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Multiple Regression 1

*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: Mon, 28 Dec 2009 10:13:22 -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/28/t1262020498oqt61qujoqlm3lm.htm/, Retrieved Mon, 28 Dec 2009 18:15:11 +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/28/t1262020498oqt61qujoqlm3lm.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:
Geen seasonal dummies Geen lineaire trend
 
Dataseries X:
» Textbox « » Textfile « » CSV «
4.6 11.7 4.5 11.4 4.4 11.2 4.4 11.1 4.3 10.8 4.1 10.4 3.9 10.1 3.7 9.8 3.6 9.7 3.9 10.3 4.2 10.9 4.2 10.8 4.1 10.6 4.1 10.4 4.1 10.3 4.1 10.2 4.1 10 4 9.7 3.9 9.4 3.8 9.2 3.8 9.1 4 9.6 4.4 10.2 4.6 10.2 4.6 10 4.6 9.9 4.7 9.9 4.8 9.9 4.8 9.7 4.7 9.5 4.7 9.4 4.7 9.3 4.6 9.3 5 9.9 5.4 10.5 5.5 10.6 5.6 10.6 5.6 10.5 5.8 10.6 6 10.8 6.1 10.8 6.1 10.7 6 10.6 6 10.6 6.1 10.8 6.5 11.4 7.1 12.2 7.4 12.4 7.4 12.4 7.5 12.3 7.6 12.4 7.8 12.5 7.8 12.5 7.7 12.4 7.6 12.3 7.5 12.2 7.3 12.1 7.6 12.6 8 13.2 8 13.4 7.9 13.2 7.8 12.9 7.7 12.8 7.8 12.7 7.7 12.6 7.5 12.4 7.3 12.1 7.1 12 7 11.9 7.3 12.5 7.8 13.2 7.9 13.4 7.9 13.3 7.8 13 7.8 12.9 7.9 13 7.8 12.9 7.6 12.6 7.4 12.4 7.2 12.1 6.9 11.9 7.1 12.3 7.5 13 7.6 13 7.4 12.6 7.3 12.2 7.2 12.1 7.3 12 7.2 11.8 7.1 11.6 7 11.4 6.9 11.2 6.8 11.2 7.2 11.8 7.6 12.5 7.7 12.6 7.6 12.4 7.5 12.1 7.5 12 7.6 12 7.6 11.9 7.6 11.8 7.5 11.5 7.3 11.3 7.2 11.2 7.4 11.6 8 12.2 8.2 12.2 8 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 time8 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Y[t] = + 4.74758616822106 + 0.191586205017679X[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)4.747586168221060.44923510.568200
X0.1915862050176790.044264.32862.2e-051.1e-05


Multiple Linear Regression - Regression Statistics
Multiple R0.270150291019032
R-squared0.0729811797376678
Adjusted R-squared0.069086142677742
F-TEST (value)18.7369667129839
F-TEST (DF numerator)1
F-TEST (DF denominator)238
p-value2.21094861694304e-05
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation1.17651453917370
Sum Squared Residuals329.436377691129


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
14.66.98914476692795-2.38914476692795
24.56.9316689054226-2.43166890542260
34.46.89335166441906-2.49335166441906
44.46.8741930439173-2.47419304391730
54.36.81671718241199-2.51671718241199
64.16.74008270040492-2.64008270040492
73.96.68260683889962-2.78260683889962
83.76.62513097739431-2.92513097739431
93.66.60597235689255-3.00597235689255
103.96.72092407990315-2.82092407990315
114.26.83587580291376-2.63587580291376
124.26.81671718241199-2.61671718241199
134.16.77839994140846-2.67839994140846
144.16.74008270040492-2.64008270040492
154.16.72092407990315-2.62092407990315
164.16.70176545940139-2.60176545940139
174.16.66344821839785-2.56344821839785
1846.60597235689255-2.60597235689255
193.96.54849649538724-2.64849649538724
203.86.5101792543837-2.71017925438371
213.86.49102063388194-2.69102063388194
2246.58681373639078-2.58681373639078
234.46.70176545940139-2.30176545940139
244.66.70176545940139-2.10176545940139
254.66.66344821839785-2.06344821839785
264.66.64428959789608-2.04428959789608
274.76.64428959789608-1.94428959789608
284.86.64428959789608-1.84428959789608
294.86.60597235689255-1.80597235689255
304.76.56765511588901-1.86765511588901
314.76.54849649538724-1.84849649538724
324.76.52933787488547-1.82933787488547
334.66.52933787488547-1.92933787488548
3456.64428959789608-1.64428959789608
355.46.75924132090669-1.35924132090669
365.56.77839994140846-1.27839994140846
375.66.77839994140846-1.17839994140846
385.66.75924132090669-1.15924132090669
395.86.77839994140846-0.978399941408458
4066.81671718241199-0.816717182411993
416.16.81671718241199-0.716717182411994
426.16.79755856191023-0.697558561910226
4366.77839994140846-0.778399941408457
4466.77839994140846-0.778399941408457
456.16.81671718241199-0.716717182411994
466.56.9316689054226-0.431668905422601
477.17.084937869436740.0150621305632556
487.47.123255110440280.276744889559720
497.47.123255110440280.276744889559720
507.57.104096489938510.395903510061488
517.67.123255110440280.47674488955972
527.87.142413730942050.657586269057952
537.87.142413730942050.657586269057952
547.77.123255110440280.57674488955972
557.67.104096489938510.495903510061488
567.57.084937869436740.415062130563256
577.37.065779248934980.234220751065024
587.67.161572351443820.438427648556184
5987.276524074454420.723475925545577
6087.314841315457960.685158684542041
617.97.276524074454420.623475925545577
627.87.219048212949120.58095178705088
637.77.199889592447350.500110407552648
647.87.180730971945580.619269028054416
657.77.161572351443820.538427648556185
667.57.123255110440280.37674488955972
677.37.065779248934980.234220751065024
687.17.046620628433210.0533793715667914
6977.02746200793144-0.0274620079314404
707.37.142413730942050.157586269057952
717.87.276524074454420.523475925545577
727.97.314841315457960.585158684542041
737.97.29568269495620.604317305043809
747.87.238206833450890.561793166549112
757.87.219048212949120.58095178705088
767.97.238206833450890.661793166549113
777.87.219048212949120.58095178705088
787.67.161572351443820.438427648556184
797.47.123255110440280.276744889559720
807.27.065779248934980.134220751065024
816.97.02746200793144-0.12746200793144
827.17.10409648993851-0.00409648993851244
837.57.238206833450890.261793166549113
847.67.238206833450890.361793166549112
857.47.161572351443820.238427648556185
867.37.084937869436740.215062130563256
877.27.065779248934980.134220751065024
887.37.046620628433210.253379371566792
897.27.008303387429670.191696612570328
907.16.969986146426140.130013853573863
9176.93166890542260.0683310945773992
926.96.893351664419060.00664833558093553
936.86.89335166441906-0.093351664419065
947.27.008303387429670.191696612570328
957.67.142413730942050.457586269057952
967.77.161572351443820.538427648556185
977.67.123255110440280.47674488955972
987.57.065779248934980.434220751065024
997.57.046620628433210.453379371566792
1007.67.046620628433210.553379371566791
1017.67.027462007931440.572537992068559
1027.67.008303387429670.591696612570327
1037.56.950827525924370.549172474075631
1047.36.912510284920830.387489715079167
1057.26.893351664419060.306648335580935
1067.46.969986146426140.430013853573864
10787.084937869436740.915062130563256
1088.27.084937869436741.11506213056326
10986.98914476692791.01085523307210
1107.76.893351664419060.806648335580935
1117.76.855034423415530.844965576584471
1127.86.835875802913760.964124197086239
1137.86.816717182411990.983282817588007
1147.76.759241320906690.94075867909331
1157.56.701765459401390.798234540598614
1167.36.663448218397850.63655178160215
1177.16.644289597896080.455710402103917
1187.16.720924079903150.379075920096846
1197.26.797558561910230.402441438089775
1206.86.740082700404920.059917299595078
1216.66.68260683889962-0.0826068388996182
1226.46.60597235689255-0.205972356892546
1236.46.54849649538724-0.148496495387242
1246.56.45270339287840.0472966071215969
1256.36.35691029036956-0.0569102903695637
1265.96.29943442886426-0.399434428864259
1275.56.3377516698678-0.837751669867796
1285.26.29943442886426-1.09943442886426
1294.96.28027580836249-1.38027580836249
1305.46.41438615187487-1.01438615187487
1315.86.5101792543837-0.710179254383707
1325.76.47186201338017-0.771862013380171
1335.66.4527033928784-0.852703392878403
1345.56.37606891087133-0.876068910871331
1355.46.29943442886426-0.89943442886426
1365.46.18448270585365-0.784482705853652
1375.46.10784822384658-0.70784822384658
1385.56.06953098284304-0.569530982843045
1395.86.10784822384658-0.307848223846581
1405.76.08868960334481-0.388689603344813
1415.46.03121374183951-0.631213741839509
1425.66.08868960334481-0.488689603344813
1435.86.14616546485012-0.346165464850117
1446.26.22279994685719-0.0227999468571879
1456.86.356910290369560.443089709630436
1466.76.356910290369560.343089709630437
1476.76.433544772376640.266455227623365
1486.46.49102063388194-0.0910206338819384
1496.36.47186201338017-0.171862013380171
1506.36.3952275313731-0.0952275313730994
1516.46.261117187860720.138882812139276
1526.36.222799946857190.0772000531428117
15366.24195856735896-0.241958567358956
1546.36.5101792543837-0.210179254383707
1556.36.54849649538724-0.248496495387243
1566.66.51017925438370.089820745616293
1577.56.414386151874871.08561384812513
1587.86.356910290369561.44308970963044
1597.96.39522753137311.50477246862690
1607.86.471862013380171.32813798661983
1617.66.491020633881941.10897936611806
1627.56.414386151874871.08561384812513
1637.66.318593049366031.28140695063397
1647.56.261117187860721.23888281213928
1657.36.261117187860721.03888281213928
1667.66.491020633881941.10897936611806
1677.56.548496495387240.951503504612757
1687.66.548496495387241.05150350461276
1697.96.491020633881941.40897936611806
1707.96.471862013380171.42813798661983
1718.16.529337874885471.57066212511452
1728.26.644289597896081.55571040210392
17386.625130977394311.37486902260569
1747.56.529337874885480.970662125114525
1756.86.33775166986780.462248330132204
1766.56.28027580836250.219724191637508
1776.66.376068910871330.223931089128668
1787.66.740082700404920.859917299595078
17986.87419304391731.12580695608270
1808.16.835875802913761.26412419708624
1817.76.663448218397851.03655178160215
1827.56.51017925438370.989820745616293
1837.66.51017925438371.08982074561629
1847.86.567655115889011.23234488411099
1857.86.586813736390781.21318626360922
1867.86.567655115889011.23234488411099
1877.56.491020633881941.00897936611806
1887.56.45270339287841.04729660712160
1897.16.471862013380170.628137986619829
1907.56.682606838899620.817393161100382
1917.56.720924079903150.779075920096846
1927.66.701765459401390.898234540598614
1937.76.586813736390781.11318626360922
1947.76.51017925438371.18982074561629
1957.96.529337874885471.37066212511453
1968.16.548496495387241.55150350461276
1978.26.548496495387241.65150350461276
1988.26.51017925438371.68982074561629
1998.26.471862013380171.72813798661983
2007.96.471862013380171.42813798661983
2017.36.471862013380170.828137986619829
2026.96.625130977394310.274869022605686
2036.66.66344821839785-0.0634482183978504
2046.76.625130977394310.0748690226056858
2056.96.529337874885480.370662125114526
20676.471862013380170.528137986619829
2077.16.471862013380170.628137986619829
2087.26.491020633881940.708979366118061
2097.16.491020633881940.608979366118061
2106.96.491020633881940.408979366118062
21176.51017925438370.489820745616293
2126.86.433544772376640.366455227623365
2136.46.33775166986780.0622483301322047
2146.76.356910290369560.343089709630437
2156.66.299434428864260.30056557113574
2166.46.222799946857190.177200053142812
2176.36.261117187860720.0388828121392759
2186.26.26111718786072-0.0611171878607238
2196.56.28027580836250.219724191637508
2206.86.261117187860720.538882812139276
2216.86.203641326355420.59635867364458
2226.46.107848223846580.29215177615342
2236.16.050372362341280.0496276376587228
2245.85.99289650083597-0.192896500835973
2256.16.069530982843040.0304690171569548
2267.26.318593049366030.881406950633973
2277.36.414386151874870.885613848125133
2286.96.33775166986780.562248330132205
2296.16.26111718786072-0.161117187860724
2305.86.18448270585365-0.384482705853652
2316.26.24195856735896-0.0419585673589558
2327.16.33775166986780.762248330132204
2337.76.356910290369561.34308970963044
2347.96.318593049366031.58140695063397
2357.76.222799946857191.47720005314281
2367.46.127006844348351.27299315565165
2377.56.146165464850121.35383453514988
23886.299434428864261.70056557113574
2398.16.376068910871331.72393108912867
24086.356910290369561.64308970963044


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
54.85145898654541e-069.70291797309082e-060.999995148541013
63.48039564654272e-076.96079129308545e-070.999999651960435
71.63848540333619e-073.27697080667239e-070.99999983615146
85.05539358383386e-081.01107871676677e-070.999999949446064
91.23580185254628e-082.47160370509257e-080.999999987641981
101.44159725291968e-092.88319450583936e-090.999999998558403
111.48891686491936e-102.97783372983871e-100.999999999851108
129.55062693232865e-121.91012538646573e-110.99999999999045
136.13352316095586e-131.22670463219117e-120.999999999999387
141.28763543521463e-132.57527087042927e-130.999999999999871
157.29335416051722e-141.45867083210344e-130.999999999999927
167.77525464859269e-141.55505092971854e-130.999999999999922
172.99487828540151e-135.98975657080302e-130.9999999999997
184.74392857637203e-139.48785715274406e-130.999999999999526
193.8174997778556e-137.6349995557112e-130.999999999999618
201.36582774422425e-132.73165548844851e-130.999999999999863
215.36194594198388e-141.07238918839678e-130.999999999999946
222.50258247769499e-145.00516495538998e-140.999999999999975
231.79757569489105e-133.59515138978209e-130.99999999999982
241.05525965944253e-112.11051931888506e-110.999999999989447
252.07651322489073e-104.15302644978146e-100.999999999792349
261.70986161124605e-093.41972322249210e-090.999999998290138
271.49236547277999e-082.98473094555998e-080.999999985076345
281.27057811394214e-072.54115622788427e-070.999999872942189
297.26354182488725e-071.45270836497745e-060.999999273645818
301.96044464260780e-063.92088928521561e-060.999998039555357
314.35294140602958e-068.70588281205917e-060.999995647058594
328.31146432922384e-061.66229286584477e-050.999991688535671
331.14544538081461e-052.29089076162921e-050.999988545546192
344.06874969466253e-058.13749938932506e-050.999959312503053
350.000395504635062850.00079100927012570.999604495364937
360.002523551099647190.005047102199294370.997476448900353
370.0115013934270830.0230027868541660.988498606572917
380.03445038550744590.06890077101489190.965549614492554
390.09524320411390230.1904864082278050.904756795886098
400.2156488681373840.4312977362747680.784351131862616
410.3814256010310580.7628512020621160.618574398968942
420.547808355139320.904383289721360.45219164486068
430.6756356681379740.6487286637240520.324364331862026
440.7746130774977130.4507738450045740.225386922502287
450.8459434636067560.3081130727864880.154056536393244
460.8955384950751720.2089230098496570.104461504924828
470.9237684990669740.1524630018660530.0762315009330263
480.9397696909866440.1204606180267120.0602303090133561
490.945165245606890.1096695087862210.0548347543931104
500.9509254534307670.09814909313846510.0490745465692326
510.9525483762956430.0949032474087130.0474516237043565
520.9538836670274680.09223266594506320.0461163329725316
530.9526374034509120.09472519309817520.0473625965490876
540.9495543048745730.1008913902508530.0504456951254266
550.9451296328392650.1097407343214710.0548703671607353
560.9396674383214030.1206651233571940.060332561678597
570.9317920368560870.1364159262878260.0682079631439132
580.9179592331746120.1640815336507750.0820407668253875
590.900903744472960.1981925110540780.0990962555270391
600.8833909334433250.233218133113350.116609066556675
610.861984854791880.2760302904162390.138015145208120
620.838029593880910.3239408122381790.161970406119089
630.8118249614397560.3763500771204880.188175038560244
640.7868908857882610.4262182284234780.213109114211739
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1660.999999999996526.95937835529344e-123.47968917764672e-12
1670.999999999994141.17205245812212e-115.86026229061058e-12
1680.9999999999905351.89298603359029e-119.46493016795143e-12
1690.9999999999907491.85030565811905e-119.25152829059526e-12
1700.9999999999915141.69711694133020e-118.48558470665102e-12
1710.9999999999933621.32760092590090e-116.63800462950451e-12
1720.9999999999931631.36747152324452e-116.83735761622262e-12
1730.999999999990871.82602060647168e-119.13010303235841e-12
1740.9999999999834213.31584817985632e-111.65792408992816e-11
1750.999999999968516.29820707522728e-113.14910353761364e-11
1760.999999999946451.07100058192745e-105.35500290963724e-11
1770.9999999999181081.63784030308862e-108.18920151544311e-11
1780.9999999998504862.99028926841644e-101.49514463420822e-10
1790.999999999723175.53658412751391e-102.76829206375695e-10
1800.9999999994979081.00418449558308e-095.02092247791541e-10
1810.9999999990657281.86854427407547e-099.34272137037733e-10
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1830.9999999971411365.71772701780412e-092.85886350890206e-09
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1860.9999999885596972.28806060211859e-081.14403030105930e-08
1870.999999979811874.03762594746546e-082.01881297373273e-08
1880.9999999661091526.77816968644544e-083.38908484322272e-08
1890.9999999361714321.27657136463078e-076.38285682315389e-08
1900.9999998821009762.3579804876025e-071.17899024380125e-07
1910.999999791023934.17952139249108e-072.08976069624554e-07
1920.999999619486997.61026020774062e-073.80513010387031e-07
1930.9999993409135451.31817291006464e-066.59086455032322e-07
1940.9999989672137712.06557245749459e-061.03278622874729e-06
1950.999998629991592.74001681838286e-061.37000840919143e-06
1960.99999857584912.84830180016836e-061.42415090008418e-06
1970.9999988238541642.35229167136789e-061.17614583568395e-06
1980.9999992229231941.55415361127086e-067.77076805635428e-07
1990.999999607035767.85928482027645e-073.92964241013822e-07
2000.999999653255416.93489179399218e-073.46744589699609e-07
2010.9999993397092951.32058140896539e-066.60290704482695e-07
2020.9999987753229562.44935408763152e-061.22467704381576e-06
2030.9999986578747062.68425058817684e-061.34212529408842e-06
2040.999998470408323.05918335920213e-061.52959167960106e-06
2050.999997436587195.1268256211709e-062.56341281058545e-06
2060.9999950910239769.81795204794252e-064.90897602397126e-06
2070.9999903765170231.92469659546143e-059.62348297730715e-06
2080.9999811881725783.76236548444568e-051.88118274222284e-05
2090.9999653424994056.93150011899551e-053.46575005949776e-05
2100.9999476040549670.0001047918900655125.23959450327559e-05
2110.999925172027620.0001496559447585957.48279723792975e-05
2120.9999007449961520.0001985100076952969.92550038476478e-05
2130.9998906374975780.0002187250048436160.000109362502421808
2140.999847379400940.0003052411981188770.000152620599059438
2150.9997651311460890.0004697377078226880.000234868853911344
2160.9996087453850220.0007825092299567180.000391254614978359
2170.9995181297609260.0009637404781482550.000481870239074128
2180.999520394679740.0009592106405194180.000479605320259709
2190.9993762137358440.001247572528312340.000623786264156168
2200.9988608643974930.002278271205014690.00113913560250734
2210.9977803161501720.004439367699656320.00221968384982816
2220.995752174189220.008495651621557860.00424782581077893
2230.992169988220030.01566002355994060.0078300117799703
2240.986548764802370.02690247039525890.0134512351976294
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2290.9501130463167740.0997739073664520.049886953683226
2300.9842202376069740.03155952478605170.0157797623930258
2310.99938435978640.001231280427200800.000615640213600401
2320.9999884256463962.31487072079172e-051.15743536039586e-05
2330.9999990408678361.91826432712840e-069.59132163564199e-07
2340.9999857818932462.84362135071819e-051.42181067535909e-05
2350.9997101089168960.0005797821662074120.000289891083103706


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level1380.597402597402597NOK
5% type I error level1480.64069264069264NOK
10% type I error level1560.675324675324675NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/10mxcc1262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/10mxcc1262020392.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/1xbqn1262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/1xbqn1262020392.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/2wx0h1262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/2wx0h1262020392.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/3gnkq1262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/3gnkq1262020392.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/496bw1262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/496bw1262020392.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/53ryy1262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/53ryy1262020392.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/6izev1262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/6izev1262020392.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/7eilp1262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/7eilp1262020392.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/8bo871262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/8bo871262020392.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/93o6p1262020392.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t1262020498oqt61qujoqlm3lm/93o6p1262020392.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No 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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