
2885.487.3000756252388-1.90007562523883
29100.5102.963276993119-2.46327699311909
30114.8113.4601812443861.33981875561393
31116.5112.7090549594093.79094504059068
32112.9109.0466474228463.85335257715387
33102102.013891607234-0.013891607233505
34106104.5051421489771.49485785102269
35105.3106.022914285080-0.722914285079682
36118.8113.6784878024145.12151219758574
37106.1110.521972029268-4.42197202926804
38109.3108.5638468613950.736153138605223
39117.2118.572639445778-1.37263944577807
4092.589.45091232383113.04908767616888
41104.2102.8641331032921.33586689670847
42112.5116.915038754976-4.41503875497573
43122.4117.3511148857845.04888511421591
44113.3109.8371172903413.46288270965872
45100101.693082527210-1.69308252721041
46110.7107.2259940903863.47400590961351
47112.8104.7784676655248.02153233447551
48109.8114.066877807012-4.26687780701211
49117.3114.7141170051142.58588299488632
50109.1110.135302452438-1.03530245243822
51115.9115.981807777369-0.0818077773687492
529695.98688330355450.0131166964454565
5399.8101.336033820831-1.53603382083084
54116.8115.789464335311.01053566469005
55115.7117.404987951334-1.7049879513341
5699.4106.838920691523-7.43892069152284
5794.399.204806942333-4.90480694233298
589194.931507425352-3.93150742535194


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
200.406973692715620.813947385431240.59302630728438
210.3292935697488240.6585871394976480.670706430251176
220.3554283823488110.7108567646976210.64457161765119
230.4136574777092450.8273149554184890.586342522290755
240.4683618874973720.9367237749947440.531638112502628
250.507712447669770.984575104660460.49228755233023
260.5774419929667820.8451160140664360.422558007033218
270.4572308491990690.9144616983981380.542769150800931
280.3950098432654450.790019686530890.604990156734555
290.3306589399874520.6613178799749040.669341060012548
300.2757505533413530.5515011066827070.724249446658647
310.3151977771646320.6303955543292640.684802222835368
320.4385672891708510.8771345783417020.561432710829149
330.4421815647381560.8843631294763110.557818435261844
340.4914453005713190.9828906011426370.508554699428681
350.596472015269060.807055969461880.40352798473094
360.6324176549794710.7351646900410570.367582345020529
370.499322440159630.998644880319260.50067755984037
380.3730438464486390.7460876928972780.626956153551361


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level00OK
5% type I error level00OK
10% type I error level00OK
 
Charts produced by software:
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http://www.freestatistics.org/blog/date/2009/Dec/16/t1260977183y1innofha53fic5/916ru1260976912.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/16/t1260977183y1innofha53fic5/916ru1260976912.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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