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Multiple Regression Lineaire trend werkloosheid inflatie

*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: Thu, 17 Dec 2009 07:07:10 -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/17/t1261058903bgkil45jk108ut9.htm/, Retrieved Thu, 17 Dec 2009 15:08:35 +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/17/t1261058903bgkil45jk108ut9.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 «
9.3 4 9.3 3.8 8.7 4.7 8.2 4.3 8.3 3.9 8.5 4 8.6 4.3 8.5 4.8 8.2 4.4 8.1 4.3 7.9 4.7 8.6 4.7 8.7 4.9 8.7 5 8.5 4.2 8.4 4.3 8.5 4.8 8.7 4.8 8.7 4.8 8.6 4.2 8.5 4.6 8.3 4.8 8 4.5 8.2 4.4 8.1 4.3 8.1 3.9 8 3.7 7.9 4 7.9 4.1 8 3.7 8 3.8 7.9 3.8 8 3.8 7.7 3.3 7.2 3.3 7.5 3.3 7.3 3.2 7 3.4 7 4.2 7 4.9 7.2 5.1 7.3 5.5 7.1 5.6 6.8 6.4 6.4 6.1 6.1 7.1 6.5 7.8 7.7 7.9 7.9 7.4 7.5 7.5 6.9 6.8 6.6 5.2 6.9 4.7 7.7 4.1 8 3.9 8 2.6 7.7 2.7 7.3 1.8 7.4 1 8.1 0.3
 
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
werklh[t] = + 9.65369544559226 -0.140310005125642inflatie[t] + 0.00724839024648894M1[t] -0.109041281500898M2[t] -0.379718553043269M3[t] -0.575651625508257M4[t] -0.409135097153141M5[t] -0.113843369208077M6[t] -0.0361020404429104M7[t] -0.143616512600359M8[t] -0.319906184347756M9[t] -0.559002056197666M10[t] -0.629679327740038M11[t] -0.0293227284576283t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)9.653695445592260.27124835.5900
inflatie-0.1403100051256420.039035-3.59450.0007890.000395
M10.007248390246488940.2705190.02680.978740.48937
M2-0.1090412815008980.269961-0.40390.6881470.344074
M3-0.3797185530432690.269588-1.40850.1657030.082851
M4-0.5756516255082570.26871-2.14230.0374970.018749
M5-0.4091350971531410.268366-1.52450.134220.06711
M6-0.1138433692080770.267901-0.42490.6728570.336429
M7-0.03610204044291040.267801-0.13480.8933510.446676
M8-0.1436165126003590.267409-0.53710.593810.296905
M9-0.3199061843477560.267218-1.19720.2373730.118686
M10-0.5590020561976660.267058-2.09320.0418750.020938
M11-0.6296793277400380.266998-2.35840.0226610.011331
t-0.02932272845762830.003212-9.127800


Multiple Linear Regression - Regression Statistics
Multiple R0.850310348823393
R-squared0.72302768931616
Adjusted R-squared0.644752905862031
F-TEST (value)9.23704490016092
F-TEST (DF numerator)13
F-TEST (DF denominator)46
p-value6.05654348895257e-09
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation0.422038240916151
Sum Squared Residuals8.19334873259757


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
19.39.070381086878610.229618913121392
29.38.952830687698670.34716931230133
38.78.52655168308560.173448316914407
48.28.35741988421323-0.157419884213233
58.38.55073768616098-0.250737686160978
68.58.80267568513585-0.302675685135848
78.68.8090012839057-0.209001283905695
88.58.6020090807278-0.102009080727797
98.28.45252068257303-0.252520682573029
108.18.19813308277805-0.098133082778054
117.98.0420090807278-0.142009080727796
128.68.6423656800102-0.0423656800102068
138.78.592229340773940.107770659226060
148.78.432585940056360.267414059943641
158.58.244833944156870.255166055843126
168.48.00554714272170.394452857278307
178.58.072585940056360.42741405994364
188.78.33855493954380.361445060456203
198.78.386973539851330.313026460148665
208.68.334322342311640.265677657688357
218.58.072585940056360.42741405994364
228.37.776105338723690.523894661276307
2387.718198340261390.281801659738614
248.28.33258594005636-0.132585940056360
258.18.32454260235778-0.224542602357785
268.18.23505420420303-0.135054204203027
2787.963116205228150.0368837947718451
287.97.695767402767850.204232597232153
297.97.818930202152770.0810697978472305
3088.14102320369046-0.141023203690462
3188.17541080348544-0.175410803485436
327.98.03857360287036-0.138573602870359
3387.832961202665330.167038797334666
347.77.634697604920620.0653023950793838
357.27.53469760492062-0.334697604920617
367.58.13505420420303-0.635054204203026
377.38.12701086650445-0.827010866504452
3877.9533364652743-0.953336465274308
3977.5410884611738-0.541088461173794
4077.21761565666323-0.217615656663229
417.27.32674745553559-0.126747455535588
427.37.53659245297277-0.236592452972767
437.17.57098005276774-0.470980052767741
446.87.32189484805215-0.52189484805215
456.47.15837544938482-0.758375449384817
466.16.74964684395164-0.649646843951637
476.56.55142984036369-0.0514298403636871
487.77.137755439133530.562244560866467
497.97.185836103485220.714163896514785
507.57.026192702767640.473807297232364
516.96.824409706355580.0755902936444153
526.66.823649913634-0.223649913633997
536.97.0309987160943-0.130998716094305
547.77.381153718657130.318846281342874
5587.457634319989790.542365680010207
5687.503200126038050.496799873961950
577.77.283556725320460.416443274679540
587.37.1414171296260.158582870374000
597.47.153665133726510.246334866273486
608.17.852238736596870.247761263403126


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.2274036612327660.4548073224655330.772596338767234
180.1716758379380980.3433516758761970.828324162061902
190.09688161390874760.1937632278174950.903118386091252
200.04680345745995340.09360691491990680.953196542540047
210.03267748859763170.06535497719526340.967322511402368
220.02422737870530830.04845475741061670.975772621294692
230.012978442832670.025956885665340.98702155716733
240.0128376674730580.0256753349461160.987162332526942
250.04480652928034130.08961305856068250.955193470719659
260.05260454733307190.1052090946661440.947395452666928
270.03647503207994560.07295006415989130.963524967920054
280.02985481427322990.05970962854645970.97014518572677
290.02238758364321340.04477516728642670.977612416356787
300.01306655105269250.02613310210538490.986933448947308
310.007511425638251430.01502285127650290.99248857436175
320.004654682196505210.009309364393010410.995345317803495
330.008504061098512620.01700812219702520.991495938901487
340.03896359040018860.07792718080037720.961036409599811
350.05247328942461010.1049465788492200.94752671057539
360.03659197039582570.07318394079165140.963408029604174
370.06015565662176110.1203113132435220.939844343378239
380.1702109092745670.3404218185491330.829789090725433
390.1666541065931750.333308213186350.833345893406825
400.2224264309629840.4448528619259670.777573569037016
410.5388953489100030.9222093021799950.461104651089997
420.7612352588452630.4775294823094750.238764741154737
430.9100145575533780.1799708848932450.0899854424466224


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level10.0370370370370370NOK
5% type I error level80.296296296296296NOK
10% type I error level150.555555555555556NOK
 
Charts produced by software:
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http://www.freestatistics.org/blog/date/2009/Dec/17/t1261058903bgkil45jk108ut9/10i8v41261058826.ps (open in new window)


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http://www.freestatistics.org/blog/date/2009/Dec/17/t1261058903bgkil45jk108ut9/9pqlo1261058826.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/17/t1261058903bgkil45jk108ut9/9pqlo1261058826.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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