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Type 'q()' to quit R. > x <- array(list(8.9 + ,426 + ,8.6 + ,8.4 + ,8.4 + ,8.4 + ,8.8 + ,428 + ,8.9 + ,8.6 + ,8.4 + ,8.4 + ,8.3 + ,430 + ,8.8 + ,8.9 + ,8.6 + ,8.4 + ,7.5 + ,424 + ,8.3 + ,8.8 + ,8.9 + ,8.6 + ,7.2 + ,423 + ,7.5 + ,8.3 + ,8.8 + ,8.9 + ,7.4 + ,427 + ,7.2 + ,7.5 + ,8.3 + ,8.8 + ,8.8 + ,441 + ,7.4 + ,7.2 + ,7.5 + ,8.3 + ,9.3 + ,449 + ,8.8 + ,7.4 + ,7.2 + ,7.5 + ,9.3 + ,452 + ,9.3 + ,8.8 + ,7.4 + ,7.2 + ,8.7 + ,462 + ,9.3 + ,9.3 + ,8.8 + ,7.4 + ,8.2 + ,455 + ,8.7 + ,9.3 + ,9.3 + ,8.8 + ,8.3 + ,461 + ,8.2 + ,8.7 + ,9.3 + ,9.3 + ,8.5 + ,461 + ,8.3 + ,8.2 + ,8.7 + ,9.3 + ,8.6 + ,463 + ,8.5 + ,8.3 + ,8.2 + ,8.7 + ,8.5 + ,462 + ,8.6 + ,8.5 + ,8.3 + ,8.2 + ,8.2 + ,456 + ,8.5 + ,8.6 + ,8.5 + ,8.3 + ,8.1 + ,455 + ,8.2 + ,8.5 + ,8.6 + ,8.5 + ,7.9 + ,456 + ,8.1 + ,8.2 + ,8.5 + ,8.6 + ,8.6 + ,472 + ,7.9 + ,8.1 + ,8.2 + ,8.5 + ,8.7 + ,472 + ,8.6 + ,7.9 + ,8.1 + ,8.2 + ,8.7 + ,471 + ,8.7 + ,8.6 + ,7.9 + ,8.1 + ,8.5 + ,465 + ,8.7 + ,8.7 + ,8.6 + ,7.9 + ,8.4 + ,459 + ,8.5 + ,8.7 + ,8.7 + ,8.6 + ,8.5 + ,465 + ,8.4 + ,8.5 + ,8.7 + ,8.7 + ,8.7 + ,468 + ,8.5 + ,8.4 + ,8.5 + ,8.7 + ,8.7 + ,467 + ,8.7 + ,8.5 + ,8.4 + ,8.5 + ,8.6 + ,463 + ,8.7 + ,8.7 + ,8.5 + ,8.4 + ,8.5 + ,460 + ,8.6 + ,8.7 + ,8.7 + ,8.5 + ,8.3 + ,462 + ,8.5 + ,8.6 + ,8.7 + ,8.7 + ,8.00 + ,461 + ,8.3 + ,8.5 + ,8.6 + ,8.7 + ,8.2 + ,476 + ,8.00 + ,8.3 + ,8.5 + ,8.6 + ,8.1 + ,476 + ,8.2 + ,8.00 + ,8.3 + ,8.5 + ,8.1 + ,471 + ,8.1 + ,8.2 + ,8.00 + ,8.3 + ,8.00 + ,453 + ,8.1 + ,8.1 + ,8.2 + ,8.00 + ,7.9 + ,443 + ,8.00 + ,8.1 + ,8.1 + ,8.2 + ,7.9 + ,442 + ,7.9 + ,8.00 + ,8.1 + ,8.1 + ,8.00 + ,444 + ,7.9 + ,7.9 + ,8.00 + ,8.1 + ,8.00 + ,438 + ,8.00 + ,7.9 + ,7.9 + ,8.00 + ,7.9 + ,427 + ,8.00 + ,8.00 + ,7.9 + ,7.9 + ,8.00 + ,424 + ,7.9 + ,8.00 + ,8.00 + ,7.9 + ,7.7 + ,416 + ,8.00 + ,7.9 + ,8.00 + ,8.00 + ,7.2 + ,406 + ,7.7 + ,8.00 + ,7.9 + ,8.00 + ,7.5 + ,431 + ,7.2 + ,7.7 + ,8.00 + ,7.9 + ,7.3 + ,434 + ,7.5 + ,7.2 + ,7.7 + ,8.00 + ,7.00 + ,418 + ,7.3 + ,7.5 + ,7.2 + ,7.7 + ,7.00 + ,412 + ,7.00 + ,7.3 + ,7.5 + ,7.2 + ,7.00 + ,404 + ,7.00 + ,7.00 + ,7.3 + ,7.5 + ,7.2 + ,409 + ,7.00 + ,7.00 + ,7.00 + ,7.3 + ,7.3 + ,412 + ,7.2 + ,7.00 + ,7.00 + ,7.00 + ,7.1 + ,406 + ,7.3 + ,7.2 + ,7.00 + ,7.00 + ,6.8 + ,398 + ,7.1 + ,7.3 + ,7.2 + ,7.00 + ,6.4 + ,397 + ,6.8 + ,7.1 + ,7.3 + ,7.2 + ,6.1 + ,385 + ,6.4 + ,6.8 + ,7.1 + ,7.3 + ,6.5 + ,390 + ,6.1 + ,6.4 + ,6.8 + ,7.1 + ,7.7 + ,413 + ,6.5 + ,6.1 + ,6.4 + ,6.8 + ,7.9 + ,413 + ,7.7 + ,6.5 + ,6.1 + ,6.4 + ,7.5 + ,401 + ,7.9 + ,7.7 + ,6.5 + ,6.1 + ,6.9 + ,397 + ,7.5 + ,7.9 + ,7.7 + ,6.5 + ,6.6 + ,397 + ,6.9 + ,7.5 + ,7.9 + ,7.7 + ,6.9 + ,409 + ,6.6 + ,6.9 + ,7.5 + ,7.9 + ,7.7 + ,419 + ,6.9 + ,6.6 + ,6.9 + ,7.5 + ,8.00 + ,424 + ,7.7 + ,6.9 + ,6.6 + ,6.9 + ,8.00 + ,428 + ,8.00 + ,7.7 + ,6.9 + ,6.6 + ,7.7 + ,430 + ,8.00 + ,8.00 + ,7.7 + ,6.9 + ,7.3 + ,424 + ,7.7 + ,8.00 + ,8.00 + ,7.7 + ,7.4 + ,433 + ,7.3 + ,7.7 + ,8.00 + ,8.00 + ,8.1 + ,456 + ,7.4 + ,7.3 + ,7.7 + ,8.00 + ,8.3 + ,459 + ,8.1 + ,7.4 + ,7.3 + ,7.7 + ,8.2 + ,446 + ,8.3 + ,8.1 + ,7.4 + ,7.3) + ,dim=c(6 + ,69) + ,dimnames=list(c('wgb' + ,'nwwz' + ,'Y1' + ,'Y2' + ,'Y3' + ,'Y4') + ,1:69)) > y <- array(NA,dim=c(6,69),dimnames=list(c('wgb','nwwz','Y1','Y2','Y3','Y4'),1:69)) > 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 wgb nwwz Y1 Y2 Y3 Y4 M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 t 1 8.9 426 8.6 8.4 8.4 8.4 1 0 0 0 0 0 0 0 0 0 0 1 2 8.8 428 8.9 8.6 8.4 8.4 0 1 0 0 0 0 0 0 0 0 0 2 3 8.3 430 8.8 8.9 8.6 8.4 0 0 1 0 0 0 0 0 0 0 0 3 4 7.5 424 8.3 8.8 8.9 8.6 0 0 0 1 0 0 0 0 0 0 0 4 5 7.2 423 7.5 8.3 8.8 8.9 0 0 0 0 1 0 0 0 0 0 0 5 6 7.4 427 7.2 7.5 8.3 8.8 0 0 0 0 0 1 0 0 0 0 0 6 7 8.8 441 7.4 7.2 7.5 8.3 0 0 0 0 0 0 1 0 0 0 0 7 8 9.3 449 8.8 7.4 7.2 7.5 0 0 0 0 0 0 0 1 0 0 0 8 9 9.3 452 9.3 8.8 7.4 7.2 0 0 0 0 0 0 0 0 1 0 0 9 10 8.7 462 9.3 9.3 8.8 7.4 0 0 0 0 0 0 0 0 0 1 0 10 11 8.2 455 8.7 9.3 9.3 8.8 0 0 0 0 0 0 0 0 0 0 1 11 12 8.3 461 8.2 8.7 9.3 9.3 0 0 0 0 0 0 0 0 0 0 0 12 13 8.5 461 8.3 8.2 8.7 9.3 1 0 0 0 0 0 0 0 0 0 0 13 14 8.6 463 8.5 8.3 8.2 8.7 0 1 0 0 0 0 0 0 0 0 0 14 15 8.5 462 8.6 8.5 8.3 8.2 0 0 1 0 0 0 0 0 0 0 0 15 16 8.2 456 8.5 8.6 8.5 8.3 0 0 0 1 0 0 0 0 0 0 0 16 17 8.1 455 8.2 8.5 8.6 8.5 0 0 0 0 1 0 0 0 0 0 0 17 18 7.9 456 8.1 8.2 8.5 8.6 0 0 0 0 0 1 0 0 0 0 0 18 19 8.6 472 7.9 8.1 8.2 8.5 0 0 0 0 0 0 1 0 0 0 0 19 20 8.7 472 8.6 7.9 8.1 8.2 0 0 0 0 0 0 0 1 0 0 0 20 21 8.7 471 8.7 8.6 7.9 8.1 0 0 0 0 0 0 0 0 1 0 0 21 22 8.5 465 8.7 8.7 8.6 7.9 0 0 0 0 0 0 0 0 0 1 0 22 23 8.4 459 8.5 8.7 8.7 8.6 0 0 0 0 0 0 0 0 0 0 1 23 24 8.5 465 8.4 8.5 8.7 8.7 0 0 0 0 0 0 0 0 0 0 0 24 25 8.7 468 8.5 8.4 8.5 8.7 1 0 0 0 0 0 0 0 0 0 0 25 26 8.7 467 8.7 8.5 8.4 8.5 0 1 0 0 0 0 0 0 0 0 0 26 27 8.6 463 8.7 8.7 8.5 8.4 0 0 1 0 0 0 0 0 0 0 0 27 28 8.5 460 8.6 8.7 8.7 8.5 0 0 0 1 0 0 0 0 0 0 0 28 29 8.3 462 8.5 8.6 8.7 8.7 0 0 0 0 1 0 0 0 0 0 0 29 30 8.0 461 8.3 8.5 8.6 8.7 0 0 0 0 0 1 0 0 0 0 0 30 31 8.2 476 8.0 8.3 8.5 8.6 0 0 0 0 0 0 1 0 0 0 0 31 32 8.1 476 8.2 8.0 8.3 8.5 0 0 0 0 0 0 0 1 0 0 0 32 33 8.1 471 8.1 8.2 8.0 8.3 0 0 0 0 0 0 0 0 1 0 0 33 34 8.0 453 8.1 8.1 8.2 8.0 0 0 0 0 0 0 0 0 0 1 0 34 35 7.9 443 8.0 8.1 8.1 8.2 0 0 0 0 0 0 0 0 0 0 1 35 36 7.9 442 7.9 8.0 8.1 8.1 0 0 0 0 0 0 0 0 0 0 0 36 37 8.0 444 7.9 7.9 8.0 8.1 1 0 0 0 0 0 0 0 0 0 0 37 38 8.0 438 8.0 7.9 7.9 8.0 0 1 0 0 0 0 0 0 0 0 0 38 39 7.9 427 8.0 8.0 7.9 7.9 0 0 1 0 0 0 0 0 0 0 0 39 40 8.0 424 7.9 8.0 8.0 7.9 0 0 0 1 0 0 0 0 0 0 0 40 41 7.7 416 8.0 7.9 8.0 8.0 0 0 0 0 1 0 0 0 0 0 0 41 42 7.2 406 7.7 8.0 7.9 8.0 0 0 0 0 0 1 0 0 0 0 0 42 43 7.5 431 7.2 7.7 8.0 7.9 0 0 0 0 0 0 1 0 0 0 0 43 44 7.3 434 7.5 7.2 7.7 8.0 0 0 0 0 0 0 0 1 0 0 0 44 45 7.0 418 7.3 7.5 7.2 7.7 0 0 0 0 0 0 0 0 1 0 0 45 46 7.0 412 7.0 7.3 7.5 7.2 0 0 0 0 0 0 0 0 0 1 0 46 47 7.0 404 7.0 7.0 7.3 7.5 0 0 0 0 0 0 0 0 0 0 1 47 48 7.2 409 7.0 7.0 7.0 7.3 0 0 0 0 0 0 0 0 0 0 0 48 49 7.3 412 7.2 7.0 7.0 7.0 1 0 0 0 0 0 0 0 0 0 0 49 50 7.1 406 7.3 7.2 7.0 7.0 0 1 0 0 0 0 0 0 0 0 0 50 51 6.8 398 7.1 7.3 7.2 7.0 0 0 1 0 0 0 0 0 0 0 0 51 52 6.4 397 6.8 7.1 7.3 7.2 0 0 0 1 0 0 0 0 0 0 0 52 53 6.1 385 6.4 6.8 7.1 7.3 0 0 0 0 1 0 0 0 0 0 0 53 54 6.5 390 6.1 6.4 6.8 7.1 0 0 0 0 0 1 0 0 0 0 0 54 55 7.7 413 6.5 6.1 6.4 6.8 0 0 0 0 0 0 1 0 0 0 0 55 56 7.9 413 7.7 6.5 6.1 6.4 0 0 0 0 0 0 0 1 0 0 0 56 57 7.5 401 7.9 7.7 6.5 6.1 0 0 0 0 0 0 0 0 1 0 0 57 58 6.9 397 7.5 7.9 7.7 6.5 0 0 0 0 0 0 0 0 0 1 0 58 59 6.6 397 6.9 7.5 7.9 7.7 0 0 0 0 0 0 0 0 0 0 1 59 60 6.9 409 6.6 6.9 7.5 7.9 0 0 0 0 0 0 0 0 0 0 0 60 61 7.7 419 6.9 6.6 6.9 7.5 1 0 0 0 0 0 0 0 0 0 0 61 62 8.0 424 7.7 6.9 6.6 6.9 0 1 0 0 0 0 0 0 0 0 0 62 63 8.0 428 8.0 7.7 6.9 6.6 0 0 1 0 0 0 0 0 0 0 0 63 64 7.7 430 8.0 8.0 7.7 6.9 0 0 0 1 0 0 0 0 0 0 0 64 65 7.3 424 7.7 8.0 8.0 7.7 0 0 0 0 1 0 0 0 0 0 0 65 66 7.4 433 7.3 7.7 8.0 8.0 0 0 0 0 0 1 0 0 0 0 0 66 67 8.1 456 7.4 7.3 7.7 8.0 0 0 0 0 0 0 1 0 0 0 0 67 68 8.3 459 8.1 7.4 7.3 7.7 0 0 0 0 0 0 0 1 0 0 0 68 69 8.2 446 8.3 8.1 7.4 7.3 0 0 0 0 0 0 0 0 1 0 0 69 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) nwwz Y1 Y2 Y3 Y4 0.451954 0.005873 1.388090 -0.788797 -0.114052 0.167309 M1 M2 M3 M4 M5 M6 -0.052024 -0.280147 -0.197064 -0.202127 -0.213586 -0.158147 M7 M8 M9 M10 M11 t 0.337283 -0.617033 -0.235285 -0.148948 -0.118844 -0.003449 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -0.304781 -0.106323 -0.001841 0.080600 0.333305 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.451954 0.493516 0.916 0.36409 nwwz 0.005873 0.002115 2.777 0.00766 ** Y1 1.388090 0.144931 9.578 5.50e-13 *** Y2 -0.788797 0.244577 -3.225 0.00220 ** Y3 -0.114052 0.242952 -0.469 0.64075 Y4 0.167309 0.139028 1.203 0.23437 M1 -0.052024 0.103645 -0.502 0.61787 M2 -0.280147 0.110452 -2.536 0.01430 * M3 -0.197064 0.110807 -1.778 0.08129 . M4 -0.202127 0.105266 -1.920 0.06044 . M5 -0.213586 0.101665 -2.101 0.04061 * M6 -0.158147 0.099475 -1.590 0.11806 M7 0.337283 0.108874 3.098 0.00317 ** M8 -0.617033 0.131268 -4.701 2.01e-05 *** M9 -0.235285 0.154413 -1.524 0.13375 M10 -0.148948 0.135101 -1.102 0.27542 M11 -0.118844 0.106089 -1.120 0.26786 t -0.003449 0.001895 -1.820 0.07457 . --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 0.1627 on 51 degrees of freedom Multiple R-squared: 0.9598, Adjusted R-squared: 0.9464 F-statistic: 71.67 on 17 and 51 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,] 0.20062495 0.4012499 0.7993751 [2,] 0.11591872 0.2318374 0.8840813 [3,] 0.16711351 0.3342270 0.8328865 [4,] 0.24869819 0.4973964 0.7513018 [5,] 0.15458373 0.3091675 0.8454163 [6,] 0.09396957 0.1879391 0.9060304 [7,] 0.13082894 0.2616579 0.8691711 [8,] 0.26812344 0.5362469 0.7318766 [9,] 0.22828524 0.4565705 0.7717148 [10,] 0.22092722 0.4418544 0.7790728 [11,] 0.50127844 0.9974431 0.4987216 [12,] 0.42266389 0.8453278 0.5773361 [13,] 0.36109811 0.7221962 0.6389019 [14,] 0.35750250 0.7150050 0.6424975 [15,] 0.35630838 0.7126168 0.6436916 [16,] 0.30941624 0.6188325 0.6905838 [17,] 0.23483197 0.4696639 0.7651680 [18,] 0.19731871 0.3946374 0.8026813 [19,] 0.15402501 0.3080500 0.8459750 [20,] 0.72741948 0.5451610 0.2725805 [21,] 0.82420722 0.3515856 0.1757928 [22,] 0.74621670 0.5075666 0.2537833 [23,] 0.83577591 0.3284482 0.1642241 [24,] 0.78540643 0.4291871 0.2145936 [25,] 0.72041692 0.5591662 0.2795831 [26,] 0.69951384 0.6009723 0.3004862 [27,] 0.59434923 0.8113015 0.4056508 [28,] 0.67351093 0.6529781 0.3264891 > postscript(file="/var/www/html/rcomp/tmp/1lbsd1258626342.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/24z4a1258626342.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/3r5gs1258626342.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/4cdqy1258626342.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/5zigd1258626342.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 = 69 Frequency = 1 1 2 3 4 5 6 0.24276186 0.10392139 -0.08919991 -0.22953238 0.14572402 0.01533802 7 8 9 10 11 12 0.31929766 0.04414655 0.13150334 -0.08949994 0.08059967 0.16708230 13 14 15 16 17 18 -0.17908328 -0.01463493 -0.07438678 -0.10687036 0.12940097 -0.25442798 19 20 21 22 23 24 0.04088445 0.00801419 0.04285684 -0.01261698 0.06786957 -0.01844148 25 26 27 28 29 30 -0.02108511 0.03967813 0.06942922 0.14044828 -0.02992141 -0.18870591 31 32 33 34 35 36 -0.30478106 0.03264706 -0.02047460 -0.10353224 -0.07752022 -0.11038175 37 38 39 40 41 42 -0.05693853 0.07638596 0.05696010 0.33330486 -0.13922629 -0.14858934 43 44 45 46 47 48 -0.00184125 -0.12346634 -0.20038061 0.12850553 -0.16081180 -0.10632288 49 50 51 52 53 54 -0.19589255 -0.11013443 -0.06348037 -0.21248390 -0.14804943 0.27075210 55 56 57 58 59 60 0.05639967 -0.10331730 -0.04639377 0.07714363 0.08986277 0.06806380 61 62 63 64 65 66 0.21023762 -0.09521612 0.10067774 0.07513350 0.04207214 0.30563311 67 68 69 -0.10995948 0.14197584 0.09288881 > postscript(file="/var/www/html/rcomp/tmp/6bvv01258626342.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 = 69 Frequency = 1 lag(myerror, k = 1) myerror 0 0.24276186 NA 1 0.10392139 0.24276186 2 -0.08919991 0.10392139 3 -0.22953238 -0.08919991 4 0.14572402 -0.22953238 5 0.01533802 0.14572402 6 0.31929766 0.01533802 7 0.04414655 0.31929766 8 0.13150334 0.04414655 9 -0.08949994 0.13150334 10 0.08059967 -0.08949994 11 0.16708230 0.08059967 12 -0.17908328 0.16708230 13 -0.01463493 -0.17908328 14 -0.07438678 -0.01463493 15 -0.10687036 -0.07438678 16 0.12940097 -0.10687036 17 -0.25442798 0.12940097 18 0.04088445 -0.25442798 19 0.00801419 0.04088445 20 0.04285684 0.00801419 21 -0.01261698 0.04285684 22 0.06786957 -0.01261698 23 -0.01844148 0.06786957 24 -0.02108511 -0.01844148 25 0.03967813 -0.02108511 26 0.06942922 0.03967813 27 0.14044828 0.06942922 28 -0.02992141 0.14044828 29 -0.18870591 -0.02992141 30 -0.30478106 -0.18870591 31 0.03264706 -0.30478106 32 -0.02047460 0.03264706 33 -0.10353224 -0.02047460 34 -0.07752022 -0.10353224 35 -0.11038175 -0.07752022 36 -0.05693853 -0.11038175 37 0.07638596 -0.05693853 38 0.05696010 0.07638596 39 0.33330486 0.05696010 40 -0.13922629 0.33330486 41 -0.14858934 -0.13922629 42 -0.00184125 -0.14858934 43 -0.12346634 -0.00184125 44 -0.20038061 -0.12346634 45 0.12850553 -0.20038061 46 -0.16081180 0.12850553 47 -0.10632288 -0.16081180 48 -0.19589255 -0.10632288 49 -0.11013443 -0.19589255 50 -0.06348037 -0.11013443 51 -0.21248390 -0.06348037 52 -0.14804943 -0.21248390 53 0.27075210 -0.14804943 54 0.05639967 0.27075210 55 -0.10331730 0.05639967 56 -0.04639377 -0.10331730 57 0.07714363 -0.04639377 58 0.08986277 0.07714363 59 0.06806380 0.08986277 60 0.21023762 0.06806380 61 -0.09521612 0.21023762 62 0.10067774 -0.09521612 63 0.07513350 0.10067774 64 0.04207214 0.07513350 65 0.30563311 0.04207214 66 -0.10995948 0.30563311 67 0.14197584 -0.10995948 68 0.09288881 0.14197584 69 NA 0.09288881 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] 0.10392139 0.24276186 [2,] -0.08919991 0.10392139 [3,] -0.22953238 -0.08919991 [4,] 0.14572402 -0.22953238 [5,] 0.01533802 0.14572402 [6,] 0.31929766 0.01533802 [7,] 0.04414655 0.31929766 [8,] 0.13150334 0.04414655 [9,] -0.08949994 0.13150334 [10,] 0.08059967 -0.08949994 [11,] 0.16708230 0.08059967 [12,] -0.17908328 0.16708230 [13,] -0.01463493 -0.17908328 [14,] -0.07438678 -0.01463493 [15,] -0.10687036 -0.07438678 [16,] 0.12940097 -0.10687036 [17,] -0.25442798 0.12940097 [18,] 0.04088445 -0.25442798 [19,] 0.00801419 0.04088445 [20,] 0.04285684 0.00801419 [21,] -0.01261698 0.04285684 [22,] 0.06786957 -0.01261698 [23,] -0.01844148 0.06786957 [24,] -0.02108511 -0.01844148 [25,] 0.03967813 -0.02108511 [26,] 0.06942922 0.03967813 [27,] 0.14044828 0.06942922 [28,] -0.02992141 0.14044828 [29,] -0.18870591 -0.02992141 [30,] -0.30478106 -0.18870591 [31,] 0.03264706 -0.30478106 [32,] -0.02047460 0.03264706 [33,] -0.10353224 -0.02047460 [34,] -0.07752022 -0.10353224 [35,] -0.11038175 -0.07752022 [36,] -0.05693853 -0.11038175 [37,] 0.07638596 -0.05693853 [38,] 0.05696010 0.07638596 [39,] 0.33330486 0.05696010 [40,] -0.13922629 0.33330486 [41,] -0.14858934 -0.13922629 [42,] -0.00184125 -0.14858934 [43,] -0.12346634 -0.00184125 [44,] -0.20038061 -0.12346634 [45,] 0.12850553 -0.20038061 [46,] -0.16081180 0.12850553 [47,] -0.10632288 -0.16081180 [48,] -0.19589255 -0.10632288 [49,] -0.11013443 -0.19589255 [50,] -0.06348037 -0.11013443 [51,] -0.21248390 -0.06348037 [52,] -0.14804943 -0.21248390 [53,] 0.27075210 -0.14804943 [54,] 0.05639967 0.27075210 [55,] -0.10331730 0.05639967 [56,] -0.04639377 -0.10331730 [57,] 0.07714363 -0.04639377 [58,] 0.08986277 0.07714363 [59,] 0.06806380 0.08986277 [60,] 0.21023762 0.06806380 [61,] -0.09521612 0.21023762 [62,] 0.10067774 -0.09521612 [63,] 0.07513350 0.10067774 [64,] 0.04207214 0.07513350 [65,] 0.30563311 0.04207214 [66,] -0.10995948 0.30563311 [67,] 0.14197584 -0.10995948 [68,] 0.09288881 0.14197584 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 0.10392139 0.24276186 2 -0.08919991 0.10392139 3 -0.22953238 -0.08919991 4 0.14572402 -0.22953238 5 0.01533802 0.14572402 6 0.31929766 0.01533802 7 0.04414655 0.31929766 8 0.13150334 0.04414655 9 -0.08949994 0.13150334 10 0.08059967 -0.08949994 11 0.16708230 0.08059967 12 -0.17908328 0.16708230 13 -0.01463493 -0.17908328 14 -0.07438678 -0.01463493 15 -0.10687036 -0.07438678 16 0.12940097 -0.10687036 17 -0.25442798 0.12940097 18 0.04088445 -0.25442798 19 0.00801419 0.04088445 20 0.04285684 0.00801419 21 -0.01261698 0.04285684 22 0.06786957 -0.01261698 23 -0.01844148 0.06786957 24 -0.02108511 -0.01844148 25 0.03967813 -0.02108511 26 0.06942922 0.03967813 27 0.14044828 0.06942922 28 -0.02992141 0.14044828 29 -0.18870591 -0.02992141 30 -0.30478106 -0.18870591 31 0.03264706 -0.30478106 32 -0.02047460 0.03264706 33 -0.10353224 -0.02047460 34 -0.07752022 -0.10353224 35 -0.11038175 -0.07752022 36 -0.05693853 -0.11038175 37 0.07638596 -0.05693853 38 0.05696010 0.07638596 39 0.33330486 0.05696010 40 -0.13922629 0.33330486 41 -0.14858934 -0.13922629 42 -0.00184125 -0.14858934 43 -0.12346634 -0.00184125 44 -0.20038061 -0.12346634 45 0.12850553 -0.20038061 46 -0.16081180 0.12850553 47 -0.10632288 -0.16081180 48 -0.19589255 -0.10632288 49 -0.11013443 -0.19589255 50 -0.06348037 -0.11013443 51 -0.21248390 -0.06348037 52 -0.14804943 -0.21248390 53 0.27075210 -0.14804943 54 0.05639967 0.27075210 55 -0.10331730 0.05639967 56 -0.04639377 -0.10331730 57 0.07714363 -0.04639377 58 0.08986277 0.07714363 59 0.06806380 0.08986277 60 0.21023762 0.06806380 61 -0.09521612 0.21023762 62 0.10067774 -0.09521612 63 0.07513350 0.10067774 64 0.04207214 0.07513350 65 0.30563311 0.04207214 66 -0.10995948 0.30563311 67 0.14197584 -0.10995948 68 0.09288881 0.14197584 > 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/7x6911258626342.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/8sp0j1258626342.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/9o79i1258626342.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/rcomp/tmp/10mzfu1258626342.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/1108fd1258626342.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/1244et1258626342.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/13iisf1258626342.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/14rfr11258626342.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/15581q1258626342.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/16gq041258626342.tab") + } > > system("convert tmp/1lbsd1258626342.ps tmp/1lbsd1258626342.png") > system("convert tmp/24z4a1258626342.ps tmp/24z4a1258626342.png") > system("convert tmp/3r5gs1258626342.ps tmp/3r5gs1258626342.png") > system("convert tmp/4cdqy1258626342.ps tmp/4cdqy1258626342.png") > system("convert tmp/5zigd1258626342.ps tmp/5zigd1258626342.png") > system("convert tmp/6bvv01258626342.ps tmp/6bvv01258626342.png") > system("convert tmp/7x6911258626342.ps tmp/7x6911258626342.png") > system("convert tmp/8sp0j1258626342.ps tmp/8sp0j1258626342.png") > system("convert tmp/9o79i1258626342.ps tmp/9o79i1258626342.png") > system("convert tmp/10mzfu1258626342.ps tmp/10mzfu1258626342.png") > > > proc.time() user system elapsed 2.511 1.542 4.238