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.
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Type 'license()' or 'licence()' for distribution details.
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Type 'contributors()' for more information and
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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(2172
+ ,2155
+ ,3016
+ ,0
+ ,2150
+ ,2172
+ ,2155
+ ,0
+ ,2533
+ ,2150
+ ,2172
+ ,0
+ ,2058
+ ,2533
+ ,2150
+ ,0
+ ,2160
+ ,2058
+ ,2533
+ ,0
+ ,2260
+ ,2160
+ ,2058
+ ,0
+ ,2498
+ ,2260
+ ,2160
+ ,0
+ ,2695
+ ,2498
+ ,2260
+ ,0
+ ,2799
+ ,2695
+ ,2498
+ ,0
+ ,2946
+ ,2799
+ ,2695
+ ,0
+ ,2930
+ ,2946
+ ,2799
+ ,0
+ ,2318
+ ,2930
+ ,2946
+ ,0
+ ,2540
+ ,2318
+ ,2930
+ ,0
+ ,2570
+ ,2540
+ ,2318
+ ,0
+ ,2669
+ ,2570
+ ,2540
+ ,0
+ ,2450
+ ,2669
+ ,2570
+ ,0
+ ,2842
+ ,2450
+ ,2669
+ ,0
+ ,3440
+ ,2842
+ ,2450
+ ,0
+ ,2678
+ ,3440
+ ,2842
+ ,0
+ ,2981
+ ,2678
+ ,3440
+ ,0
+ ,2260
+ ,2981
+ ,2678
+ ,0
+ ,2844
+ ,2260
+ ,2981
+ ,0
+ ,2546
+ ,2844
+ ,2260
+ ,0
+ ,2456
+ ,2546
+ ,2844
+ ,0
+ ,2295
+ ,2456
+ ,2546
+ ,0
+ ,2379
+ ,2295
+ ,2456
+ ,0
+ ,2479
+ ,2379
+ ,2295
+ ,0
+ ,2057
+ ,2479
+ ,2379
+ ,0
+ ,2280
+ ,2057
+ ,2479
+ ,0
+ ,2351
+ ,2280
+ ,2057
+ ,0
+ ,2276
+ ,2351
+ ,2280
+ ,0
+ ,2548
+ ,2276
+ ,2351
+ ,0
+ ,2311
+ ,2548
+ ,2276
+ ,0
+ ,2201
+ ,2311
+ ,2548
+ ,0
+ ,2725
+ ,2201
+ ,2311
+ ,1
+ ,2408
+ ,2725
+ ,2201
+ ,1
+ ,2139
+ ,2408
+ ,2725
+ ,1
+ ,1898
+ ,2139
+ ,2408
+ ,1
+ ,2537
+ ,1898
+ ,2139
+ ,1
+ ,2068
+ ,2537
+ ,1898
+ ,1
+ ,2063
+ ,2068
+ ,2537
+ ,1
+ ,2520
+ ,2063
+ ,2068
+ ,1
+ ,2434
+ ,2520
+ ,2063
+ ,1
+ ,2190
+ ,2434
+ ,2520
+ ,1
+ ,2794
+ ,2190
+ ,2434
+ ,1
+ ,2070
+ ,2794
+ ,2190
+ ,1
+ ,2615
+ ,2070
+ ,2794
+ ,1
+ ,2265
+ ,2615
+ ,2070
+ ,1
+ ,2139
+ ,2265
+ ,2615
+ ,1
+ ,2428
+ ,2139
+ ,2265
+ ,1
+ ,2137
+ ,2428
+ ,2139
+ ,1
+ ,1823
+ ,2137
+ ,2428
+ ,1
+ ,2063
+ ,1823
+ ,2137
+ ,1
+ ,1806
+ ,2063
+ ,1823
+ ,1
+ ,1758
+ ,1806
+ ,2063
+ ,1
+ ,2243
+ ,1758
+ ,1806
+ ,1
+ ,1993
+ ,2243
+ ,1758
+ ,1
+ ,1932
+ ,1993
+ ,2243
+ ,1
+ ,2465
+ ,1932
+ ,1993
+ ,1)
+ ,dim=c(4
+ ,59)
+ ,dimnames=list(c('y'
+ ,'y(t-1)'
+ ,'y(t-2)'
+ ,'x')
+ ,1:59))
> y <- array(NA,dim=c(4,59),dimnames=list(c('y','y(t-1)','y(t-2)','x'),1:59))
> 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
y y(t-1) y(t-2) x M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 t
1 2172 2155 3016 0 1 0 0 0 0 0 0 0 0 0 0 1
2 2150 2172 2155 0 0 1 0 0 0 0 0 0 0 0 0 2
3 2533 2150 2172 0 0 0 1 0 0 0 0 0 0 0 0 3
4 2058 2533 2150 0 0 0 0 1 0 0 0 0 0 0 0 4
5 2160 2058 2533 0 0 0 0 0 1 0 0 0 0 0 0 5
6 2260 2160 2058 0 0 0 0 0 0 1 0 0 0 0 0 6
7 2498 2260 2160 0 0 0 0 0 0 0 1 0 0 0 0 7
8 2695 2498 2260 0 0 0 0 0 0 0 0 1 0 0 0 8
9 2799 2695 2498 0 0 0 0 0 0 0 0 0 1 0 0 9
10 2946 2799 2695 0 0 0 0 0 0 0 0 0 0 1 0 10
11 2930 2946 2799 0 0 0 0 0 0 0 0 0 0 0 1 11
12 2318 2930 2946 0 0 0 0 0 0 0 0 0 0 0 0 12
13 2540 2318 2930 0 1 0 0 0 0 0 0 0 0 0 0 13
14 2570 2540 2318 0 0 1 0 0 0 0 0 0 0 0 0 14
15 2669 2570 2540 0 0 0 1 0 0 0 0 0 0 0 0 15
16 2450 2669 2570 0 0 0 0 1 0 0 0 0 0 0 0 16
17 2842 2450 2669 0 0 0 0 0 1 0 0 0 0 0 0 17
18 3440 2842 2450 0 0 0 0 0 0 1 0 0 0 0 0 18
19 2678 3440 2842 0 0 0 0 0 0 0 1 0 0 0 0 19
20 2981 2678 3440 0 0 0 0 0 0 0 0 1 0 0 0 20
21 2260 2981 2678 0 0 0 0 0 0 0 0 0 1 0 0 21
22 2844 2260 2981 0 0 0 0 0 0 0 0 0 0 1 0 22
23 2546 2844 2260 0 0 0 0 0 0 0 0 0 0 0 1 23
24 2456 2546 2844 0 0 0 0 0 0 0 0 0 0 0 0 24
25 2295 2456 2546 0 1 0 0 0 0 0 0 0 0 0 0 25
26 2379 2295 2456 0 0 1 0 0 0 0 0 0 0 0 0 26
27 2479 2379 2295 0 0 0 1 0 0 0 0 0 0 0 0 27
28 2057 2479 2379 0 0 0 0 1 0 0 0 0 0 0 0 28
29 2280 2057 2479 0 0 0 0 0 1 0 0 0 0 0 0 29
30 2351 2280 2057 0 0 0 0 0 0 1 0 0 0 0 0 30
31 2276 2351 2280 0 0 0 0 0 0 0 1 0 0 0 0 31
32 2548 2276 2351 0 0 0 0 0 0 0 0 1 0 0 0 32
33 2311 2548 2276 0 0 0 0 0 0 0 0 0 1 0 0 33
34 2201 2311 2548 0 0 0 0 0 0 0 0 0 0 1 0 34
35 2725 2201 2311 1 0 0 0 0 0 0 0 0 0 0 1 35
36 2408 2725 2201 1 0 0 0 0 0 0 0 0 0 0 0 36
37 2139 2408 2725 1 1 0 0 0 0 0 0 0 0 0 0 37
38 1898 2139 2408 1 0 1 0 0 0 0 0 0 0 0 0 38
39 2537 1898 2139 1 0 0 1 0 0 0 0 0 0 0 0 39
40 2068 2537 1898 1 0 0 0 1 0 0 0 0 0 0 0 40
41 2063 2068 2537 1 0 0 0 0 1 0 0 0 0 0 0 41
42 2520 2063 2068 1 0 0 0 0 0 1 0 0 0 0 0 42
43 2434 2520 2063 1 0 0 0 0 0 0 1 0 0 0 0 43
44 2190 2434 2520 1 0 0 0 0 0 0 0 1 0 0 0 44
45 2794 2190 2434 1 0 0 0 0 0 0 0 0 1 0 0 45
46 2070 2794 2190 1 0 0 0 0 0 0 0 0 0 1 0 46
47 2615 2070 2794 1 0 0 0 0 0 0 0 0 0 0 1 47
48 2265 2615 2070 1 0 0 0 0 0 0 0 0 0 0 0 48
49 2139 2265 2615 1 1 0 0 0 0 0 0 0 0 0 0 49
50 2428 2139 2265 1 0 1 0 0 0 0 0 0 0 0 0 50
51 2137 2428 2139 1 0 0 1 0 0 0 0 0 0 0 0 51
52 1823 2137 2428 1 0 0 0 1 0 0 0 0 0 0 0 52
53 2063 1823 2137 1 0 0 0 0 1 0 0 0 0 0 0 53
54 1806 2063 1823 1 0 0 0 0 0 1 0 0 0 0 0 54
55 1758 1806 2063 1 0 0 0 0 0 0 1 0 0 0 0 55
56 2243 1758 1806 1 0 0 0 0 0 0 0 1 0 0 0 56
57 1993 2243 1758 1 0 0 0 0 0 0 0 0 1 0 0 57
58 1932 1993 2243 1 0 0 0 0 0 0 0 0 0 1 0 58
59 2465 1932 1993 1 0 0 0 0 0 0 0 0 0 0 1 59
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) `y(t-1)` `y(t-2)` x M1 M2
1112.0265 0.2232 0.3193 35.0305 -124.8705 65.4881
M3 M4 M5 M6 M7 M8
271.2934 -153.1527 68.4632 346.8300 101.9945 281.2621
M9 M10 M11 t
188.6535 119.3090 414.9658 -5.8146
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-439.016 -160.068 -6.265 151.969 669.185
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 1112.0265 496.6067 2.239 0.0304 *
`y(t-1)` 0.2232 0.1407 1.586 0.1200
`y(t-2)` 0.3193 0.1435 2.226 0.0313 *
x 35.0305 138.1842 0.254 0.8011
M1 -124.8705 187.0353 -0.668 0.5079
M2 65.4881 183.4317 0.357 0.7228
M3 271.2934 182.7823 1.484 0.1450
M4 -153.1527 176.5306 -0.868 0.3904
M5 68.4632 191.9232 0.357 0.7230
M6 346.8300 186.6839 1.858 0.0700 .
M7 101.9945 176.6097 0.578 0.5666
M8 281.2621 179.7720 1.565 0.1250
M9 188.6535 175.4464 1.075 0.2882
M10 119.3090 177.4129 0.672 0.5049
M11 414.9658 175.0039 2.371 0.0223 *
t -5.8146 4.0466 -1.437 0.1580
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 254.9 on 43 degrees of freedom
Multiple R-squared: 0.5536, Adjusted R-squared: 0.3979
F-statistic: 3.555 on 15 and 43 DF, p-value: 0.0005536
> 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,] 0.9228132 0.15437370 0.07718685
[2,] 0.8713051 0.25738979 0.12869489
[3,] 0.9849407 0.03011850 0.01505925
[4,] 0.9793307 0.04133854 0.02066927
[5,] 0.9769418 0.04611649 0.02305825
[6,] 0.9594782 0.08104354 0.04052177
[7,] 0.9318966 0.13620677 0.06810338
[8,] 0.8890150 0.22197003 0.11098502
[9,] 0.8354801 0.32903978 0.16451989
[10,] 0.7707774 0.45844511 0.22922256
[11,] 0.6843817 0.63123654 0.31561827
[12,] 0.6264490 0.74710203 0.37355101
[13,] 0.5167343 0.96653139 0.48326570
[14,] 0.4346150 0.86922993 0.56538504
[15,] 0.3408069 0.68161378 0.65919311
[16,] 0.3110440 0.62208807 0.68895596
[17,] 0.2224296 0.44485924 0.77757038
[18,] 0.1456343 0.29126861 0.85436570
[19,] 0.1228372 0.24567445 0.87716278
[20,] 0.4173579 0.83471575 0.58264212
[21,] 0.3579139 0.71582776 0.64208612
[22,] 0.3424210 0.68484203 0.65757898
> postscript(file="/var/www/html/rcomp/tmp/1oqqf1261239809.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$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/2d9h01261239809.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$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/32hg01261239809.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/409w91261239809.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/5g9gl1261239809.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 = 59
Frequency = 1
1 2 3 4 5 6
-253.304315 -188.758479 -6.265484 -129.479373 -259.522195 -303.194594
7 8 9 10 11 12
130.567485 69.058677 151.520547 287.568782 -84.291996 -318.871336
13 14 15 16 17 18
175.540911 166.827595 -11.736301 167.846489 361.326354 669.185122
19 20 21 22 23 24
-100.809113 7.923001 -439.015690 284.358385 -203.664123 7.190805
25 26 27 28 29 30
92.107106 56.237355 -11.103731 -51.984333 17.492669 -99.111879
31 32 33 34 35 36
-10.506753 82.115125 -93.236452 -162.010259 137.337925 159.262882
37 38 39 40 41 42
-75.580334 -339.868351 238.821765 134.378522 -185.734822 149.563189
43 44 45 46 47 48
213.791966 -330.365792 453.982997 -251.790888 -27.846389 152.417649
49 50 51 52 53 54
61.236632 305.561879 -209.716250 -120.761305 66.437995 -416.441838
55 56 57 58 59
-233.043584 171.268989 -73.251402 -158.126020 178.464583
> postscript(file="/var/www/html/rcomp/tmp/6dryp1261239809.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 = 59
Frequency = 1
lag(myerror, k = 1) myerror
0 -253.304315 NA
1 -188.758479 -253.304315
2 -6.265484 -188.758479
3 -129.479373 -6.265484
4 -259.522195 -129.479373
5 -303.194594 -259.522195
6 130.567485 -303.194594
7 69.058677 130.567485
8 151.520547 69.058677
9 287.568782 151.520547
10 -84.291996 287.568782
11 -318.871336 -84.291996
12 175.540911 -318.871336
13 166.827595 175.540911
14 -11.736301 166.827595
15 167.846489 -11.736301
16 361.326354 167.846489
17 669.185122 361.326354
18 -100.809113 669.185122
19 7.923001 -100.809113
20 -439.015690 7.923001
21 284.358385 -439.015690
22 -203.664123 284.358385
23 7.190805 -203.664123
24 92.107106 7.190805
25 56.237355 92.107106
26 -11.103731 56.237355
27 -51.984333 -11.103731
28 17.492669 -51.984333
29 -99.111879 17.492669
30 -10.506753 -99.111879
31 82.115125 -10.506753
32 -93.236452 82.115125
33 -162.010259 -93.236452
34 137.337925 -162.010259
35 159.262882 137.337925
36 -75.580334 159.262882
37 -339.868351 -75.580334
38 238.821765 -339.868351
39 134.378522 238.821765
40 -185.734822 134.378522
41 149.563189 -185.734822
42 213.791966 149.563189
43 -330.365792 213.791966
44 453.982997 -330.365792
45 -251.790888 453.982997
46 -27.846389 -251.790888
47 152.417649 -27.846389
48 61.236632 152.417649
49 305.561879 61.236632
50 -209.716250 305.561879
51 -120.761305 -209.716250
52 66.437995 -120.761305
53 -416.441838 66.437995
54 -233.043584 -416.441838
55 171.268989 -233.043584
56 -73.251402 171.268989
57 -158.126020 -73.251402
58 178.464583 -158.126020
59 NA 178.464583
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] -188.758479 -253.304315
[2,] -6.265484 -188.758479
[3,] -129.479373 -6.265484
[4,] -259.522195 -129.479373
[5,] -303.194594 -259.522195
[6,] 130.567485 -303.194594
[7,] 69.058677 130.567485
[8,] 151.520547 69.058677
[9,] 287.568782 151.520547
[10,] -84.291996 287.568782
[11,] -318.871336 -84.291996
[12,] 175.540911 -318.871336
[13,] 166.827595 175.540911
[14,] -11.736301 166.827595
[15,] 167.846489 -11.736301
[16,] 361.326354 167.846489
[17,] 669.185122 361.326354
[18,] -100.809113 669.185122
[19,] 7.923001 -100.809113
[20,] -439.015690 7.923001
[21,] 284.358385 -439.015690
[22,] -203.664123 284.358385
[23,] 7.190805 -203.664123
[24,] 92.107106 7.190805
[25,] 56.237355 92.107106
[26,] -11.103731 56.237355
[27,] -51.984333 -11.103731
[28,] 17.492669 -51.984333
[29,] -99.111879 17.492669
[30,] -10.506753 -99.111879
[31,] 82.115125 -10.506753
[32,] -93.236452 82.115125
[33,] -162.010259 -93.236452
[34,] 137.337925 -162.010259
[35,] 159.262882 137.337925
[36,] -75.580334 159.262882
[37,] -339.868351 -75.580334
[38,] 238.821765 -339.868351
[39,] 134.378522 238.821765
[40,] -185.734822 134.378522
[41,] 149.563189 -185.734822
[42,] 213.791966 149.563189
[43,] -330.365792 213.791966
[44,] 453.982997 -330.365792
[45,] -251.790888 453.982997
[46,] -27.846389 -251.790888
[47,] 152.417649 -27.846389
[48,] 61.236632 152.417649
[49,] 305.561879 61.236632
[50,] -209.716250 305.561879
[51,] -120.761305 -209.716250
[52,] 66.437995 -120.761305
[53,] -416.441838 66.437995
[54,] -233.043584 -416.441838
[55,] 171.268989 -233.043584
[56,] -73.251402 171.268989
[57,] -158.126020 -73.251402
[58,] 178.464583 -158.126020
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 -188.758479 -253.304315
2 -6.265484 -188.758479
3 -129.479373 -6.265484
4 -259.522195 -129.479373
5 -303.194594 -259.522195
6 130.567485 -303.194594
7 69.058677 130.567485
8 151.520547 69.058677
9 287.568782 151.520547
10 -84.291996 287.568782
11 -318.871336 -84.291996
12 175.540911 -318.871336
13 166.827595 175.540911
14 -11.736301 166.827595
15 167.846489 -11.736301
16 361.326354 167.846489
17 669.185122 361.326354
18 -100.809113 669.185122
19 7.923001 -100.809113
20 -439.015690 7.923001
21 284.358385 -439.015690
22 -203.664123 284.358385
23 7.190805 -203.664123
24 92.107106 7.190805
25 56.237355 92.107106
26 -11.103731 56.237355
27 -51.984333 -11.103731
28 17.492669 -51.984333
29 -99.111879 17.492669
30 -10.506753 -99.111879
31 82.115125 -10.506753
32 -93.236452 82.115125
33 -162.010259 -93.236452
34 137.337925 -162.010259
35 159.262882 137.337925
36 -75.580334 159.262882
37 -339.868351 -75.580334
38 238.821765 -339.868351
39 134.378522 238.821765
40 -185.734822 134.378522
41 149.563189 -185.734822
42 213.791966 149.563189
43 -330.365792 213.791966
44 453.982997 -330.365792
45 -251.790888 453.982997
46 -27.846389 -251.790888
47 152.417649 -27.846389
48 61.236632 152.417649
49 305.561879 61.236632
50 -209.716250 305.561879
51 -120.761305 -209.716250
52 66.437995 -120.761305
53 -416.441838 66.437995
54 -233.043584 -416.441838
55 171.268989 -233.043584
56 -73.251402 171.268989
57 -158.126020 -73.251402
58 178.464583 -158.126020
> 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/7s5y41261239809.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/8vj3z1261239809.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/9lrms1261239809.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/www/html/rcomp/tmp/10ey8h1261239809.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
null device
1
>
> #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$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/11fcgc1261239809.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/129qa81261239809.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/13kv9y1261239809.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/14ujof1261239810.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/15kfb21261239810.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/163y0z1261239810.tab")
+ }
>
> try(system("convert tmp/1oqqf1261239809.ps tmp/1oqqf1261239809.png",intern=TRUE))
character(0)
> try(system("convert tmp/2d9h01261239809.ps tmp/2d9h01261239809.png",intern=TRUE))
character(0)
> try(system("convert tmp/32hg01261239809.ps tmp/32hg01261239809.png",intern=TRUE))
character(0)
> try(system("convert tmp/409w91261239809.ps tmp/409w91261239809.png",intern=TRUE))
character(0)
> try(system("convert tmp/5g9gl1261239809.ps tmp/5g9gl1261239809.png",intern=TRUE))
character(0)
> try(system("convert tmp/6dryp1261239809.ps tmp/6dryp1261239809.png",intern=TRUE))
character(0)
> try(system("convert tmp/7s5y41261239809.ps tmp/7s5y41261239809.png",intern=TRUE))
character(0)
> try(system("convert tmp/8vj3z1261239809.ps tmp/8vj3z1261239809.png",intern=TRUE))
character(0)
> try(system("convert tmp/9lrms1261239809.ps tmp/9lrms1261239809.png",intern=TRUE))
character(0)
> try(system("convert tmp/10ey8h1261239809.ps tmp/10ey8h1261239809.png",intern=TRUE))
character(0)
>
>
> proc.time()
user system elapsed
2.36 1.59 4.17