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multiple regression with linear trend

*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: Fri, 20 Nov 2009 11:38:36 -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/Nov/20/t1258742613hnrmv8a7ua2u8zk.htm/, Retrieved Fri, 20 Nov 2009 19:43:45 +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/Nov/20/t1258742613hnrmv8a7ua2u8zk.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:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
462 1919 455 1911 461 1870 461 2263 463 1802 462 1863 456 1989 455 2197 456 2409 472 2502 472 2593 471 2598 465 2053 459 2213 465 2238 468 2359 467 2151 463 2474 460 3079 462 2312 461 2565 476 1972 476 2484 471 2202 453 2151 443 1976 442 2012 444 2114 438 1772 427 1957 424 2070 416 1990 406 2182 431 2008 434 1916 418 2397 412 2114 404 1778 409 1641 412 2186 406 1773 398 1785 397 2217 385 2153 390 1895 413 2475 413 1793 401 2308 397 2051 397 1898 409 2142 419 1874 424 1560 428 1808 430 1575 424 1525 433 1997 456 1753 459 1623 446 2251 441 1890
 
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 time3 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
wkl[t] = + 477.993760890492 + 0.000337047508224897bvg[t] -8.15082618449848M1[t] -20.0515922400293M2[t] -13.4216469414095M3[t] -8.84333732104988M4[t] -8.88767330186228M5[t] -11.9050494733973M6[t] -13.1368512782844M7[t] -17.0475856182171M8[t] -15.2677929888212M9[t] + 6.19349772806338M10[t] + 8.45229429338714M11[t] -1.03850630532863t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)477.99376089049231.66601215.094900
bvg0.0003370475082248970.0113530.02970.9764420.488221
M1-8.1508261844984812.732764-0.64010.5251860.262593
M2-20.051592240029313.754834-1.45780.151550.075775
M3-13.421646941409513.595873-0.98720.3286070.164303
M4-8.8433373210498812.950613-0.68290.4980530.249027
M5-8.8876733018622814.304897-0.62130.5374020.268701
M6-11.905049473397313.475594-0.88350.3814890.190744
M7-13.136851278284412.801573-1.02620.3100550.155027
M8-17.047585618217113.184982-1.2930.2023460.101173
M9-15.267792988821212.714327-1.20080.2358330.117916
M106.1934977280633812.8276930.48280.6314630.315732
M118.4522942933871412.9564770.65240.5173470.258673
t-1.038506305328630.172032-6.036700


Multiple Linear Regression - Regression Statistics
Multiple R0.741731690526168
R-squared0.550165900730807
Adjusted R-squared0.425743703060604
F-TEST (value)4.42176646155290
F-TEST (DF numerator)13
F-TEST (DF denominator)47
p-value7.76836363377553e-05
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation19.8705683838929
Sum Squared Residuals18557.4559312513


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1462469.451222568948-7.45122256894819
2455456.509253828024-1.50925382802365
3461462.086873873477-1.08687387347749
4461465.759136859241-4.75913685924094
5463464.520915671808-1.52091567180823
6462460.4855930929461.51440690705374
7456458.257752968767-2.25775296876687
8455453.3786182052161.62138179478368
9456454.1913586010271.8086413989728
10472474.645488430848-2.64548843084813
11472475.896450014092-3.89645001409176
12471466.4073346529174.59266534708293
13465457.0343112711077.9656887288926
14459444.14896651156414.8510334884360
15465449.74883169256115.2511683074393
16468453.32941775608714.6705822439131
17467452.17646958823514.8235304117649
18463448.22945345652814.7705465434719
19460446.16305908878813.8369409112116
20462440.95530300471921.0446969952814
21461441.78186234836719.2181376516333
22476462.00477758754513.9952224124546
23476463.39763617175212.6023638282484
24471453.81178817571617.1882118242836
25453444.605266262978.39473373703014
26443431.60701058817111.3929894118289
27442437.2105832917584.78941670824174
28444440.7847654526283.21523454737176
29438439.586652918674-1.58665291867430
30427435.593124230832-8.5931242308322
31424433.360902489046-9.36090248904592
32416428.384698043127-12.3846980431266
33406429.190697488773-23.190697488773
34431449.554835633898-18.5548356338979
35434450.744117523136-16.7441175231363
36418441.415436775877-23.4154367758767
37412432.130719841222-20.1307198412219
38404419.078199517599-15.0781995175990
39409424.623463002263-15.6234630022632
40412428.346957209277-16.3469572092768
41406427.124914302239-21.1249143022389
42398423.073076395474-25.0730763954739
43397420.948372808811-23.9483728088114
44385415.977561123024-30.9775611230237
45390416.631889189969-26.6318891899689
46413437.250161156295-24.2501611562953
47413438.240585015681-25.2405850156811
48401428.923363883701-27.9233638837011
49397419.64741018426-22.6474101842602
50397406.656569554642-9.65656955464235
51409412.33024813994-3.33024813994032
52419415.7797227227673.22027727723292
53424414.5910475190439.40895248095656
54428410.61875282421917.3812471757805
55430408.26991264458721.7300873554126
56424403.30381962391520.6961803760852
57433404.20419237186428.7958076281358
58456424.54473719141331.4552628085867
59459425.72121127533933.2787887246608
60446416.44207651178929.5579234882113
61441407.13106987149233.8689301285076


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.0001405426059760490.0002810852119520990.999859457394024
186.48173427370901e-061.29634685474180e-050.999993518265726
191.61445512218299e-063.22891024436599e-060.999998385544878
202.20281459475342e-074.40562918950683e-070.99999977971854
211.73875548978238e-083.47751097956477e-080.999999982612445
221.79774390630517e-093.59548781261034e-090.999999998202256
232.33694707305671e-104.67389414611341e-100.999999999766305
242.56239171090847e-105.12478342181695e-100.99999999974376
251.28150305251415e-062.56300610502830e-060.999998718496947
261.74606830111757e-053.49213660223515e-050.999982539316989
270.0002098106737886790.0004196213475773580.999790189326211
280.0004801065831978350.000960213166395670.999519893416802
290.001687925183716050.00337585036743210.998312074816284
300.007889515821676570.01577903164335310.992110484178323
310.01188909660048930.02377819320097850.98811090339951
320.04274068648773150.0854813729754630.957259313512268
330.1074952165899760.2149904331799510.892504783410024
340.1104115585833160.2208231171666310.889588441416684
350.1264627657413630.2529255314827250.873537234258637
360.2809443305421630.5618886610843260.719055669457837
370.4590693735841280.9181387471682550.540930626415872
380.6076020226513230.7847959546973530.392397977348677
390.7260635899783420.5478728200433150.273936410021658
400.9295094649527230.1409810700945540.0704905350472768
410.9900955635219640.01980887295607220.00990443647803609
420.9981499497804560.003700100439088060.00185005021954403
430.9993594569086120.001281086182776060.000640543091388029
440.9991609209190320.001678158161935830.000839079080967915


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level160.571428571428571NOK
5% type I error level190.678571428571429NOK
10% type I error level200.714285714285714NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/10noey1258742311.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/10noey1258742311.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/1fnum1258742311.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/1fnum1258742311.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/2kctz1258742311.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/2kctz1258742311.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/3y0ue1258742311.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/3y0ue1258742311.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/4taf91258742311.png (open in new window)
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http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/5he641258742311.png (open in new window)
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http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/6q0201258742311.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/6q0201258742311.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/72jbv1258742311.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/72jbv1258742311.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/8bd201258742311.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/8bd201258742311.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/97vbm1258742311.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/20/t1258742613hnrmv8a7ua2u8zk/97vbm1258742311.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = 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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