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Type 'q()' to quit R. > x <- array(list(33,62,39,64,45,62,46,64,45,64,45,69,49,69,50,65,54,56,59,58,58,53,56,62,48,55,50,60,52,59,53,58,55,53,43,57,42,57,38,53,41,54,41,53,39,57,34,57,27,55,15,49,14,50,31,49,41,54,43,58,46,58,42,52,45,56,45,52,40,59,35,53,36,52,38,53,39,51,32,50,24,56,21,52,12,46,29,48,36,46,31,48,28,48,30,49,38,53,27,48,40,51,40,48,44,50,47,55,45,52,42,53,38,52,46,55,37,53,41,53,40,56,33,54,34,52,36,55,36,54,38,59,42,56,35,56,25,51,24,53,22,52,27,51,17,46,30,49,30,46,34,55,37,57,36,53,33,52,33,53,33,50,37,54,40,53,35,50,37,51,43,52,42,47,33,51,39,49,40,53,37,52,44,45,42,53,43,51,40,48,30,48,30,48,31,48,18,40,24,43,22,40,26,39,28,39,23,36,17,41,12,39,9,40,19,39,21,46,18,40,18,37,15,37,24,44,18,41,19,40,30,36,33,38,35,43,36,42,47,45,46,46),dim=c(2,121),dimnames=list(c('Alg_E','Spaar'),1:121)) > y <- array(NA,dim=c(2,121),dimnames=list(c('Alg_E','Spaar'),1:121)) > 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 = '2' > #'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 Spaar Alg_E M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 1 62 33 1 0 0 0 0 0 0 0 0 0 0 2 64 39 0 1 0 0 0 0 0 0 0 0 0 3 62 45 0 0 1 0 0 0 0 0 0 0 0 4 64 46 0 0 0 1 0 0 0 0 0 0 0 5 64 45 0 0 0 0 1 0 0 0 0 0 0 6 69 45 0 0 0 0 0 1 0 0 0 0 0 7 69 49 0 0 0 0 0 0 1 0 0 0 0 8 65 50 0 0 0 0 0 0 0 1 0 0 0 9 56 54 0 0 0 0 0 0 0 0 1 0 0 10 58 59 0 0 0 0 0 0 0 0 0 1 0 11 53 58 0 0 0 0 0 0 0 0 0 0 1 12 62 56 0 0 0 0 0 0 0 0 0 0 0 13 55 48 1 0 0 0 0 0 0 0 0 0 0 14 60 50 0 1 0 0 0 0 0 0 0 0 0 15 59 52 0 0 1 0 0 0 0 0 0 0 0 16 58 53 0 0 0 1 0 0 0 0 0 0 0 17 53 55 0 0 0 0 1 0 0 0 0 0 0 18 57 43 0 0 0 0 0 1 0 0 0 0 0 19 57 42 0 0 0 0 0 0 1 0 0 0 0 20 53 38 0 0 0 0 0 0 0 1 0 0 0 21 54 41 0 0 0 0 0 0 0 0 1 0 0 22 53 41 0 0 0 0 0 0 0 0 0 1 0 23 57 39 0 0 0 0 0 0 0 0 0 0 1 24 57 34 0 0 0 0 0 0 0 0 0 0 0 25 55 27 1 0 0 0 0 0 0 0 0 0 0 26 49 15 0 1 0 0 0 0 0 0 0 0 0 27 50 14 0 0 1 0 0 0 0 0 0 0 0 28 49 31 0 0 0 1 0 0 0 0 0 0 0 29 54 41 0 0 0 0 1 0 0 0 0 0 0 30 58 43 0 0 0 0 0 1 0 0 0 0 0 31 58 46 0 0 0 0 0 0 1 0 0 0 0 32 52 42 0 0 0 0 0 0 0 1 0 0 0 33 56 45 0 0 0 0 0 0 0 0 1 0 0 34 52 45 0 0 0 0 0 0 0 0 0 1 0 35 59 40 0 0 0 0 0 0 0 0 0 0 1 36 53 35 0 0 0 0 0 0 0 0 0 0 0 37 52 36 1 0 0 0 0 0 0 0 0 0 0 38 53 38 0 1 0 0 0 0 0 0 0 0 0 39 51 39 0 0 1 0 0 0 0 0 0 0 0 40 50 32 0 0 0 1 0 0 0 0 0 0 0 41 56 24 0 0 0 0 1 0 0 0 0 0 0 42 52 21 0 0 0 0 0 1 0 0 0 0 0 43 46 12 0 0 0 0 0 0 1 0 0 0 0 44 48 29 0 0 0 0 0 0 0 1 0 0 0 45 46 36 0 0 0 0 0 0 0 0 1 0 0 46 48 31 0 0 0 0 0 0 0 0 0 1 0 47 48 28 0 0 0 0 0 0 0 0 0 0 1 48 49 30 0 0 0 0 0 0 0 0 0 0 0 49 53 38 1 0 0 0 0 0 0 0 0 0 0 50 48 27 0 1 0 0 0 0 0 0 0 0 0 51 51 40 0 0 1 0 0 0 0 0 0 0 0 52 48 40 0 0 0 1 0 0 0 0 0 0 0 53 50 44 0 0 0 0 1 0 0 0 0 0 0 54 55 47 0 0 0 0 0 1 0 0 0 0 0 55 52 45 0 0 0 0 0 0 1 0 0 0 0 56 53 42 0 0 0 0 0 0 0 1 0 0 0 57 52 38 0 0 0 0 0 0 0 0 1 0 0 58 55 46 0 0 0 0 0 0 0 0 0 1 0 59 53 37 0 0 0 0 0 0 0 0 0 0 1 60 53 41 0 0 0 0 0 0 0 0 0 0 0 61 56 40 1 0 0 0 0 0 0 0 0 0 0 62 54 33 0 1 0 0 0 0 0 0 0 0 0 63 52 34 0 0 1 0 0 0 0 0 0 0 0 64 55 36 0 0 0 1 0 0 0 0 0 0 0 65 54 36 0 0 0 0 1 0 0 0 0 0 0 66 59 38 0 0 0 0 0 1 0 0 0 0 0 67 56 42 0 0 0 0 0 0 1 0 0 0 0 68 56 35 0 0 0 0 0 0 0 1 0 0 0 69 51 25 0 0 0 0 0 0 0 0 1 0 0 70 53 24 0 0 0 0 0 0 0 0 0 1 0 71 52 22 0 0 0 0 0 0 0 0 0 0 1 72 51 27 0 0 0 0 0 0 0 0 0 0 0 73 46 17 1 0 0 0 0 0 0 0 0 0 0 74 49 30 0 1 0 0 0 0 0 0 0 0 0 75 46 30 0 0 1 0 0 0 0 0 0 0 0 76 55 34 0 0 0 1 0 0 0 0 0 0 0 77 57 37 0 0 0 0 1 0 0 0 0 0 0 78 53 36 0 0 0 0 0 1 0 0 0 0 0 79 52 33 0 0 0 0 0 0 1 0 0 0 0 80 53 33 0 0 0 0 0 0 0 1 0 0 0 81 50 33 0 0 0 0 0 0 0 0 1 0 0 82 54 37 0 0 0 0 0 0 0 0 0 1 0 83 53 40 0 0 0 0 0 0 0 0 0 0 1 84 50 35 0 0 0 0 0 0 0 0 0 0 0 85 51 37 1 0 0 0 0 0 0 0 0 0 0 86 52 43 0 1 0 0 0 0 0 0 0 0 0 87 47 42 0 0 1 0 0 0 0 0 0 0 0 88 51 33 0 0 0 1 0 0 0 0 0 0 0 89 49 39 0 0 0 0 1 0 0 0 0 0 0 90 53 40 0 0 0 0 0 1 0 0 0 0 0 91 52 37 0 0 0 0 0 0 1 0 0 0 0 92 45 44 0 0 0 0 0 0 0 1 0 0 0 93 53 42 0 0 0 0 0 0 0 0 1 0 0 94 51 43 0 0 0 0 0 0 0 0 0 1 0 95 48 40 0 0 0 0 0 0 0 0 0 0 1 96 48 30 0 0 0 0 0 0 0 0 0 0 0 97 48 30 1 0 0 0 0 0 0 0 0 0 0 98 48 31 0 1 0 0 0 0 0 0 0 0 0 99 40 18 0 0 1 0 0 0 0 0 0 0 0 100 43 24 0 0 0 1 0 0 0 0 0 0 0 101 40 22 0 0 0 0 1 0 0 0 0 0 0 102 39 26 0 0 0 0 0 1 0 0 0 0 0 103 39 28 0 0 0 0 0 0 1 0 0 0 0 104 36 23 0 0 0 0 0 0 0 1 0 0 0 105 41 17 0 0 0 0 0 0 0 0 1 0 0 106 39 12 0 0 0 0 0 0 0 0 0 1 0 107 40 9 0 0 0 0 0 0 0 0 0 0 1 108 39 19 0 0 0 0 0 0 0 0 0 0 0 109 46 21 1 0 0 0 0 0 0 0 0 0 0 110 40 18 0 1 0 0 0 0 0 0 0 0 0 111 37 18 0 0 1 0 0 0 0 0 0 0 0 112 37 15 0 0 0 1 0 0 0 0 0 0 0 113 44 24 0 0 0 0 1 0 0 0 0 0 0 114 41 18 0 0 0 0 0 1 0 0 0 0 0 115 40 19 0 0 0 0 0 0 1 0 0 0 0 116 36 30 0 0 0 0 0 0 0 1 0 0 0 117 38 33 0 0 0 0 0 0 0 0 1 0 0 118 43 35 0 0 0 0 0 0 0 0 0 1 0 119 42 36 0 0 0 0 0 0 0 0 0 0 1 120 45 47 0 0 0 0 0 0 0 0 0 0 0 121 46 46 1 0 0 0 0 0 0 0 0 0 0 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) Alg_E M1 M2 M3 M4 35.29086 0.43529 1.76715 2.30586 -0.24237 0.73529 M5 M6 M7 M8 M9 M10 0.83413 2.76941 1.44353 -1.52234 -1.43529 -0.92704 M11 0.01764 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -11.08119 -2.95176 0.04469 2.47411 11.35184 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 35.29086 2.32391 15.186 < 2e-16 *** Alg_E 0.43529 0.04562 9.541 5.16e-16 *** M1 1.76715 2.30985 0.765 0.446 M2 2.30586 2.36714 0.974 0.332 M3 -0.24237 2.36531 -0.102 0.919 M4 0.73529 2.36362 0.311 0.756 M5 0.83413 2.36392 0.353 0.725 M6 2.76941 2.36322 1.172 0.244 M7 1.44353 2.36318 0.611 0.543 M8 -1.52234 2.36381 -0.644 0.521 M9 -1.43529 2.36362 -0.607 0.545 M10 -0.92704 2.36477 -0.392 0.696 M11 0.01764 2.36329 0.007 0.994 --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 5.284 on 108 degrees of freedom Multiple R-squared: 0.473, Adjusted R-squared: 0.4144 F-statistic: 8.077 on 12 and 108 DF, p-value: 1.254e-10 > 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,] 0.02152816 0.04305632 0.97847184 [2,] 0.07536491 0.15072982 0.92463509 [3,] 0.53708096 0.92583808 0.46291904 [4,] 0.84653421 0.30693157 0.15346579 [5,] 0.94163408 0.11673185 0.05836592 [6,] 0.91151848 0.17696305 0.08848152 [7,] 0.88333230 0.23333541 0.11666770 [8,] 0.85036786 0.29926427 0.14963214 [9,] 0.83068606 0.33862788 0.16931394 [10,] 0.79872542 0.40254915 0.20127458 [11,] 0.84618703 0.30762594 0.15381297 [12,] 0.84230379 0.31539243 0.15769621 [13,] 0.84825833 0.30348334 0.15174167 [14,] 0.80344016 0.39311968 0.19655984 [15,] 0.77817588 0.44364825 0.22182412 [16,] 0.75800149 0.48399702 0.24199851 [17,] 0.75035839 0.49928321 0.24964161 [18,] 0.70067602 0.59864796 0.29932398 [19,] 0.64471041 0.71057918 0.35528959 [20,] 0.66091999 0.67816001 0.33908001 [21,] 0.62731058 0.74537884 0.37268942 [22,] 0.60543942 0.78912115 0.39456058 [23,] 0.58679704 0.82640591 0.41320296 [24,] 0.58552078 0.82895843 0.41447922 [25,] 0.54459140 0.91081721 0.45540860 [26,] 0.58909432 0.82181135 0.41090568 [27,] 0.58015281 0.83969438 0.41984719 [28,] 0.59537784 0.80924433 0.40462216 [29,] 0.56966139 0.86067721 0.43033861 [30,] 0.56415019 0.87169962 0.43584981 [31,] 0.50390927 0.99218147 0.49609073 [32,] 0.45286128 0.90572255 0.54713872 [33,] 0.42368892 0.84737785 0.57631108 [34,] 0.38413665 0.76827329 0.61586335 [35,] 0.36766261 0.73532522 0.63233739 [36,] 0.34780902 0.69561805 0.65219098 [37,] 0.36923806 0.73847611 0.63076194 [38,] 0.39221818 0.78443637 0.60778182 [39,] 0.38860125 0.77720250 0.61139875 [40,] 0.40056843 0.80113686 0.59943157 [41,] 0.36107921 0.72215843 0.63892079 [42,] 0.31102942 0.62205884 0.68897058 [43,] 0.26341028 0.52682056 0.73658972 [44,] 0.22240058 0.44480117 0.77759942 [45,] 0.19062844 0.38125688 0.80937156 [46,] 0.16377770 0.32755541 0.83622230 [47,] 0.14510454 0.29020909 0.85489546 [48,] 0.13424490 0.26848980 0.86575510 [49,] 0.11747565 0.23495131 0.88252435 [50,] 0.09797789 0.19595579 0.90202211 [51,] 0.10831665 0.21663331 0.89168335 [52,] 0.09558659 0.19117318 0.90441341 [53,] 0.15270494 0.30540988 0.84729506 [54,] 0.16563501 0.33127001 0.83436499 [55,] 0.21502432 0.43004864 0.78497568 [56,] 0.27162450 0.54324900 0.72837550 [57,] 0.29037605 0.58075210 0.70962395 [58,] 0.28374377 0.56748754 0.71625623 [59,] 0.25917825 0.51835651 0.74082175 [60,] 0.24888828 0.49777656 0.75111172 [61,] 0.26106136 0.52212271 0.73893864 [62,] 0.31917997 0.63835993 0.68082003 [63,] 0.32082022 0.64164044 0.67917978 [64,] 0.32770133 0.65540267 0.67229867 [65,] 0.59799032 0.80401935 0.40200968 [66,] 0.58753403 0.82493193 0.41246597 [67,] 0.63157783 0.73684434 0.36842217 [68,] 0.63440594 0.73118812 0.36559406 [69,] 0.63529781 0.72940438 0.36470219 [70,] 0.59910949 0.80178102 0.40089051 [71,] 0.55368048 0.89263903 0.44631952 [72,] 0.52873467 0.94253066 0.47126533 [73,] 0.55068572 0.89862855 0.44931428 [74,] 0.51200906 0.97598189 0.48799094 [75,] 0.58674730 0.82650541 0.41325270 [76,] 0.71289359 0.57421281 0.28710641 [77,] 0.75764201 0.48471598 0.24235799 [78,] 0.90556076 0.18887848 0.09443924 [79,] 0.94355771 0.11288459 0.05644229 [80,] 0.95230978 0.09538044 0.04769022 [81,] 0.97632393 0.04735214 0.02367607 [82,] 0.96663187 0.06673625 0.03336813 [83,] 0.98404069 0.03191862 0.01595931 [84,] 0.97860089 0.04279823 0.02139911 [85,] 0.98640207 0.02719585 0.01359793 [86,] 0.98690495 0.02619009 0.01309505 [87,] 0.98262754 0.03474491 0.01737246 [88,] 0.96781143 0.06437713 0.03218857 [89,] 0.92744666 0.14510668 0.07255334 [90,] 0.93768918 0.12462165 0.06231082 > postscript(file="/var/www/html/rcomp/tmp/1t1ze1258731936.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/22y1u1258731936.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/3jdfk1258731936.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/4h1lt1258731936.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/57ufa1258731936.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 = 121 Frequency = 1 1 2 3 4 5 6 10.57753302 9.42711028 7.36362141 7.95067868 8.28712354 11.35183722 7 8 9 10 11 12 10.93657740 9.46716330 -1.36103925 -2.04571316 -7.55511401 2.33310179 13 14 15 16 17 18 -2.95176180 0.63896075 1.31661717 -1.09632557 -7.06573967 0.22240986 19 20 21 22 23 24 1.98358165 2.69059915 2.29768292 0.78944061 4.71532608 6.90940085 25 26 27 28 29 30 6.18925094 4.87398198 8.85749736 -0.52002651 0.02826882 1.22240986 31 32 33 34 35 36 1.24243637 -0.05054613 2.55653764 -1.95170467 6.28003976 2.47411453 37 38 39 40 41 42 -0.72832594 -1.13760340 -1.02466066 0.04468717 9.42813628 4.79870892 43 44 45 46 47 48 4.04217128 1.60817604 -3.52588547 0.14230382 0.50347561 0.65054613 49 50 51 52 53 54 -0.59889859 -1.34945387 -1.45994698 -5.43760340 -5.27759014 -3.51873543 55 56 57 58 59 60 -4.32227731 0.94945387 1.60354189 0.61300901 1.58589873 -0.13760340 61 62 63 64 65 66 1.53052877 2.03882821 2.15177094 3.30354189 2.20470042 4.39884146 67 68 69 70 71 72 0.98358165 6.99645811 6.26226406 8.18930807 7.11519354 3.95640510 73 74 75 76 77 78 1.54211415 -1.65531283 -2.10708377 4.17411453 4.76941410 -0.73058590 79 80 81 82 83 84 0.90115854 4.86703076 1.77997349 3.53058590 0.28003976 -0.52588547 85 86 87 88 89 90 -2.16361226 -4.31403500 -6.33051962 0.60940085 -4.10115854 -2.47173118 91 92 93 94 95 96 -0.83998675 -7.92111878 0.86239660 -2.08113203 -4.71996024 -0.34945387 97 98 99 100 101 102 -2.11660802 -3.09059915 -2.88364792 -3.47302226 -5.70129108 -10.37772269 103 104 105 106 107 108 -9.92240986 -7.78010604 -0.25544537 -0.58725608 0.77391571 -4.56130434 109 110 111 112 113 114 -0.19903113 -5.43187698 -5.88364792 -5.55544537 -2.57186372 -4.89543212 115 116 117 118 119 120 -5.00483297 -10.82711028 -10.22002651 -6.59884146 -8.97881495 -10.74932132 121 -11.08118915 > postscript(file="/var/www/html/rcomp/tmp/6d1bc1258731936.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 = 121 Frequency = 1 lag(myerror, k = 1) myerror 0 10.57753302 NA 1 9.42711028 10.57753302 2 7.36362141 9.42711028 3 7.95067868 7.36362141 4 8.28712354 7.95067868 5 11.35183722 8.28712354 6 10.93657740 11.35183722 7 9.46716330 10.93657740 8 -1.36103925 9.46716330 9 -2.04571316 -1.36103925 10 -7.55511401 -2.04571316 11 2.33310179 -7.55511401 12 -2.95176180 2.33310179 13 0.63896075 -2.95176180 14 1.31661717 0.63896075 15 -1.09632557 1.31661717 16 -7.06573967 -1.09632557 17 0.22240986 -7.06573967 18 1.98358165 0.22240986 19 2.69059915 1.98358165 20 2.29768292 2.69059915 21 0.78944061 2.29768292 22 4.71532608 0.78944061 23 6.90940085 4.71532608 24 6.18925094 6.90940085 25 4.87398198 6.18925094 26 8.85749736 4.87398198 27 -0.52002651 8.85749736 28 0.02826882 -0.52002651 29 1.22240986 0.02826882 30 1.24243637 1.22240986 31 -0.05054613 1.24243637 32 2.55653764 -0.05054613 33 -1.95170467 2.55653764 34 6.28003976 -1.95170467 35 2.47411453 6.28003976 36 -0.72832594 2.47411453 37 -1.13760340 -0.72832594 38 -1.02466066 -1.13760340 39 0.04468717 -1.02466066 40 9.42813628 0.04468717 41 4.79870892 9.42813628 42 4.04217128 4.79870892 43 1.60817604 4.04217128 44 -3.52588547 1.60817604 45 0.14230382 -3.52588547 46 0.50347561 0.14230382 47 0.65054613 0.50347561 48 -0.59889859 0.65054613 49 -1.34945387 -0.59889859 50 -1.45994698 -1.34945387 51 -5.43760340 -1.45994698 52 -5.27759014 -5.43760340 53 -3.51873543 -5.27759014 54 -4.32227731 -3.51873543 55 0.94945387 -4.32227731 56 1.60354189 0.94945387 57 0.61300901 1.60354189 58 1.58589873 0.61300901 59 -0.13760340 1.58589873 60 1.53052877 -0.13760340 61 2.03882821 1.53052877 62 2.15177094 2.03882821 63 3.30354189 2.15177094 64 2.20470042 3.30354189 65 4.39884146 2.20470042 66 0.98358165 4.39884146 67 6.99645811 0.98358165 68 6.26226406 6.99645811 69 8.18930807 6.26226406 70 7.11519354 8.18930807 71 3.95640510 7.11519354 72 1.54211415 3.95640510 73 -1.65531283 1.54211415 74 -2.10708377 -1.65531283 75 4.17411453 -2.10708377 76 4.76941410 4.17411453 77 -0.73058590 4.76941410 78 0.90115854 -0.73058590 79 4.86703076 0.90115854 80 1.77997349 4.86703076 81 3.53058590 1.77997349 82 0.28003976 3.53058590 83 -0.52588547 0.28003976 84 -2.16361226 -0.52588547 85 -4.31403500 -2.16361226 86 -6.33051962 -4.31403500 87 0.60940085 -6.33051962 88 -4.10115854 0.60940085 89 -2.47173118 -4.10115854 90 -0.83998675 -2.47173118 91 -7.92111878 -0.83998675 92 0.86239660 -7.92111878 93 -2.08113203 0.86239660 94 -4.71996024 -2.08113203 95 -0.34945387 -4.71996024 96 -2.11660802 -0.34945387 97 -3.09059915 -2.11660802 98 -2.88364792 -3.09059915 99 -3.47302226 -2.88364792 100 -5.70129108 -3.47302226 101 -10.37772269 -5.70129108 102 -9.92240986 -10.37772269 103 -7.78010604 -9.92240986 104 -0.25544537 -7.78010604 105 -0.58725608 -0.25544537 106 0.77391571 -0.58725608 107 -4.56130434 0.77391571 108 -0.19903113 -4.56130434 109 -5.43187698 -0.19903113 110 -5.88364792 -5.43187698 111 -5.55544537 -5.88364792 112 -2.57186372 -5.55544537 113 -4.89543212 -2.57186372 114 -5.00483297 -4.89543212 115 -10.82711028 -5.00483297 116 -10.22002651 -10.82711028 117 -6.59884146 -10.22002651 118 -8.97881495 -6.59884146 119 -10.74932132 -8.97881495 120 -11.08118915 -10.74932132 121 NA -11.08118915 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] 9.42711028 10.57753302 [2,] 7.36362141 9.42711028 [3,] 7.95067868 7.36362141 [4,] 8.28712354 7.95067868 [5,] 11.35183722 8.28712354 [6,] 10.93657740 11.35183722 [7,] 9.46716330 10.93657740 [8,] -1.36103925 9.46716330 [9,] -2.04571316 -1.36103925 [10,] -7.55511401 -2.04571316 [11,] 2.33310179 -7.55511401 [12,] -2.95176180 2.33310179 [13,] 0.63896075 -2.95176180 [14,] 1.31661717 0.63896075 [15,] -1.09632557 1.31661717 [16,] -7.06573967 -1.09632557 [17,] 0.22240986 -7.06573967 [18,] 1.98358165 0.22240986 [19,] 2.69059915 1.98358165 [20,] 2.29768292 2.69059915 [21,] 0.78944061 2.29768292 [22,] 4.71532608 0.78944061 [23,] 6.90940085 4.71532608 [24,] 6.18925094 6.90940085 [25,] 4.87398198 6.18925094 [26,] 8.85749736 4.87398198 [27,] -0.52002651 8.85749736 [28,] 0.02826882 -0.52002651 [29,] 1.22240986 0.02826882 [30,] 1.24243637 1.22240986 [31,] -0.05054613 1.24243637 [32,] 2.55653764 -0.05054613 [33,] -1.95170467 2.55653764 [34,] 6.28003976 -1.95170467 [35,] 2.47411453 6.28003976 [36,] -0.72832594 2.47411453 [37,] -1.13760340 -0.72832594 [38,] -1.02466066 -1.13760340 [39,] 0.04468717 -1.02466066 [40,] 9.42813628 0.04468717 [41,] 4.79870892 9.42813628 [42,] 4.04217128 4.79870892 [43,] 1.60817604 4.04217128 [44,] -3.52588547 1.60817604 [45,] 0.14230382 -3.52588547 [46,] 0.50347561 0.14230382 [47,] 0.65054613 0.50347561 [48,] -0.59889859 0.65054613 [49,] -1.34945387 -0.59889859 [50,] -1.45994698 -1.34945387 [51,] -5.43760340 -1.45994698 [52,] -5.27759014 -5.43760340 [53,] -3.51873543 -5.27759014 [54,] -4.32227731 -3.51873543 [55,] 0.94945387 -4.32227731 [56,] 1.60354189 0.94945387 [57,] 0.61300901 1.60354189 [58,] 1.58589873 0.61300901 [59,] -0.13760340 1.58589873 [60,] 1.53052877 -0.13760340 [61,] 2.03882821 1.53052877 [62,] 2.15177094 2.03882821 [63,] 3.30354189 2.15177094 [64,] 2.20470042 3.30354189 [65,] 4.39884146 2.20470042 [66,] 0.98358165 4.39884146 [67,] 6.99645811 0.98358165 [68,] 6.26226406 6.99645811 [69,] 8.18930807 6.26226406 [70,] 7.11519354 8.18930807 [71,] 3.95640510 7.11519354 [72,] 1.54211415 3.95640510 [73,] -1.65531283 1.54211415 [74,] -2.10708377 -1.65531283 [75,] 4.17411453 -2.10708377 [76,] 4.76941410 4.17411453 [77,] -0.73058590 4.76941410 [78,] 0.90115854 -0.73058590 [79,] 4.86703076 0.90115854 [80,] 1.77997349 4.86703076 [81,] 3.53058590 1.77997349 [82,] 0.28003976 3.53058590 [83,] -0.52588547 0.28003976 [84,] -2.16361226 -0.52588547 [85,] -4.31403500 -2.16361226 [86,] -6.33051962 -4.31403500 [87,] 0.60940085 -6.33051962 [88,] -4.10115854 0.60940085 [89,] -2.47173118 -4.10115854 [90,] -0.83998675 -2.47173118 [91,] -7.92111878 -0.83998675 [92,] 0.86239660 -7.92111878 [93,] -2.08113203 0.86239660 [94,] -4.71996024 -2.08113203 [95,] -0.34945387 -4.71996024 [96,] -2.11660802 -0.34945387 [97,] -3.09059915 -2.11660802 [98,] -2.88364792 -3.09059915 [99,] -3.47302226 -2.88364792 [100,] -5.70129108 -3.47302226 [101,] -10.37772269 -5.70129108 [102,] -9.92240986 -10.37772269 [103,] -7.78010604 -9.92240986 [104,] -0.25544537 -7.78010604 [105,] -0.58725608 -0.25544537 [106,] 0.77391571 -0.58725608 [107,] -4.56130434 0.77391571 [108,] -0.19903113 -4.56130434 [109,] -5.43187698 -0.19903113 [110,] -5.88364792 -5.43187698 [111,] -5.55544537 -5.88364792 [112,] -2.57186372 -5.55544537 [113,] -4.89543212 -2.57186372 [114,] -5.00483297 -4.89543212 [115,] -10.82711028 -5.00483297 [116,] -10.22002651 -10.82711028 [117,] -6.59884146 -10.22002651 [118,] -8.97881495 -6.59884146 [119,] -10.74932132 -8.97881495 [120,] -11.08118915 -10.74932132 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 9.42711028 10.57753302 2 7.36362141 9.42711028 3 7.95067868 7.36362141 4 8.28712354 7.95067868 5 11.35183722 8.28712354 6 10.93657740 11.35183722 7 9.46716330 10.93657740 8 -1.36103925 9.46716330 9 -2.04571316 -1.36103925 10 -7.55511401 -2.04571316 11 2.33310179 -7.55511401 12 -2.95176180 2.33310179 13 0.63896075 -2.95176180 14 1.31661717 0.63896075 15 -1.09632557 1.31661717 16 -7.06573967 -1.09632557 17 0.22240986 -7.06573967 18 1.98358165 0.22240986 19 2.69059915 1.98358165 20 2.29768292 2.69059915 21 0.78944061 2.29768292 22 4.71532608 0.78944061 23 6.90940085 4.71532608 24 6.18925094 6.90940085 25 4.87398198 6.18925094 26 8.85749736 4.87398198 27 -0.52002651 8.85749736 28 0.02826882 -0.52002651 29 1.22240986 0.02826882 30 1.24243637 1.22240986 31 -0.05054613 1.24243637 32 2.55653764 -0.05054613 33 -1.95170467 2.55653764 34 6.28003976 -1.95170467 35 2.47411453 6.28003976 36 -0.72832594 2.47411453 37 -1.13760340 -0.72832594 38 -1.02466066 -1.13760340 39 0.04468717 -1.02466066 40 9.42813628 0.04468717 41 4.79870892 9.42813628 42 4.04217128 4.79870892 43 1.60817604 4.04217128 44 -3.52588547 1.60817604 45 0.14230382 -3.52588547 46 0.50347561 0.14230382 47 0.65054613 0.50347561 48 -0.59889859 0.65054613 49 -1.34945387 -0.59889859 50 -1.45994698 -1.34945387 51 -5.43760340 -1.45994698 52 -5.27759014 -5.43760340 53 -3.51873543 -5.27759014 54 -4.32227731 -3.51873543 55 0.94945387 -4.32227731 56 1.60354189 0.94945387 57 0.61300901 1.60354189 58 1.58589873 0.61300901 59 -0.13760340 1.58589873 60 1.53052877 -0.13760340 61 2.03882821 1.53052877 62 2.15177094 2.03882821 63 3.30354189 2.15177094 64 2.20470042 3.30354189 65 4.39884146 2.20470042 66 0.98358165 4.39884146 67 6.99645811 0.98358165 68 6.26226406 6.99645811 69 8.18930807 6.26226406 70 7.11519354 8.18930807 71 3.95640510 7.11519354 72 1.54211415 3.95640510 73 -1.65531283 1.54211415 74 -2.10708377 -1.65531283 75 4.17411453 -2.10708377 76 4.76941410 4.17411453 77 -0.73058590 4.76941410 78 0.90115854 -0.73058590 79 4.86703076 0.90115854 80 1.77997349 4.86703076 81 3.53058590 1.77997349 82 0.28003976 3.53058590 83 -0.52588547 0.28003976 84 -2.16361226 -0.52588547 85 -4.31403500 -2.16361226 86 -6.33051962 -4.31403500 87 0.60940085 -6.33051962 88 -4.10115854 0.60940085 89 -2.47173118 -4.10115854 90 -0.83998675 -2.47173118 91 -7.92111878 -0.83998675 92 0.86239660 -7.92111878 93 -2.08113203 0.86239660 94 -4.71996024 -2.08113203 95 -0.34945387 -4.71996024 96 -2.11660802 -0.34945387 97 -3.09059915 -2.11660802 98 -2.88364792 -3.09059915 99 -3.47302226 -2.88364792 100 -5.70129108 -3.47302226 101 -10.37772269 -5.70129108 102 -9.92240986 -10.37772269 103 -7.78010604 -9.92240986 104 -0.25544537 -7.78010604 105 -0.58725608 -0.25544537 106 0.77391571 -0.58725608 107 -4.56130434 0.77391571 108 -0.19903113 -4.56130434 109 -5.43187698 -0.19903113 110 -5.88364792 -5.43187698 111 -5.55544537 -5.88364792 112 -2.57186372 -5.55544537 113 -4.89543212 -2.57186372 114 -5.00483297 -4.89543212 115 -10.82711028 -5.00483297 116 -10.22002651 -10.82711028 117 -6.59884146 -10.22002651 118 -8.97881495 -6.59884146 119 -10.74932132 -8.97881495 120 -11.08118915 -10.74932132 > 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/7jh8k1258731936.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/8ykra1258731936.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/98txj1258731936.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/rcomp/tmp/109u871258731936.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/11ti2e1258731936.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/12gn7f1258731936.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/13f1501258731937.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/14nsds1258731937.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/15f9nv1258731937.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/16lyaz1258731937.tab") + } > > system("convert tmp/1t1ze1258731936.ps tmp/1t1ze1258731936.png") > system("convert tmp/22y1u1258731936.ps tmp/22y1u1258731936.png") > system("convert tmp/3jdfk1258731936.ps tmp/3jdfk1258731936.png") > system("convert tmp/4h1lt1258731936.ps tmp/4h1lt1258731936.png") > system("convert tmp/57ufa1258731936.ps tmp/57ufa1258731936.png") > system("convert tmp/6d1bc1258731936.ps tmp/6d1bc1258731936.png") > system("convert tmp/7jh8k1258731936.ps tmp/7jh8k1258731936.png") > system("convert tmp/8ykra1258731936.ps tmp/8ykra1258731936.png") > system("convert tmp/98txj1258731936.ps tmp/98txj1258731936.png") > system("convert tmp/109u871258731936.ps tmp/109u871258731936.png") > > > proc.time() user system elapsed 3.305 1.629 3.729