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Workshop 7

*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, 27 Nov 2009 15:03:48 -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/27/t1259359477z2nq69dq5osaycc.htm/, Retrieved Fri, 27 Nov 2009 23:04:49 +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/27/t1259359477z2nq69dq5osaycc.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 «
126.51 0 131.02 0 136.51 0 138.04 0 132.92 0 129.61 0 122.96 0 124.04 0 121.29 0 124.56 0 118.53 0 113.14 0 114.15 0 122.17 0 129.23 0 131.19 0 129.12 0 128.28 0 126.83 0 138.13 0 140.52 0 146.83 0 135.14 0 131.84 0 125.7 0 128.98 0 133.25 0 136.76 0 133.24 0 128.54 0 121.08 0 120.23 0 119.08 0 125.75 0 126.89 0 126.6 0 121.89 0 123.44 0 126.46 0 129.49 0 127.78 0 125.29 0 119.02 0 119.96 0 122.86 0 131.89 0 132.73 0 135.01 0 136.71 1 142.73 1 144.43 1 144.93 1 138.75 1 130.22 1 122.19 1 128.4 1 140.43 1 153.5 1 149.33 1 142.97 1
 
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 time14 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Y[t] = + 128.755416666667 + 12.9404166666667X[t] -5.35740277777782M1[t] -0.641638888888884M2[t] + 3.70612499999999M3[t] + 5.85188888888888M4[t] + 2.17165277777778M5[t] -1.76258333333333M6[t] -7.69481944444444M7[t] -3.91905555555555M8[t] -1.19529166666666M9[t] + 6.51447222222222M10[t] + 2.57223611111111M11[t] -0.0397638888888885t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)128.7554166666673.69111334.882500
X12.94041666666673.0340764.2659.8e-054.9e-05
M1-5.357402777777824.277103-1.25260.216690.108345
M2-0.6416388888888844.264529-0.15050.881060.44053
M33.706124999999994.2531210.87140.3880670.194033
M45.851888888888884.2428881.37920.1744950.087248
M52.171652777777784.2338380.51290.6104560.305228
M6-1.762583333333334.225979-0.41710.6785580.339279
M7-7.694819444444444.219318-1.82370.0746960.037348
M8-3.919055555555554.21386-0.930.3572060.178603
M9-1.195291666666664.20961-0.28390.7777280.388864
M106.514472222222224.2065711.54860.1283210.064161
M112.572236111111114.2047470.61170.5437180.271859
t-0.03976388888888850.071514-0.5560.5808850.290442


Multiple Linear Regression - Regression Statistics
Multiple R0.734406514839355
R-squared0.539352929038487
Adjusted R-squared0.40917006115806
F-TEST (value)4.14304076888121
F-TEST (DF numerator)13
F-TEST (DF denominator)46
p-value0.000163786037073121
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation6.64732770487073
Sum Squared Residuals2032.60041833333


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1126.51123.3582500000003.1517499999998
2131.02128.034252.98575
3136.51132.342254.16775000000001
4138.04134.448253.59174999999999
5132.92130.728252.19175000000001
6129.61126.754252.85575000000003
7122.96120.782252.17775000000002
8124.04124.51825-0.478249999999984
9121.29127.20225-5.91224999999999
10124.56134.87225-10.3122500000000
11118.53130.89025-12.3602500000000
12113.14128.27825-15.13825
13114.15122.881083333333-8.73108333333327
14122.17127.557083333333-5.38708333333332
15129.23131.865083333333-2.63508333333333
16131.19133.971083333333-2.78108333333333
17129.12130.251083333333-1.13108333333333
18128.28126.2770833333332.00291666666667
19126.83120.3050833333336.52491666666667
20138.13124.04108333333314.0889166666667
21140.52126.72508333333313.7949166666667
22146.83134.39508333333312.4349166666667
23135.14130.4130833333334.72691666666666
24131.84127.8010833333334.03891666666667
25125.7122.4039166666673.29608333333338
26128.98127.0799166666671.90008333333333
27133.25131.3879166666671.86208333333334
28136.76133.4939166666673.26608333333333
29133.24129.7739166666673.46608333333334
30128.54125.7999166666672.74008333333332
31121.08119.8279166666671.25208333333333
32120.23123.563916666667-3.33391666666666
33119.08126.247916666667-7.16791666666667
34125.75133.917916666667-8.16791666666666
35126.89129.935916666667-3.04591666666666
36126.6127.323916666667-0.723916666666674
37121.89121.92675-0.0367499999999588
38123.44126.60275-3.16275
39126.46130.91075-4.45075000000001
40129.49133.01675-3.52674999999999
41127.78129.29675-1.51675000000001
42125.29125.32275-0.0327500000000041
43119.02119.35075-0.330750000000012
44119.96123.08675-3.12675000000001
45122.86125.77075-2.91075000000001
46131.89133.44075-1.55075000000002
47132.73129.458753.27124999999998
48135.01126.846758.16324999999999
49136.71134.392.32000000000005
50142.73139.0663.66399999999999
51144.43143.3741.05600000000000
52144.93145.48-0.549999999999996
53138.75141.76-3.01000000000001
54130.22137.786-7.56600000000001
55122.19131.814-9.62400000000001
56128.4135.55-7.15
57140.43138.2342.196
58153.5145.9047.596
59149.33141.9227.408
60142.97139.313.65999999999999


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.1169482663712620.2338965327425240.883051733628738
180.1259616924984770.2519233849969540.874038307501523
190.2562803763984460.5125607527968910.743719623601554
200.780925919878310.4381481602433790.219074080121689
210.9720913376438140.05581732471237180.0279086623561859
220.9969663423134640.006067315373071730.00303365768653586
230.9969022877560440.006195424487912480.00309771224395624
240.99675610211740.006487795765198670.00324389788259934
250.9933324252687040.01333514946259160.00666757473129582
260.9875845419743070.0248309160513850.0124154580256925
270.98059650923320.03880698153360110.0194034907668006
280.9734588048431950.05308239031361040.0265411951568052
290.9688041267513670.06239174649726520.0311958732486326
300.9747862527180180.05042749456396380.0252137472819819
310.9887385629569030.02252287408619350.0112614370430967
320.9954599348985560.00908013020288820.0045400651014441
330.9939811821853920.01203763562921580.00601881781460791
340.9910160890621220.01796782187575670.00898391093787835
350.9813353637683360.0373292724633280.018664636231664
360.9636170407206550.07276591855868910.0363829592793445
370.932938276000660.1341234479986800.0670617239993402
380.913249128487440.1735017430251190.0867508715125594
390.8844992055138130.2310015889723740.115500794486187
400.822477876966110.3550442460677810.177522123033891
410.7108150887443680.5783698225112630.289184911255632
420.6444833973209510.7110332053580980.355516602679049
430.6855097078130740.6289805843738520.314490292186926


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level40.148148148148148NOK
5% type I error level110.407407407407407NOK
10% type I error level160.592592592592593NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/10hjhu1259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/10hjhu1259359413.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/1utke1259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/1utke1259359413.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/2kcw81259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/2kcw81259359413.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/3sy1s1259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/3sy1s1259359413.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/4ye611259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/4ye611259359413.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/5ka511259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/5ka511259359413.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/66fzc1259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/66fzc1259359413.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/7pfn11259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/7pfn11259359413.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/8agon1259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/8agon1259359413.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/9qvil1259359413.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259359477z2nq69dq5osaycc/9qvil1259359413.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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