R version 2.9.0 (2009-04-17)
Copyright (C) 2009 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
R is free software and comes with ABSOLUTELY NO WARRANTY.
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Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> x <- array(list(267366
+ ,0
+ ,267413
+ ,262813
+ ,258113
+ ,267037
+ ,269645
+ ,264777
+ ,0
+ ,267366
+ ,267413
+ ,262813
+ ,258113
+ ,267037
+ ,258863
+ ,0
+ ,264777
+ ,267366
+ ,267413
+ ,262813
+ ,258113
+ ,254844
+ ,0
+ ,258863
+ ,264777
+ ,267366
+ ,267413
+ ,262813
+ ,254868
+ ,0
+ ,254844
+ ,258863
+ ,264777
+ ,267366
+ ,267413
+ ,277267
+ ,0
+ ,254868
+ ,254844
+ ,258863
+ ,264777
+ ,267366
+ ,285351
+ ,0
+ ,277267
+ ,254868
+ ,254844
+ ,258863
+ ,264777
+ ,286602
+ ,0
+ ,285351
+ ,277267
+ ,254868
+ ,254844
+ ,258863
+ ,283042
+ ,0
+ ,286602
+ ,285351
+ ,277267
+ ,254868
+ ,254844
+ ,276687
+ ,0
+ ,283042
+ ,286602
+ ,285351
+ ,277267
+ ,254868
+ ,277915
+ ,0
+ ,276687
+ ,283042
+ ,286602
+ ,285351
+ ,277267
+ ,277128
+ ,0
+ ,277915
+ ,276687
+ ,283042
+ ,286602
+ ,285351
+ ,277103
+ ,0
+ ,277128
+ ,277915
+ ,276687
+ ,283042
+ ,286602
+ ,275037
+ ,0
+ ,277103
+ ,277128
+ ,277915
+ ,276687
+ ,283042
+ ,270150
+ ,0
+ ,275037
+ ,277103
+ ,277128
+ ,277915
+ ,276687
+ ,267140
+ ,0
+ ,270150
+ ,275037
+ ,277103
+ ,277128
+ ,277915
+ ,264993
+ ,0
+ ,267140
+ ,270150
+ ,275037
+ ,277103
+ ,277128
+ ,287259
+ ,0
+ ,264993
+ ,267140
+ ,270150
+ ,275037
+ ,277103
+ ,291186
+ ,0
+ ,287259
+ ,264993
+ ,267140
+ ,270150
+ ,275037
+ ,292300
+ ,0
+ ,291186
+ ,287259
+ ,264993
+ ,267140
+ ,270150
+ ,288186
+ ,0
+ ,292300
+ ,291186
+ ,287259
+ ,264993
+ ,267140
+ ,281477
+ ,0
+ ,288186
+ ,292300
+ ,291186
+ ,287259
+ ,264993
+ ,282656
+ ,0
+ ,281477
+ ,288186
+ ,292300
+ ,291186
+ ,287259
+ ,280190
+ ,0
+ ,282656
+ ,281477
+ ,288186
+ ,292300
+ ,291186
+ ,280408
+ ,0
+ ,280190
+ ,282656
+ ,281477
+ ,288186
+ ,292300
+ ,276836
+ ,0
+ ,280408
+ ,280190
+ ,282656
+ ,281477
+ ,288186
+ ,275216
+ ,0
+ ,276836
+ ,280408
+ ,280190
+ ,282656
+ ,281477
+ ,274352
+ ,0
+ ,275216
+ ,276836
+ ,280408
+ ,280190
+ ,282656
+ ,271311
+ ,0
+ ,274352
+ ,275216
+ ,276836
+ ,280408
+ ,280190
+ ,289802
+ ,0
+ ,271311
+ ,274352
+ ,275216
+ ,276836
+ ,280408
+ ,290726
+ ,0
+ ,289802
+ ,271311
+ ,274352
+ ,275216
+ ,276836
+ ,292300
+ ,0
+ ,290726
+ ,289802
+ ,271311
+ ,274352
+ ,275216
+ ,278506
+ ,0
+ ,292300
+ ,290726
+ ,289802
+ ,271311
+ ,274352
+ ,269826
+ ,0
+ ,278506
+ ,292300
+ ,290726
+ ,289802
+ ,271311
+ ,265861
+ ,0
+ ,269826
+ ,278506
+ ,292300
+ ,290726
+ ,289802
+ ,269034
+ ,0
+ ,265861
+ ,269826
+ ,278506
+ ,292300
+ ,290726
+ ,264176
+ ,0
+ ,269034
+ ,265861
+ ,269826
+ ,278506
+ ,292300
+ ,255198
+ ,0
+ ,264176
+ ,269034
+ ,265861
+ ,269826
+ ,278506
+ ,253353
+ ,0
+ ,255198
+ ,264176
+ ,269034
+ ,265861
+ ,269826
+ ,246057
+ ,0
+ ,253353
+ ,255198
+ ,264176
+ ,269034
+ ,265861
+ ,235372
+ ,0
+ ,246057
+ ,253353
+ ,255198
+ ,264176
+ ,269034
+ ,258556
+ ,0
+ ,235372
+ ,246057
+ ,253353
+ ,255198
+ ,264176
+ ,260993
+ ,0
+ ,258556
+ ,235372
+ ,246057
+ ,253353
+ ,255198
+ ,254663
+ ,0
+ ,260993
+ ,258556
+ ,235372
+ ,246057
+ ,253353
+ ,250643
+ ,0
+ ,254663
+ ,260993
+ ,258556
+ ,235372
+ ,246057
+ ,243422
+ ,0
+ ,250643
+ ,254663
+ ,260993
+ ,258556
+ ,235372
+ ,247105
+ ,0
+ ,243422
+ ,250643
+ ,254663
+ ,260993
+ ,258556
+ ,248541
+ ,0
+ ,247105
+ ,243422
+ ,250643
+ ,254663
+ ,260993
+ ,245039
+ ,0
+ ,248541
+ ,247105
+ ,243422
+ ,250643
+ ,254663
+ ,237080
+ ,0
+ ,245039
+ ,248541
+ ,247105
+ ,243422
+ ,250643
+ ,237085
+ ,0
+ ,237080
+ ,245039
+ ,248541
+ ,247105
+ ,243422
+ ,225554
+ ,0
+ ,237085
+ ,237080
+ ,245039
+ ,248541
+ ,247105
+ ,226839
+ ,0
+ ,225554
+ ,237085
+ ,237080
+ ,245039
+ ,248541
+ ,247934
+ ,0
+ ,226839
+ ,225554
+ ,237085
+ ,237080
+ ,245039
+ ,248333
+ ,1
+ ,247934
+ ,226839
+ ,225554
+ ,237085
+ ,237080
+ ,246969
+ ,1
+ ,248333
+ ,247934
+ ,226839
+ ,225554
+ ,237085
+ ,245098
+ ,1
+ ,246969
+ ,248333
+ ,247934
+ ,226839
+ ,225554
+ ,246263
+ ,1
+ ,245098
+ ,246969
+ ,248333
+ ,247934
+ ,226839
+ ,255765
+ ,1
+ ,246263
+ ,245098
+ ,246969
+ ,248333
+ ,247934
+ ,264319
+ ,1
+ ,255765
+ ,246263
+ ,245098
+ ,246969
+ ,248333
+ ,268347
+ ,1
+ ,264319
+ ,255765
+ ,246263
+ ,245098
+ ,246969
+ ,273046
+ ,1
+ ,268347
+ ,264319
+ ,255765
+ ,246263
+ ,245098
+ ,273963
+ ,1
+ ,273046
+ ,268347
+ ,264319
+ ,255765
+ ,246263
+ ,267430
+ ,1
+ ,273963
+ ,273046
+ ,268347
+ ,264319
+ ,255765
+ ,271993
+ ,1
+ ,267430
+ ,273963
+ ,273046
+ ,268347
+ ,264319
+ ,292710
+ ,1
+ ,271993
+ ,267430
+ ,273963
+ ,273046
+ ,268347
+ ,295881
+ ,1
+ ,292710
+ ,271993
+ ,267430
+ ,273963
+ ,273046)
+ ,dim=c(7
+ ,67)
+ ,dimnames=list(c('Y'
+ ,'x'
+ ,'Y-1'
+ ,'Y-2'
+ ,'Y-3'
+ ,'Y-4'
+ ,'y-5')
+ ,1:67))
> y <- array(NA,dim=c(7,67),dimnames=list(c('Y','x','Y-1','Y-2','Y-3','Y-4','y-5'),1:67))
> for (i in 1:dim(x)[1])
+ {
+ for (j in 1:dim(x)[2])
+ {
+ y[i,j] <- as.numeric(x[i,j])
+ }
+ }
> par3 = 'Linear Trend'
> par2 = 'Include Monthly Dummies'
> par1 = '1'
> #'GNU S' R Code compiled by R2WASP v. 1.0.44 ()
> #Author: Prof. Dr. P. Wessa
> #To cite this work: AUTHOR(S), (YEAR), YOUR SOFTWARE TITLE (vNUMBER) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_YOURPAGE.wasp/
> #Source of accompanying publication: Office for Research, Development, and Education
> #Technical description: Write here your technical program description (don't use hard returns!)
> library(lattice)
> library(lmtest)
Loading required package: zoo
Attaching package: 'zoo'
The following object(s) are masked from package:base :
as.Date.numeric
> n25 <- 25 #minimum number of obs. for Goldfeld-Quandt test
> par1 <- as.numeric(par1)
> x <- t(y)
> k <- length(x[1,])
> n <- length(x[,1])
> x1 <- cbind(x[,par1], x[,1:k!=par1])
> mycolnames <- c(colnames(x)[par1], colnames(x)[1:k!=par1])
> colnames(x1) <- mycolnames #colnames(x)[par1]
> x <- x1
> if (par3 == 'First Differences'){
+ x2 <- array(0, dim=c(n-1,k), dimnames=list(1:(n-1), paste('(1-B)',colnames(x),sep='')))
+ for (i in 1:n-1) {
+ for (j in 1:k) {
+ x2[i,j] <- x[i+1,j] - x[i,j]
+ }
+ }
+ x <- x2
+ }
> if (par2 == 'Include Monthly Dummies'){
+ x2 <- array(0, dim=c(n,11), dimnames=list(1:n, paste('M', seq(1:11), sep ='')))
+ for (i in 1:11){
+ x2[seq(i,n,12),i] <- 1
+ }
+ x <- cbind(x, x2)
+ }
> if (par2 == 'Include Quarterly Dummies'){
+ x2 <- array(0, dim=c(n,3), dimnames=list(1:n, paste('Q', seq(1:3), sep ='')))
+ for (i in 1:3){
+ x2[seq(i,n,4),i] <- 1
+ }
+ x <- cbind(x, x2)
+ }
> k <- length(x[1,])
> if (par3 == 'Linear Trend'){
+ x <- cbind(x, c(1:n))
+ colnames(x)[k+1] <- 't'
+ }
> x
Y x Y-1 Y-2 Y-3 Y-4 y-5 M1 M2 M3 M4 M5 M6 M7 M8 M9 M10
1 267366 0 267413 262813 258113 267037 269645 1 0 0 0 0 0 0 0 0 0
2 264777 0 267366 267413 262813 258113 267037 0 1 0 0 0 0 0 0 0 0
3 258863 0 264777 267366 267413 262813 258113 0 0 1 0 0 0 0 0 0 0
4 254844 0 258863 264777 267366 267413 262813 0 0 0 1 0 0 0 0 0 0
5 254868 0 254844 258863 264777 267366 267413 0 0 0 0 1 0 0 0 0 0
6 277267 0 254868 254844 258863 264777 267366 0 0 0 0 0 1 0 0 0 0
7 285351 0 277267 254868 254844 258863 264777 0 0 0 0 0 0 1 0 0 0
8 286602 0 285351 277267 254868 254844 258863 0 0 0 0 0 0 0 1 0 0
9 283042 0 286602 285351 277267 254868 254844 0 0 0 0 0 0 0 0 1 0
10 276687 0 283042 286602 285351 277267 254868 0 0 0 0 0 0 0 0 0 1
11 277915 0 276687 283042 286602 285351 277267 0 0 0 0 0 0 0 0 0 0
12 277128 0 277915 276687 283042 286602 285351 0 0 0 0 0 0 0 0 0 0
13 277103 0 277128 277915 276687 283042 286602 1 0 0 0 0 0 0 0 0 0
14 275037 0 277103 277128 277915 276687 283042 0 1 0 0 0 0 0 0 0 0
15 270150 0 275037 277103 277128 277915 276687 0 0 1 0 0 0 0 0 0 0
16 267140 0 270150 275037 277103 277128 277915 0 0 0 1 0 0 0 0 0 0
17 264993 0 267140 270150 275037 277103 277128 0 0 0 0 1 0 0 0 0 0
18 287259 0 264993 267140 270150 275037 277103 0 0 0 0 0 1 0 0 0 0
19 291186 0 287259 264993 267140 270150 275037 0 0 0 0 0 0 1 0 0 0
20 292300 0 291186 287259 264993 267140 270150 0 0 0 0 0 0 0 1 0 0
21 288186 0 292300 291186 287259 264993 267140 0 0 0 0 0 0 0 0 1 0
22 281477 0 288186 292300 291186 287259 264993 0 0 0 0 0 0 0 0 0 1
23 282656 0 281477 288186 292300 291186 287259 0 0 0 0 0 0 0 0 0 0
24 280190 0 282656 281477 288186 292300 291186 0 0 0 0 0 0 0 0 0 0
25 280408 0 280190 282656 281477 288186 292300 1 0 0 0 0 0 0 0 0 0
26 276836 0 280408 280190 282656 281477 288186 0 1 0 0 0 0 0 0 0 0
27 275216 0 276836 280408 280190 282656 281477 0 0 1 0 0 0 0 0 0 0
28 274352 0 275216 276836 280408 280190 282656 0 0 0 1 0 0 0 0 0 0
29 271311 0 274352 275216 276836 280408 280190 0 0 0 0 1 0 0 0 0 0
30 289802 0 271311 274352 275216 276836 280408 0 0 0 0 0 1 0 0 0 0
31 290726 0 289802 271311 274352 275216 276836 0 0 0 0 0 0 1 0 0 0
32 292300 0 290726 289802 271311 274352 275216 0 0 0 0 0 0 0 1 0 0
33 278506 0 292300 290726 289802 271311 274352 0 0 0 0 0 0 0 0 1 0
34 269826 0 278506 292300 290726 289802 271311 0 0 0 0 0 0 0 0 0 1
35 265861 0 269826 278506 292300 290726 289802 0 0 0 0 0 0 0 0 0 0
36 269034 0 265861 269826 278506 292300 290726 0 0 0 0 0 0 0 0 0 0
37 264176 0 269034 265861 269826 278506 292300 1 0 0 0 0 0 0 0 0 0
38 255198 0 264176 269034 265861 269826 278506 0 1 0 0 0 0 0 0 0 0
39 253353 0 255198 264176 269034 265861 269826 0 0 1 0 0 0 0 0 0 0
40 246057 0 253353 255198 264176 269034 265861 0 0 0 1 0 0 0 0 0 0
41 235372 0 246057 253353 255198 264176 269034 0 0 0 0 1 0 0 0 0 0
42 258556 0 235372 246057 253353 255198 264176 0 0 0 0 0 1 0 0 0 0
43 260993 0 258556 235372 246057 253353 255198 0 0 0 0 0 0 1 0 0 0
44 254663 0 260993 258556 235372 246057 253353 0 0 0 0 0 0 0 1 0 0
45 250643 0 254663 260993 258556 235372 246057 0 0 0 0 0 0 0 0 1 0
46 243422 0 250643 254663 260993 258556 235372 0 0 0 0 0 0 0 0 0 1
47 247105 0 243422 250643 254663 260993 258556 0 0 0 0 0 0 0 0 0 0
48 248541 0 247105 243422 250643 254663 260993 0 0 0 0 0 0 0 0 0 0
49 245039 0 248541 247105 243422 250643 254663 1 0 0 0 0 0 0 0 0 0
50 237080 0 245039 248541 247105 243422 250643 0 1 0 0 0 0 0 0 0 0
51 237085 0 237080 245039 248541 247105 243422 0 0 1 0 0 0 0 0 0 0
52 225554 0 237085 237080 245039 248541 247105 0 0 0 1 0 0 0 0 0 0
53 226839 0 225554 237085 237080 245039 248541 0 0 0 0 1 0 0 0 0 0
54 247934 0 226839 225554 237085 237080 245039 0 0 0 0 0 1 0 0 0 0
55 248333 1 247934 226839 225554 237085 237080 0 0 0 0 0 0 1 0 0 0
56 246969 1 248333 247934 226839 225554 237085 0 0 0 0 0 0 0 1 0 0
57 245098 1 246969 248333 247934 226839 225554 0 0 0 0 0 0 0 0 1 0
58 246263 1 245098 246969 248333 247934 226839 0 0 0 0 0 0 0 0 0 1
59 255765 1 246263 245098 246969 248333 247934 0 0 0 0 0 0 0 0 0 0
60 264319 1 255765 246263 245098 246969 248333 0 0 0 0 0 0 0 0 0 0
61 268347 1 264319 255765 246263 245098 246969 1 0 0 0 0 0 0 0 0 0
62 273046 1 268347 264319 255765 246263 245098 0 1 0 0 0 0 0 0 0 0
63 273963 1 273046 268347 264319 255765 246263 0 0 1 0 0 0 0 0 0 0
64 267430 1 273963 273046 268347 264319 255765 0 0 0 1 0 0 0 0 0 0
65 271993 1 267430 273963 273046 268347 264319 0 0 0 0 1 0 0 0 0 0
66 292710 1 271993 267430 273963 273046 268347 0 0 0 0 0 1 0 0 0 0
67 295881 1 292710 271993 267430 273963 273046 0 0 0 0 0 0 1 0 0 0
M11 t
1 0 1
2 0 2
3 0 3
4 0 4
5 0 5
6 0 6
7 0 7
8 0 8
9 0 9
10 0 10
11 1 11
12 0 12
13 0 13
14 0 14
15 0 15
16 0 16
17 0 17
18 0 18
19 0 19
20 0 20
21 0 21
22 0 22
23 1 23
24 0 24
25 0 25
26 0 26
27 0 27
28 0 28
29 0 29
30 0 30
31 0 31
32 0 32
33 0 33
34 0 34
35 1 35
36 0 36
37 0 37
38 0 38
39 0 39
40 0 40
41 0 41
42 0 42
43 0 43
44 0 44
45 0 45
46 0 46
47 1 47
48 0 48
49 0 49
50 0 50
51 0 51
52 0 52
53 0 53
54 0 54
55 0 55
56 0 56
57 0 57
58 0 58
59 1 59
60 0 60
61 0 61
62 0 62
63 0 63
64 0 64
65 0 65
66 0 66
67 0 67
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) x `Y-1` `Y-2` `Y-3` `Y-4`
2.139e+04 4.571e+03 9.374e-01 1.340e-01 1.269e-01 -2.598e-01
`y-5` M1 M2 M3 M4 M5
2.464e-03 -3.682e+03 -8.617e+03 -7.066e+03 -9.288e+03 -5.147e+03
M6 M7 M8 M9 M10 M11
1.798e+04 7.825e+02 -6.646e+03 -1.524e+04 -1.031e+04 -1.107e+03
t
-6.879e+01
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-7057.99 -1798.14 46.38 2195.43 5616.38
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 2.139e+04 1.075e+04 1.989 0.052452 .
x 4.571e+03 2.099e+03 2.178 0.034369 *
`Y-1` 9.374e-01 1.429e-01 6.559 3.50e-08 ***
`Y-2` 1.340e-01 1.949e-01 0.688 0.494989
`Y-3` 1.269e-01 1.986e-01 0.639 0.525927
`Y-4` -2.598e-01 1.987e-01 -1.307 0.197298
`y-5` 2.464e-03 1.491e-01 0.017 0.986887
M1 -3.682e+03 2.465e+03 -1.494 0.141845
M2 -8.617e+03 2.764e+03 -3.118 0.003072 **
M3 -7.066e+03 2.705e+03 -2.612 0.011979 *
M4 -9.288e+03 2.399e+03 -3.872 0.000326 ***
M5 -5.147e+03 2.443e+03 -2.107 0.040389 *
M6 1.798e+04 2.230e+03 8.065 1.76e-10 ***
M7 7.825e+02 3.409e+03 0.230 0.819408
M8 -6.646e+03 4.501e+03 -1.477 0.146322
M9 -1.524e+04 4.516e+03 -3.374 0.001474 **
M10 -1.031e+04 4.464e+03 -2.309 0.025271 *
M11 -1.107e+03 2.654e+03 -0.417 0.678425
t -6.879e+01 3.604e+01 -1.909 0.062263 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 3382 on 48 degrees of freedom
Multiple R-squared: 0.9724, Adjusted R-squared: 0.962
F-statistic: 93.88 on 18 and 48 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,] 0.0355083895 0.0710167790 0.9644916
[2,] 0.0087188775 0.0174377550 0.9912811
[3,] 0.0023983507 0.0047967015 0.9976016
[4,] 0.0007746473 0.0015492946 0.9992254
[5,] 0.0001953909 0.0003907819 0.9998046
[6,] 0.0004251273 0.0008502546 0.9995749
[7,] 0.0016228362 0.0032456724 0.9983772
[8,] 0.0005665615 0.0011331231 0.9994334
[9,] 0.0002812158 0.0005624317 0.9997188
[10,] 0.0001016996 0.0002033992 0.9998983
[11,] 0.0001283461 0.0002566921 0.9998717
[12,] 0.0541125428 0.1082250857 0.9458875
[13,] 0.0349889021 0.0699778041 0.9650111
[14,] 0.0518788321 0.1037576642 0.9481212
[15,] 0.0758682112 0.1517364223 0.9241318
[16,] 0.0466920185 0.0933840370 0.9533080
[17,] 0.0414070405 0.0828140810 0.9585930
[18,] 0.0722440453 0.1444880905 0.9277560
[19,] 0.1218666858 0.2437333716 0.8781333
[20,] 0.2776732464 0.5553464928 0.7223268
[21,] 0.2990255013 0.5980510026 0.7009745
[22,] 0.5193715984 0.9612568032 0.4806284
[23,] 0.4617664958 0.9235329916 0.5382335
[24,] 0.7010520879 0.5978958243 0.2989479
> postscript(file="/var/www/html/rcomp/tmp/1214p1258833515.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$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/26cyb1258833515.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$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/3n5ha1258833515.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/4hmk31258833515.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/5uw7z1258833515.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 = 67
Frequency = 1
1 2 3 4 5 6
-195.66415 -1261.36125 -5564.69964 -213.21963 603.68224 534.90156
7 8 9 10 11 12
3867.93216 1003.57723 1022.07160 -2229.03632 -1812.82501 -3181.11425
13 14 15 16 17 18
996.19066 2265.00255 -1729.53992 2204.33111 -280.60313 1423.06865
19 20 21 22 23 24
1152.23878 2600.55581 2200.90210 -368.37970 -657.37902 -3566.36852
25 26 27 28 29 30
2335.73502 2011.36605 2864.13998 5616.38013 46.26468 -2280.90215
31 32 33 34 35 36
-1315.93663 4576.21685 -5290.88603 -1416.24636 -4533.64325 4637.44070
37 38 39 40 41 42
-1399.19033 -2962.59027 1366.15228 743.39217 -7057.98972 1971.93148
43 44 45 46 47 48
1845.78084 -2914.08204 1633.95088 -89.33650 3147.97815 -79.91483
49 50 51 52 53 54
-1783.44650 -3981.43690 3264.09810 -4106.57231 4011.38483 325.69777
55 56 57 58 59 60
-5039.49484 -5266.26785 433.96144 4102.99889 3855.86913 2189.95690
61 62 63 64 65 66
46.37530 3929.01982 -200.15080 -4244.31147 2677.26110 -1974.69731
67
-510.52031
> postscript(file="/var/www/html/rcomp/tmp/6f2yl1258833515.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 = 67
Frequency = 1
lag(myerror, k = 1) myerror
0 -195.66415 NA
1 -1261.36125 -195.66415
2 -5564.69964 -1261.36125
3 -213.21963 -5564.69964
4 603.68224 -213.21963
5 534.90156 603.68224
6 3867.93216 534.90156
7 1003.57723 3867.93216
8 1022.07160 1003.57723
9 -2229.03632 1022.07160
10 -1812.82501 -2229.03632
11 -3181.11425 -1812.82501
12 996.19066 -3181.11425
13 2265.00255 996.19066
14 -1729.53992 2265.00255
15 2204.33111 -1729.53992
16 -280.60313 2204.33111
17 1423.06865 -280.60313
18 1152.23878 1423.06865
19 2600.55581 1152.23878
20 2200.90210 2600.55581
21 -368.37970 2200.90210
22 -657.37902 -368.37970
23 -3566.36852 -657.37902
24 2335.73502 -3566.36852
25 2011.36605 2335.73502
26 2864.13998 2011.36605
27 5616.38013 2864.13998
28 46.26468 5616.38013
29 -2280.90215 46.26468
30 -1315.93663 -2280.90215
31 4576.21685 -1315.93663
32 -5290.88603 4576.21685
33 -1416.24636 -5290.88603
34 -4533.64325 -1416.24636
35 4637.44070 -4533.64325
36 -1399.19033 4637.44070
37 -2962.59027 -1399.19033
38 1366.15228 -2962.59027
39 743.39217 1366.15228
40 -7057.98972 743.39217
41 1971.93148 -7057.98972
42 1845.78084 1971.93148
43 -2914.08204 1845.78084
44 1633.95088 -2914.08204
45 -89.33650 1633.95088
46 3147.97815 -89.33650
47 -79.91483 3147.97815
48 -1783.44650 -79.91483
49 -3981.43690 -1783.44650
50 3264.09810 -3981.43690
51 -4106.57231 3264.09810
52 4011.38483 -4106.57231
53 325.69777 4011.38483
54 -5039.49484 325.69777
55 -5266.26785 -5039.49484
56 433.96144 -5266.26785
57 4102.99889 433.96144
58 3855.86913 4102.99889
59 2189.95690 3855.86913
60 46.37530 2189.95690
61 3929.01982 46.37530
62 -200.15080 3929.01982
63 -4244.31147 -200.15080
64 2677.26110 -4244.31147
65 -1974.69731 2677.26110
66 -510.52031 -1974.69731
67 NA -510.52031
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] -1261.36125 -195.66415
[2,] -5564.69964 -1261.36125
[3,] -213.21963 -5564.69964
[4,] 603.68224 -213.21963
[5,] 534.90156 603.68224
[6,] 3867.93216 534.90156
[7,] 1003.57723 3867.93216
[8,] 1022.07160 1003.57723
[9,] -2229.03632 1022.07160
[10,] -1812.82501 -2229.03632
[11,] -3181.11425 -1812.82501
[12,] 996.19066 -3181.11425
[13,] 2265.00255 996.19066
[14,] -1729.53992 2265.00255
[15,] 2204.33111 -1729.53992
[16,] -280.60313 2204.33111
[17,] 1423.06865 -280.60313
[18,] 1152.23878 1423.06865
[19,] 2600.55581 1152.23878
[20,] 2200.90210 2600.55581
[21,] -368.37970 2200.90210
[22,] -657.37902 -368.37970
[23,] -3566.36852 -657.37902
[24,] 2335.73502 -3566.36852
[25,] 2011.36605 2335.73502
[26,] 2864.13998 2011.36605
[27,] 5616.38013 2864.13998
[28,] 46.26468 5616.38013
[29,] -2280.90215 46.26468
[30,] -1315.93663 -2280.90215
[31,] 4576.21685 -1315.93663
[32,] -5290.88603 4576.21685
[33,] -1416.24636 -5290.88603
[34,] -4533.64325 -1416.24636
[35,] 4637.44070 -4533.64325
[36,] -1399.19033 4637.44070
[37,] -2962.59027 -1399.19033
[38,] 1366.15228 -2962.59027
[39,] 743.39217 1366.15228
[40,] -7057.98972 743.39217
[41,] 1971.93148 -7057.98972
[42,] 1845.78084 1971.93148
[43,] -2914.08204 1845.78084
[44,] 1633.95088 -2914.08204
[45,] -89.33650 1633.95088
[46,] 3147.97815 -89.33650
[47,] -79.91483 3147.97815
[48,] -1783.44650 -79.91483
[49,] -3981.43690 -1783.44650
[50,] 3264.09810 -3981.43690
[51,] -4106.57231 3264.09810
[52,] 4011.38483 -4106.57231
[53,] 325.69777 4011.38483
[54,] -5039.49484 325.69777
[55,] -5266.26785 -5039.49484
[56,] 433.96144 -5266.26785
[57,] 4102.99889 433.96144
[58,] 3855.86913 4102.99889
[59,] 2189.95690 3855.86913
[60,] 46.37530 2189.95690
[61,] 3929.01982 46.37530
[62,] -200.15080 3929.01982
[63,] -4244.31147 -200.15080
[64,] 2677.26110 -4244.31147
[65,] -1974.69731 2677.26110
[66,] -510.52031 -1974.69731
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 -1261.36125 -195.66415
2 -5564.69964 -1261.36125
3 -213.21963 -5564.69964
4 603.68224 -213.21963
5 534.90156 603.68224
6 3867.93216 534.90156
7 1003.57723 3867.93216
8 1022.07160 1003.57723
9 -2229.03632 1022.07160
10 -1812.82501 -2229.03632
11 -3181.11425 -1812.82501
12 996.19066 -3181.11425
13 2265.00255 996.19066
14 -1729.53992 2265.00255
15 2204.33111 -1729.53992
16 -280.60313 2204.33111
17 1423.06865 -280.60313
18 1152.23878 1423.06865
19 2600.55581 1152.23878
20 2200.90210 2600.55581
21 -368.37970 2200.90210
22 -657.37902 -368.37970
23 -3566.36852 -657.37902
24 2335.73502 -3566.36852
25 2011.36605 2335.73502
26 2864.13998 2011.36605
27 5616.38013 2864.13998
28 46.26468 5616.38013
29 -2280.90215 46.26468
30 -1315.93663 -2280.90215
31 4576.21685 -1315.93663
32 -5290.88603 4576.21685
33 -1416.24636 -5290.88603
34 -4533.64325 -1416.24636
35 4637.44070 -4533.64325
36 -1399.19033 4637.44070
37 -2962.59027 -1399.19033
38 1366.15228 -2962.59027
39 743.39217 1366.15228
40 -7057.98972 743.39217
41 1971.93148 -7057.98972
42 1845.78084 1971.93148
43 -2914.08204 1845.78084
44 1633.95088 -2914.08204
45 -89.33650 1633.95088
46 3147.97815 -89.33650
47 -79.91483 3147.97815
48 -1783.44650 -79.91483
49 -3981.43690 -1783.44650
50 3264.09810 -3981.43690
51 -4106.57231 3264.09810
52 4011.38483 -4106.57231
53 325.69777 4011.38483
54 -5039.49484 325.69777
55 -5266.26785 -5039.49484
56 433.96144 -5266.26785
57 4102.99889 433.96144
58 3855.86913 4102.99889
59 2189.95690 3855.86913
60 46.37530 2189.95690
61 3929.01982 46.37530
62 -200.15080 3929.01982
63 -4244.31147 -200.15080
64 2677.26110 -4244.31147
65 -1974.69731 2677.26110
66 -510.52031 -1974.69731
> 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/72o8n1258833515.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/8r7w81258833515.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/9etkd1258833515.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/www/html/rcomp/tmp/10fuc11258833515.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
null device
1
>
> #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$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/11drp11258833515.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/129wok1258833515.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/13q93e1258833515.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/14gcl01258833515.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/151ny01258833515.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/163tyf1258833515.tab")
+ }
>
> system("convert tmp/1214p1258833515.ps tmp/1214p1258833515.png")
> system("convert tmp/26cyb1258833515.ps tmp/26cyb1258833515.png")
> system("convert tmp/3n5ha1258833515.ps tmp/3n5ha1258833515.png")
> system("convert tmp/4hmk31258833515.ps tmp/4hmk31258833515.png")
> system("convert tmp/5uw7z1258833515.ps tmp/5uw7z1258833515.png")
> system("convert tmp/6f2yl1258833515.ps tmp/6f2yl1258833515.png")
> system("convert tmp/72o8n1258833515.ps tmp/72o8n1258833515.png")
> system("convert tmp/8r7w81258833515.ps tmp/8r7w81258833515.png")
> system("convert tmp/9etkd1258833515.ps tmp/9etkd1258833515.png")
> system("convert tmp/10fuc11258833515.ps tmp/10fuc11258833515.png")
>
>
> proc.time()
user system elapsed
2.520 1.576 6.520