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(100.5 + ,98.60 + ,96.33 + ,106.29 + ,96.90 + ,96.33 + ,101.09 + ,95.10 + ,95.05 + ,104.53 + ,97.00 + ,96.84 + ,122.74 + ,112.70 + ,96.92 + ,109.84 + ,102.90 + ,97.44 + ,101.99 + ,97.40 + ,97.78 + ,125.12 + ,111.40 + ,97.69 + ,103.5 + ,87.40 + ,96.67 + ,102.8 + ,96.80 + ,98.29 + ,118.72 + ,114.10 + ,98.20 + ,119.01 + ,110.30 + ,98.71 + ,118.61 + ,103.90 + ,98.54 + ,120.43 + ,101.60 + ,98.20 + ,111.83 + ,94.60 + ,100.80 + ,116.79 + ,95.90 + ,101.33 + ,131.71 + ,104.70 + ,101.88 + ,120.57 + ,102.80 + ,101.85 + ,117.83 + ,98.10 + ,102.04 + ,130.8 + ,113.90 + ,102.22 + ,107.46 + ,80.90 + ,102.63 + ,112.09 + ,95.70 + ,102.65 + ,129.47 + ,113.20 + ,102.54 + ,119.72 + ,105.90 + ,102.37 + ,134.81 + ,108.80 + ,102.68 + ,135.8 + ,102.30 + ,102.76 + ,129.27 + ,99.00 + ,102.82 + ,126.94 + ,100.70 + ,103.31 + ,153.45 + ,115.50 + ,103.23 + ,121.86 + ,100.70 + ,103.60 + ,133.47 + ,109.90 + ,103.95 + ,135.34 + ,114.60 + ,103.93 + ,117.1 + ,85.40 + ,104.25 + ,120.65 + ,100.50 + ,104.38 + ,132.49 + ,114.80 + ,104.36 + ,137.6 + ,116.50 + ,104.32 + ,138.69 + ,112.90 + ,104.58 + ,125.53 + ,102.00 + ,104.68 + ,133.09 + ,106.00 + ,104.92 + ,129.08 + ,105.30 + ,105.46 + ,145.94 + ,118.80 + ,105.23 + ,129.07 + ,106.10 + ,105.58 + ,139.69 + ,109.30 + ,105.34 + ,142.09 + ,117.20 + ,105.28 + ,137.29 + ,92.50 + ,105.70 + ,127.03 + ,104.20 + ,105.67 + ,137.25 + ,112.50 + ,105.71 + ,156.87 + ,122.40 + ,106.19 + ,150.89 + ,113.30 + ,106.93 + ,139.14 + ,100.00 + ,107.44 + ,158.3 + ,110.70 + ,107.85 + ,149 + ,112.80 + ,108.71 + ,158.36 + ,109.80 + ,109.32 + ,168.06 + ,117.30 + ,109.49 + ,153.38 + ,109.10 + ,110.20 + ,173.86 + ,115.90 + ,110.62 + ,162.47 + ,96.00 + ,111.22 + ,145.17 + ,99.80 + ,110.88 + ,168.89 + ,116.80 + ,111.15 + ,166.64 + ,115.70 + ,111.29 + ,140.07 + ,99.40 + ,111.09 + ,128.84 + ,94.30 + ,111.24 + ,123.41 + ,91.00 + ,111.45 + ,120.3 + ,93.20 + ,111.75 + ,129.67 + ,103.10 + ,111.07 + ,118.1 + ,94.10 + ,111.17 + ,113.91 + ,91.80 + ,110.96 + ,131.09 + ,102.70 + ,110.50 + ,119.15 + ,82.60 + ,110.48 + ,122.3 + ,89.10 + ,110.66) + ,dim=c(3 + ,70) + ,dimnames=list(c('Invoer' + ,'TIP' + ,'CONS') + ,1:70)) > y <- array(NA,dim=c(3,70),dimnames=list(c('Invoer','TIP','CONS'),1:70)) > for (i in 1:dim(x)[1]) + { + for (j in 1:dim(x)[2]) + { + y[i,j] <- as.numeric(x[i,j]) + } + } > par3 = 'No 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 Invoer TIP CONS M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 1 100.50 98.6 96.33 1 0 0 0 0 0 0 0 0 0 0 2 106.29 96.9 96.33 0 1 0 0 0 0 0 0 0 0 0 3 101.09 95.1 95.05 0 0 1 0 0 0 0 0 0 0 0 4 104.53 97.0 96.84 0 0 0 1 0 0 0 0 0 0 0 5 122.74 112.7 96.92 0 0 0 0 1 0 0 0 0 0 0 6 109.84 102.9 97.44 0 0 0 0 0 1 0 0 0 0 0 7 101.99 97.4 97.78 0 0 0 0 0 0 1 0 0 0 0 8 125.12 111.4 97.69 0 0 0 0 0 0 0 1 0 0 0 9 103.50 87.4 96.67 0 0 0 0 0 0 0 0 1 0 0 10 102.80 96.8 98.29 0 0 0 0 0 0 0 0 0 1 0 11 118.72 114.1 98.20 0 0 0 0 0 0 0 0 0 0 1 12 119.01 110.3 98.71 0 0 0 0 0 0 0 0 0 0 0 13 118.61 103.9 98.54 1 0 0 0 0 0 0 0 0 0 0 14 120.43 101.6 98.20 0 1 0 0 0 0 0 0 0 0 0 15 111.83 94.6 100.80 0 0 1 0 0 0 0 0 0 0 0 16 116.79 95.9 101.33 0 0 0 1 0 0 0 0 0 0 0 17 131.71 104.7 101.88 0 0 0 0 1 0 0 0 0 0 0 18 120.57 102.8 101.85 0 0 0 0 0 1 0 0 0 0 0 19 117.83 98.1 102.04 0 0 0 0 0 0 1 0 0 0 0 20 130.80 113.9 102.22 0 0 0 0 0 0 0 1 0 0 0 21 107.46 80.9 102.63 0 0 0 0 0 0 0 0 1 0 0 22 112.09 95.7 102.65 0 0 0 0 0 0 0 0 0 1 0 23 129.47 113.2 102.54 0 0 0 0 0 0 0 0 0 0 1 24 119.72 105.9 102.37 0 0 0 0 0 0 0 0 0 0 0 25 134.81 108.8 102.68 1 0 0 0 0 0 0 0 0 0 0 26 135.80 102.3 102.76 0 1 0 0 0 0 0 0 0 0 0 27 129.27 99.0 102.82 0 0 1 0 0 0 0 0 0 0 0 28 126.94 100.7 103.31 0 0 0 1 0 0 0 0 0 0 0 29 153.45 115.5 103.23 0 0 0 0 1 0 0 0 0 0 0 30 121.86 100.7 103.60 0 0 0 0 0 1 0 0 0 0 0 31 133.47 109.9 103.95 0 0 0 0 0 0 1 0 0 0 0 32 135.34 114.6 103.93 0 0 0 0 0 0 0 1 0 0 0 33 117.10 85.4 104.25 0 0 0 0 0 0 0 0 1 0 0 34 120.65 100.5 104.38 0 0 0 0 0 0 0 0 0 1 0 35 132.49 114.8 104.36 0 0 0 0 0 0 0 0 0 0 1 36 137.60 116.5 104.32 0 0 0 0 0 0 0 0 0 0 0 37 138.69 112.9 104.58 1 0 0 0 0 0 0 0 0 0 0 38 125.53 102.0 104.68 0 1 0 0 0 0 0 0 0 0 0 39 133.09 106.0 104.92 0 0 1 0 0 0 0 0 0 0 0 40 129.08 105.3 105.46 0 0 0 1 0 0 0 0 0 0 0 41 145.94 118.8 105.23 0 0 0 0 1 0 0 0 0 0 0 42 129.07 106.1 105.58 0 0 0 0 0 1 0 0 0 0 0 43 139.69 109.3 105.34 0 0 0 0 0 0 1 0 0 0 0 44 142.09 117.2 105.28 0 0 0 0 0 0 0 1 0 0 0 45 137.29 92.5 105.70 0 0 0 0 0 0 0 0 1 0 0 46 127.03 104.2 105.67 0 0 0 0 0 0 0 0 0 1 0 47 137.25 112.5 105.71 0 0 0 0 0 0 0 0 0 0 1 48 156.87 122.4 106.19 0 0 0 0 0 0 0 0 0 0 0 49 150.89 113.3 106.93 1 0 0 0 0 0 0 0 0 0 0 50 139.14 100.0 107.44 0 1 0 0 0 0 0 0 0 0 0 51 158.30 110.7 107.85 0 0 1 0 0 0 0 0 0 0 0 52 149.00 112.8 108.71 0 0 0 1 0 0 0 0 0 0 0 53 158.36 109.8 109.32 0 0 0 0 1 0 0 0 0 0 0 54 168.06 117.3 109.49 0 0 0 0 0 1 0 0 0 0 0 55 153.38 109.1 110.20 0 0 0 0 0 0 1 0 0 0 0 56 173.86 115.9 110.62 0 0 0 0 0 0 0 1 0 0 0 57 162.47 96.0 111.22 0 0 0 0 0 0 0 0 1 0 0 58 145.17 99.8 110.88 0 0 0 0 0 0 0 0 0 1 0 59 168.89 116.8 111.15 0 0 0 0 0 0 0 0 0 0 1 60 166.64 115.7 111.29 0 0 0 0 0 0 0 0 0 0 0 61 140.07 99.4 111.09 1 0 0 0 0 0 0 0 0 0 0 62 128.84 94.3 111.24 0 1 0 0 0 0 0 0 0 0 0 63 123.41 91.0 111.45 0 0 1 0 0 0 0 0 0 0 0 64 120.30 93.2 111.75 0 0 0 1 0 0 0 0 0 0 0 65 129.67 103.1 111.07 0 0 0 0 1 0 0 0 0 0 0 66 118.10 94.1 111.17 0 0 0 0 0 1 0 0 0 0 0 67 113.91 91.8 110.96 0 0 0 0 0 0 1 0 0 0 0 68 131.09 102.7 110.50 0 0 0 0 0 0 0 1 0 0 0 69 119.15 82.6 110.48 0 0 0 0 0 0 0 0 1 0 0 70 122.30 89.1 110.66 0 0 0 0 0 0 0 0 0 1 0 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) TIP CONS M1 M2 M3 -302.163 1.840 2.220 8.065 15.493 15.039 M4 M5 M6 M7 M8 M9 9.039 6.514 6.050 6.968 1.558 32.340 M10 M11 10.139 -2.416 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -10.8807 -4.8007 0.1078 3.8097 15.7177 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) -302.1631 22.0313 -13.715 < 2e-16 *** TIP 1.8396 0.1350 13.624 < 2e-16 *** CONS 2.2196 0.1607 13.814 < 2e-16 *** M1 8.0650 3.9740 2.029 0.047175 * M2 15.4928 4.3015 3.602 0.000672 *** M3 15.0387 4.3088 3.490 0.000948 *** M4 9.0392 4.2267 2.139 0.036844 * M5 6.5143 3.8509 1.692 0.096278 . M6 6.0504 4.0644 1.489 0.142195 M7 6.9685 4.1329 1.686 0.097339 . M8 1.5579 3.8303 0.407 0.685758 M9 32.3396 5.2606 6.148 8.74e-08 *** M10 10.1388 4.4313 2.288 0.025937 * M11 -2.4163 3.9937 -0.605 0.547598 --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 6.314 on 56 degrees of freedom Multiple R-squared: 0.8967, Adjusted R-squared: 0.8727 F-statistic: 37.39 on 13 and 56 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,] 0.163983913 0.327967826 0.8360161 [2,] 0.076702493 0.153404985 0.9232975 [3,] 0.037320201 0.074640402 0.9626798 [4,] 0.086911481 0.173822961 0.9130885 [5,] 0.053271456 0.106542912 0.9467285 [6,] 0.025706210 0.051412421 0.9742938 [7,] 0.011649769 0.023299539 0.9883502 [8,] 0.006047761 0.012095522 0.9939522 [9,] 0.002778683 0.005557366 0.9972213 [10,] 0.002129583 0.004259165 0.9978704 [11,] 0.002010490 0.004020980 0.9979895 [12,] 0.002576137 0.005152274 0.9974239 [13,] 0.006231138 0.012462275 0.9937689 [14,] 0.008191337 0.016382675 0.9918087 [15,] 0.009015409 0.018030817 0.9909846 [16,] 0.009745122 0.019490243 0.9902549 [17,] 0.008752526 0.017505053 0.9912475 [18,] 0.005523451 0.011046902 0.9944765 [19,] 0.003960836 0.007921671 0.9960392 [20,] 0.002348552 0.004697105 0.9976514 [21,] 0.002245280 0.004490560 0.9977547 [22,] 0.009479986 0.018959972 0.9905200 [23,] 0.008103746 0.016207492 0.9918963 [24,] 0.012393314 0.024786628 0.9876067 [25,] 0.023108438 0.046216876 0.9768916 [26,] 0.016185172 0.032370344 0.9838148 [27,] 0.014369018 0.028738035 0.9856310 [28,] 0.012171874 0.024343747 0.9878281 [29,] 0.029839137 0.059678275 0.9701609 [30,] 0.031627097 0.063254194 0.9683729 [31,] 0.019511823 0.039023647 0.9804882 [32,] 0.019431729 0.038863458 0.9805683 [33,] 0.022158883 0.044317766 0.9778411 [34,] 0.022850910 0.045701820 0.9771491 [35,] 0.015991860 0.031983720 0.9840081 [36,] 0.030300639 0.060601277 0.9696994 [37,] 0.424628224 0.849256449 0.5753718 > postscript(file="/var/www/html/rcomp/tmp/1oqgi1261150602.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/23sqx1261150602.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/38sy91261150602.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/4ik6h1261150602.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/5rtie1261150602.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 = 70 Frequency = 1 1 2 3 4 5 -0.605561016 0.884028688 2.290514073 4.261637385 -4.062840238 6 7 8 9 10 0.374928766 0.970019049 3.955932205 -2.031246571 -1.418559052 11 12 13 14 15 -4.568810061 -0.836671704 2.849114102 2.227146718 1.187339495 16 17 18 19 20 8.578981991 8.614539085 1.500240972 6.066595072 -5.018084417 21 22 23 24 25 0.657078253 0.217339811 -1.796439086 -0.156325127 0.845710044 26 27 28 29 30 6.187828304 6.049391582 5.503978303 7.490288206 2.769025685 31 32 33 34 35 -4.240263007 -5.561405682 -1.576970836 -3.892751847 -5.759565471 36 37 38 39 40 -6.104444029 -7.033998819 -7.792014815 -7.669099233 -5.590444716 41 42 43 44 45 -10.529702068 -4.349740554 -0.001811346 -6.590901701 2.333349202 46 47 48 49 50 -7.182633654 0.234999342 -1.838851100 -0.786013607 3.370964869 51 52 53 54 55 2.391191787 -6.681332998 9.368375373 5.357867674 3.268619629 56 57 58 59 60 15.717662852 8.822276688 7.487258334 11.889815276 8.936291959 61 62 63 64 65 4.730749296 -4.877953764 -4.249337704 -6.072819965 -10.880660358 66 67 68 69 70 -5.652322543 -6.063159397 -2.503203257 -8.204486735 4.789346409 > postscript(file="/var/www/html/rcomp/tmp/69b2o1261150602.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 = 70 Frequency = 1 lag(myerror, k = 1) myerror 0 -0.605561016 NA 1 0.884028688 -0.605561016 2 2.290514073 0.884028688 3 4.261637385 2.290514073 4 -4.062840238 4.261637385 5 0.374928766 -4.062840238 6 0.970019049 0.374928766 7 3.955932205 0.970019049 8 -2.031246571 3.955932205 9 -1.418559052 -2.031246571 10 -4.568810061 -1.418559052 11 -0.836671704 -4.568810061 12 2.849114102 -0.836671704 13 2.227146718 2.849114102 14 1.187339495 2.227146718 15 8.578981991 1.187339495 16 8.614539085 8.578981991 17 1.500240972 8.614539085 18 6.066595072 1.500240972 19 -5.018084417 6.066595072 20 0.657078253 -5.018084417 21 0.217339811 0.657078253 22 -1.796439086 0.217339811 23 -0.156325127 -1.796439086 24 0.845710044 -0.156325127 25 6.187828304 0.845710044 26 6.049391582 6.187828304 27 5.503978303 6.049391582 28 7.490288206 5.503978303 29 2.769025685 7.490288206 30 -4.240263007 2.769025685 31 -5.561405682 -4.240263007 32 -1.576970836 -5.561405682 33 -3.892751847 -1.576970836 34 -5.759565471 -3.892751847 35 -6.104444029 -5.759565471 36 -7.033998819 -6.104444029 37 -7.792014815 -7.033998819 38 -7.669099233 -7.792014815 39 -5.590444716 -7.669099233 40 -10.529702068 -5.590444716 41 -4.349740554 -10.529702068 42 -0.001811346 -4.349740554 43 -6.590901701 -0.001811346 44 2.333349202 -6.590901701 45 -7.182633654 2.333349202 46 0.234999342 -7.182633654 47 -1.838851100 0.234999342 48 -0.786013607 -1.838851100 49 3.370964869 -0.786013607 50 2.391191787 3.370964869 51 -6.681332998 2.391191787 52 9.368375373 -6.681332998 53 5.357867674 9.368375373 54 3.268619629 5.357867674 55 15.717662852 3.268619629 56 8.822276688 15.717662852 57 7.487258334 8.822276688 58 11.889815276 7.487258334 59 8.936291959 11.889815276 60 4.730749296 8.936291959 61 -4.877953764 4.730749296 62 -4.249337704 -4.877953764 63 -6.072819965 -4.249337704 64 -10.880660358 -6.072819965 65 -5.652322543 -10.880660358 66 -6.063159397 -5.652322543 67 -2.503203257 -6.063159397 68 -8.204486735 -2.503203257 69 4.789346409 -8.204486735 70 NA 4.789346409 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] 0.884028688 -0.605561016 [2,] 2.290514073 0.884028688 [3,] 4.261637385 2.290514073 [4,] -4.062840238 4.261637385 [5,] 0.374928766 -4.062840238 [6,] 0.970019049 0.374928766 [7,] 3.955932205 0.970019049 [8,] -2.031246571 3.955932205 [9,] -1.418559052 -2.031246571 [10,] -4.568810061 -1.418559052 [11,] -0.836671704 -4.568810061 [12,] 2.849114102 -0.836671704 [13,] 2.227146718 2.849114102 [14,] 1.187339495 2.227146718 [15,] 8.578981991 1.187339495 [16,] 8.614539085 8.578981991 [17,] 1.500240972 8.614539085 [18,] 6.066595072 1.500240972 [19,] -5.018084417 6.066595072 [20,] 0.657078253 -5.018084417 [21,] 0.217339811 0.657078253 [22,] -1.796439086 0.217339811 [23,] -0.156325127 -1.796439086 [24,] 0.845710044 -0.156325127 [25,] 6.187828304 0.845710044 [26,] 6.049391582 6.187828304 [27,] 5.503978303 6.049391582 [28,] 7.490288206 5.503978303 [29,] 2.769025685 7.490288206 [30,] -4.240263007 2.769025685 [31,] -5.561405682 -4.240263007 [32,] -1.576970836 -5.561405682 [33,] -3.892751847 -1.576970836 [34,] -5.759565471 -3.892751847 [35,] -6.104444029 -5.759565471 [36,] -7.033998819 -6.104444029 [37,] -7.792014815 -7.033998819 [38,] -7.669099233 -7.792014815 [39,] -5.590444716 -7.669099233 [40,] -10.529702068 -5.590444716 [41,] -4.349740554 -10.529702068 [42,] -0.001811346 -4.349740554 [43,] -6.590901701 -0.001811346 [44,] 2.333349202 -6.590901701 [45,] -7.182633654 2.333349202 [46,] 0.234999342 -7.182633654 [47,] -1.838851100 0.234999342 [48,] -0.786013607 -1.838851100 [49,] 3.370964869 -0.786013607 [50,] 2.391191787 3.370964869 [51,] -6.681332998 2.391191787 [52,] 9.368375373 -6.681332998 [53,] 5.357867674 9.368375373 [54,] 3.268619629 5.357867674 [55,] 15.717662852 3.268619629 [56,] 8.822276688 15.717662852 [57,] 7.487258334 8.822276688 [58,] 11.889815276 7.487258334 [59,] 8.936291959 11.889815276 [60,] 4.730749296 8.936291959 [61,] -4.877953764 4.730749296 [62,] -4.249337704 -4.877953764 [63,] -6.072819965 -4.249337704 [64,] -10.880660358 -6.072819965 [65,] -5.652322543 -10.880660358 [66,] -6.063159397 -5.652322543 [67,] -2.503203257 -6.063159397 [68,] -8.204486735 -2.503203257 [69,] 4.789346409 -8.204486735 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 0.884028688 -0.605561016 2 2.290514073 0.884028688 3 4.261637385 2.290514073 4 -4.062840238 4.261637385 5 0.374928766 -4.062840238 6 0.970019049 0.374928766 7 3.955932205 0.970019049 8 -2.031246571 3.955932205 9 -1.418559052 -2.031246571 10 -4.568810061 -1.418559052 11 -0.836671704 -4.568810061 12 2.849114102 -0.836671704 13 2.227146718 2.849114102 14 1.187339495 2.227146718 15 8.578981991 1.187339495 16 8.614539085 8.578981991 17 1.500240972 8.614539085 18 6.066595072 1.500240972 19 -5.018084417 6.066595072 20 0.657078253 -5.018084417 21 0.217339811 0.657078253 22 -1.796439086 0.217339811 23 -0.156325127 -1.796439086 24 0.845710044 -0.156325127 25 6.187828304 0.845710044 26 6.049391582 6.187828304 27 5.503978303 6.049391582 28 7.490288206 5.503978303 29 2.769025685 7.490288206 30 -4.240263007 2.769025685 31 -5.561405682 -4.240263007 32 -1.576970836 -5.561405682 33 -3.892751847 -1.576970836 34 -5.759565471 -3.892751847 35 -6.104444029 -5.759565471 36 -7.033998819 -6.104444029 37 -7.792014815 -7.033998819 38 -7.669099233 -7.792014815 39 -5.590444716 -7.669099233 40 -10.529702068 -5.590444716 41 -4.349740554 -10.529702068 42 -0.001811346 -4.349740554 43 -6.590901701 -0.001811346 44 2.333349202 -6.590901701 45 -7.182633654 2.333349202 46 0.234999342 -7.182633654 47 -1.838851100 0.234999342 48 -0.786013607 -1.838851100 49 3.370964869 -0.786013607 50 2.391191787 3.370964869 51 -6.681332998 2.391191787 52 9.368375373 -6.681332998 53 5.357867674 9.368375373 54 3.268619629 5.357867674 55 15.717662852 3.268619629 56 8.822276688 15.717662852 57 7.487258334 8.822276688 58 11.889815276 7.487258334 59 8.936291959 11.889815276 60 4.730749296 8.936291959 61 -4.877953764 4.730749296 62 -4.249337704 -4.877953764 63 -6.072819965 -4.249337704 64 -10.880660358 -6.072819965 65 -5.652322543 -10.880660358 66 -6.063159397 -5.652322543 67 -2.503203257 -6.063159397 68 -8.204486735 -2.503203257 69 4.789346409 -8.204486735 > 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/78lj31261150602.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/88hdg1261150602.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/9vtgx1261150602.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/rcomp/tmp/10594f1261150602.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/11s3db1261150602.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/12ufh41261150603.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/13ibs01261150603.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/140vch1261150603.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/15hmxl1261150603.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/16obh41261150603.tab") + } > > try(system("convert tmp/1oqgi1261150602.ps tmp/1oqgi1261150602.png",intern=TRUE)) character(0) > try(system("convert tmp/23sqx1261150602.ps tmp/23sqx1261150602.png",intern=TRUE)) character(0) > try(system("convert tmp/38sy91261150602.ps tmp/38sy91261150602.png",intern=TRUE)) character(0) > try(system("convert tmp/4ik6h1261150602.ps tmp/4ik6h1261150602.png",intern=TRUE)) character(0) > try(system("convert tmp/5rtie1261150602.ps tmp/5rtie1261150602.png",intern=TRUE)) character(0) > try(system("convert tmp/69b2o1261150602.ps tmp/69b2o1261150602.png",intern=TRUE)) character(0) > try(system("convert tmp/78lj31261150602.ps tmp/78lj31261150602.png",intern=TRUE)) character(0) > try(system("convert tmp/88hdg1261150602.ps tmp/88hdg1261150602.png",intern=TRUE)) character(0) > try(system("convert tmp/9vtgx1261150602.ps tmp/9vtgx1261150602.png",intern=TRUE)) character(0) > try(system("convert tmp/10594f1261150602.ps tmp/10594f1261150602.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 2.595 1.595 7.933