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.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
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(254844
+ ,281818
+ ,258863
+ ,264777
+ ,267366
+ ,267413
+ ,254868
+ ,287854
+ ,254844
+ ,258863
+ ,264777
+ ,267366
+ ,277267
+ ,316263
+ ,254868
+ ,254844
+ ,258863
+ ,264777
+ ,285351
+ ,325412
+ ,277267
+ ,254868
+ ,254844
+ ,258863
+ ,286602
+ ,326011
+ ,285351
+ ,277267
+ ,254868
+ ,254844
+ ,283042
+ ,328282
+ ,286602
+ ,285351
+ ,277267
+ ,254868
+ ,276687
+ ,317480
+ ,283042
+ ,286602
+ ,285351
+ ,277267
+ ,277915
+ ,317539
+ ,276687
+ ,283042
+ ,286602
+ ,285351
+ ,277128
+ ,313737
+ ,277915
+ ,276687
+ ,283042
+ ,286602
+ ,277103
+ ,312276
+ ,277128
+ ,277915
+ ,276687
+ ,283042
+ ,275037
+ ,309391
+ ,277103
+ ,277128
+ ,277915
+ ,276687
+ ,270150
+ ,302950
+ ,275037
+ ,277103
+ ,277128
+ ,277915
+ ,267140
+ ,300316
+ ,270150
+ ,275037
+ ,277103
+ ,277128
+ ,264993
+ ,304035
+ ,267140
+ ,270150
+ ,275037
+ ,277103
+ ,287259
+ ,333476
+ ,264993
+ ,267140
+ ,270150
+ ,275037
+ ,291186
+ ,337698
+ ,287259
+ ,264993
+ ,267140
+ ,270150
+ ,292300
+ ,335932
+ ,291186
+ ,287259
+ ,264993
+ ,267140
+ ,288186
+ ,323931
+ ,292300
+ ,291186
+ ,287259
+ ,264993
+ ,281477
+ ,313927
+ ,288186
+ ,292300
+ ,291186
+ ,287259
+ ,282656
+ ,314485
+ ,281477
+ ,288186
+ ,292300
+ ,291186
+ ,280190
+ ,313218
+ ,282656
+ ,281477
+ ,288186
+ ,292300
+ ,280408
+ ,309664
+ ,280190
+ ,282656
+ ,281477
+ ,288186
+ ,276836
+ ,302963
+ ,280408
+ ,280190
+ ,282656
+ ,281477
+ ,275216
+ ,298989
+ ,276836
+ ,280408
+ ,280190
+ ,282656
+ ,274352
+ ,298423
+ ,275216
+ ,276836
+ ,280408
+ ,280190
+ ,271311
+ ,301631
+ ,274352
+ ,275216
+ ,276836
+ ,280408
+ ,289802
+ ,329765
+ ,271311
+ ,274352
+ ,275216
+ ,276836
+ ,290726
+ ,335083
+ ,289802
+ ,271311
+ ,274352
+ ,275216
+ ,292300
+ ,327616
+ ,290726
+ ,289802
+ ,271311
+ ,274352
+ ,278506
+ ,309119
+ ,292300
+ ,290726
+ ,289802
+ ,271311
+ ,269826
+ ,295916
+ ,278506
+ ,292300
+ ,290726
+ ,289802
+ ,265861
+ ,291413
+ ,269826
+ ,278506
+ ,292300
+ ,290726
+ ,269034
+ ,291542
+ ,265861
+ ,269826
+ ,278506
+ ,292300
+ ,264176
+ ,284678
+ ,269034
+ ,265861
+ ,269826
+ ,278506
+ ,255198
+ ,276475
+ ,264176
+ ,269034
+ ,265861
+ ,269826
+ ,253353
+ ,272566
+ ,255198
+ ,264176
+ ,269034
+ ,265861
+ ,246057
+ ,264981
+ ,253353
+ ,255198
+ ,264176
+ ,269034
+ ,235372
+ ,263290
+ ,246057
+ ,253353
+ ,255198
+ ,264176
+ ,258556
+ ,296806
+ ,235372
+ ,246057
+ ,253353
+ ,255198
+ ,260993
+ ,303598
+ ,258556
+ ,235372
+ ,246057
+ ,253353
+ ,254663
+ ,286994
+ ,260993
+ ,258556
+ ,235372
+ ,246057
+ ,250643
+ ,276427
+ ,254663
+ ,260993
+ ,258556
+ ,235372
+ ,243422
+ ,266424
+ ,250643
+ ,254663
+ ,260993
+ ,258556
+ ,247105
+ ,267153
+ ,243422
+ ,250643
+ ,254663
+ ,260993
+ ,248541
+ ,268381
+ ,247105
+ ,243422
+ ,250643
+ ,254663
+ ,245039
+ ,262522
+ ,248541
+ ,247105
+ ,243422
+ ,250643
+ ,237080
+ ,255542
+ ,245039
+ ,248541
+ ,247105
+ ,243422
+ ,237085
+ ,253158
+ ,237080
+ ,245039
+ ,248541
+ ,247105
+ ,225554
+ ,243803
+ ,237085
+ ,237080
+ ,245039
+ ,248541
+ ,226839
+ ,250741
+ ,225554
+ ,237085
+ ,237080
+ ,245039
+ ,247934
+ ,280445
+ ,226839
+ ,225554
+ ,237085
+ ,237080
+ ,248333
+ ,285257
+ ,247934
+ ,226839
+ ,225554
+ ,237085
+ ,246969
+ ,270976
+ ,248333
+ ,247934
+ ,226839
+ ,225554
+ ,245098
+ ,261076
+ ,246969
+ ,248333
+ ,247934
+ ,226839
+ ,246263
+ ,255603
+ ,245098
+ ,246969
+ ,248333
+ ,247934
+ ,255765
+ ,260376
+ ,246263
+ ,245098
+ ,246969
+ ,248333
+ ,264319
+ ,263903
+ ,255765
+ ,246263
+ ,245098
+ ,246969
+ ,268347
+ ,264291
+ ,264319
+ ,255765
+ ,246263
+ ,245098
+ ,273046
+ ,263276
+ ,268347
+ ,264319
+ ,255765
+ ,246263
+ ,273963
+ ,262572
+ ,273046
+ ,268347
+ ,264319
+ ,255765
+ ,267430
+ ,256167
+ ,273963
+ ,273046
+ ,268347
+ ,264319
+ ,271993
+ ,264221
+ ,267430
+ ,273963
+ ,273046
+ ,268347
+ ,292710
+ ,293860
+ ,271993
+ ,267430
+ ,273963
+ ,273046)
+ ,dim=c(6
+ ,63)
+ ,dimnames=list(c('Y'
+ ,'X'
+ ,'Y1'
+ ,'Y2'
+ ,'Y3'
+ ,'Y4')
+ ,1:63))
> y <- array(NA,dim=c(6,63),dimnames=list(c('Y','X','Y1','Y2','Y3','Y4'),1:63))
> 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 Y1 Y2 Y3 Y4 M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11
1 254844 281818 258863 264777 267366 267413 1 0 0 0 0 0 0 0 0 0 0
2 254868 287854 254844 258863 264777 267366 0 1 0 0 0 0 0 0 0 0 0
3 277267 316263 254868 254844 258863 264777 0 0 1 0 0 0 0 0 0 0 0
4 285351 325412 277267 254868 254844 258863 0 0 0 1 0 0 0 0 0 0 0
5 286602 326011 285351 277267 254868 254844 0 0 0 0 1 0 0 0 0 0 0
6 283042 328282 286602 285351 277267 254868 0 0 0 0 0 1 0 0 0 0 0
7 276687 317480 283042 286602 285351 277267 0 0 0 0 0 0 1 0 0 0 0
8 277915 317539 276687 283042 286602 285351 0 0 0 0 0 0 0 1 0 0 0
9 277128 313737 277915 276687 283042 286602 0 0 0 0 0 0 0 0 1 0 0
10 277103 312276 277128 277915 276687 283042 0 0 0 0 0 0 0 0 0 1 0
11 275037 309391 277103 277128 277915 276687 0 0 0 0 0 0 0 0 0 0 1
12 270150 302950 275037 277103 277128 277915 0 0 0 0 0 0 0 0 0 0 0
13 267140 300316 270150 275037 277103 277128 1 0 0 0 0 0 0 0 0 0 0
14 264993 304035 267140 270150 275037 277103 0 1 0 0 0 0 0 0 0 0 0
15 287259 333476 264993 267140 270150 275037 0 0 1 0 0 0 0 0 0 0 0
16 291186 337698 287259 264993 267140 270150 0 0 0 1 0 0 0 0 0 0 0
17 292300 335932 291186 287259 264993 267140 0 0 0 0 1 0 0 0 0 0 0
18 288186 323931 292300 291186 287259 264993 0 0 0 0 0 1 0 0 0 0 0
19 281477 313927 288186 292300 291186 287259 0 0 0 0 0 0 1 0 0 0 0
20 282656 314485 281477 288186 292300 291186 0 0 0 0 0 0 0 1 0 0 0
21 280190 313218 282656 281477 288186 292300 0 0 0 0 0 0 0 0 1 0 0
22 280408 309664 280190 282656 281477 288186 0 0 0 0 0 0 0 0 0 1 0
23 276836 302963 280408 280190 282656 281477 0 0 0 0 0 0 0 0 0 0 1
24 275216 298989 276836 280408 280190 282656 0 0 0 0 0 0 0 0 0 0 0
25 274352 298423 275216 276836 280408 280190 1 0 0 0 0 0 0 0 0 0 0
26 271311 301631 274352 275216 276836 280408 0 1 0 0 0 0 0 0 0 0 0
27 289802 329765 271311 274352 275216 276836 0 0 1 0 0 0 0 0 0 0 0
28 290726 335083 289802 271311 274352 275216 0 0 0 1 0 0 0 0 0 0 0
29 292300 327616 290726 289802 271311 274352 0 0 0 0 1 0 0 0 0 0 0
30 278506 309119 292300 290726 289802 271311 0 0 0 0 0 1 0 0 0 0 0
31 269826 295916 278506 292300 290726 289802 0 0 0 0 0 0 1 0 0 0 0
32 265861 291413 269826 278506 292300 290726 0 0 0 0 0 0 0 1 0 0 0
33 269034 291542 265861 269826 278506 292300 0 0 0 0 0 0 0 0 1 0 0
34 264176 284678 269034 265861 269826 278506 0 0 0 0 0 0 0 0 0 1 0
35 255198 276475 264176 269034 265861 269826 0 0 0 0 0 0 0 0 0 0 1
36 253353 272566 255198 264176 269034 265861 0 0 0 0 0 0 0 0 0 0 0
37 246057 264981 253353 255198 264176 269034 1 0 0 0 0 0 0 0 0 0 0
38 235372 263290 246057 253353 255198 264176 0 1 0 0 0 0 0 0 0 0 0
39 258556 296806 235372 246057 253353 255198 0 0 1 0 0 0 0 0 0 0 0
40 260993 303598 258556 235372 246057 253353 0 0 0 1 0 0 0 0 0 0 0
41 254663 286994 260993 258556 235372 246057 0 0 0 0 1 0 0 0 0 0 0
42 250643 276427 254663 260993 258556 235372 0 0 0 0 0 1 0 0 0 0 0
43 243422 266424 250643 254663 260993 258556 0 0 0 0 0 0 1 0 0 0 0
44 247105 267153 243422 250643 254663 260993 0 0 0 0 0 0 0 1 0 0 0
45 248541 268381 247105 243422 250643 254663 0 0 0 0 0 0 0 0 1 0 0
46 245039 262522 248541 247105 243422 250643 0 0 0 0 0 0 0 0 0 1 0
47 237080 255542 245039 248541 247105 243422 0 0 0 0 0 0 0 0 0 0 1
48 237085 253158 237080 245039 248541 247105 0 0 0 0 0 0 0 0 0 0 0
49 225554 243803 237085 237080 245039 248541 1 0 0 0 0 0 0 0 0 0 0
50 226839 250741 225554 237085 237080 245039 0 1 0 0 0 0 0 0 0 0 0
51 247934 280445 226839 225554 237085 237080 0 0 1 0 0 0 0 0 0 0 0
52 248333 285257 247934 226839 225554 237085 0 0 0 1 0 0 0 0 0 0 0
53 246969 270976 248333 247934 226839 225554 0 0 0 0 1 0 0 0 0 0 0
54 245098 261076 246969 248333 247934 226839 0 0 0 0 0 1 0 0 0 0 0
55 246263 255603 245098 246969 248333 247934 0 0 0 0 0 0 1 0 0 0 0
56 255765 260376 246263 245098 246969 248333 0 0 0 0 0 0 0 1 0 0 0
57 264319 263903 255765 246263 245098 246969 0 0 0 0 0 0 0 0 1 0 0
58 268347 264291 264319 255765 246263 245098 0 0 0 0 0 0 0 0 0 1 0
59 273046 263276 268347 264319 255765 246263 0 0 0 0 0 0 0 0 0 0 1
60 273963 262572 273046 268347 264319 255765 0 0 0 0 0 0 0 0 0 0 0
61 267430 256167 273963 273046 268347 264319 1 0 0 0 0 0 0 0 0 0 0
62 271993 264221 267430 273963 273046 268347 0 1 0 0 0 0 0 0 0 0 0
63 292710 293860 271993 267430 273963 273046 0 0 1 0 0 0 0 0 0 0 0
t
1 1
2 2
3 3
4 4
5 5
6 6
7 7
8 8
9 9
10 10
11 11
12 12
13 13
14 14
15 15
16 16
17 17
18 18
19 19
20 20
21 21
22 22
23 23
24 24
25 25
26 26
27 27
28 28
29 29
30 30
31 31
32 32
33 33
34 34
35 35
36 36
37 37
38 38
39 39
40 40
41 41
42 42
43 43
44 44
45 45
46 46
47 47
48 48
49 49
50 50
51 51
52 52
53 53
54 54
55 55
56 56
57 57
58 58
59 59
60 60
61 61
62 62
63 63
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) X Y1 Y2 Y3 Y4
7.219e+03 1.685e-01 9.799e-01 1.370e-01 6.995e-02 -4.070e-01
M1 M2 M3 M4 M5 M6
-1.804e+03 1.409e+03 1.883e+04 -8.228e+02 -8.321e+03 -1.461e+04
M7 M8 M9 M10 M11 t
-4.584e+03 5.149e+03 5.625e+03 1.211e+03 -3.453e+03 7.237e+01
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-6544 -2441 677 1966 6654
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 7.219e+03 1.355e+04 0.533 0.596779
X 1.686e-01 9.643e-02 1.748 0.087291 .
Y1 9.799e-01 1.389e-01 7.052 8.53e-09 ***
Y2 1.371e-01 2.027e-01 0.676 0.502368
Y3 6.995e-02 2.084e-01 0.336 0.738733
Y4 -4.070e-01 1.430e-01 -2.847 0.006629 **
M1 -1.804e+03 2.223e+03 -0.812 0.421293
M2 1.409e+03 2.208e+03 0.638 0.526565
M3 1.883e+04 4.107e+03 4.585 3.61e-05 ***
M4 -8.228e+02 5.548e+03 -0.148 0.882763
M5 -8.321e+03 4.502e+03 -1.848 0.071177 .
M6 -1.461e+04 3.618e+03 -4.037 0.000208 ***
M7 -4.584e+03 2.233e+03 -2.052 0.045978 *
M8 5.149e+03 2.385e+03 2.159 0.036200 *
M9 5.625e+03 2.819e+03 1.995 0.052067 .
M10 1.211e+03 2.714e+03 0.446 0.657483
M11 -3.453e+03 2.233e+03 -1.546 0.129022
t 7.237e+01 6.862e+01 1.055 0.297214
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 3447 on 45 degrees of freedom
Multiple R-squared: 0.9718, Adjusted R-squared: 0.9611
F-statistic: 91.09 on 17 and 45 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,] 0.319239656 0.63847931 0.68076034
[2,] 0.169675827 0.33935165 0.83032417
[3,] 0.089978185 0.17995637 0.91002182
[4,] 0.078036129 0.15607226 0.92196387
[5,] 0.051596261 0.10319252 0.94840374
[6,] 0.024012620 0.04802524 0.97598738
[7,] 0.011043988 0.02208798 0.98895601
[8,] 0.013900603 0.02780121 0.98609940
[9,] 0.007315354 0.01463071 0.99268465
[10,] 0.556400584 0.88719883 0.44359942
[11,] 0.729671652 0.54065670 0.27032835
[12,] 0.824730249 0.35053950 0.17526975
[13,] 0.746839168 0.50632166 0.25316083
[14,] 0.744707249 0.51058550 0.25529275
[15,] 0.774218278 0.45156344 0.22578172
[16,] 0.762960052 0.47407990 0.23703995
[17,] 0.822161892 0.35567622 0.17783811
[18,] 0.988037699 0.02392460 0.01196230
[19,] 0.989658289 0.02068342 0.01034171
[20,] 0.977987682 0.04402464 0.02201232
[21,] 0.941904380 0.11619124 0.05809562
[22,] 0.874895047 0.25020991 0.12510495
> postscript(file="/var/www/html/rcomp/tmp/1s39m1259607208.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$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/26w2l1259607208.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$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/3g5621259607208.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/4sok91259607208.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/5e54r1259607208.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 = 63
Frequency = 1
1 2 3 4 5 6 7
2048.2858 2680.0724 2683.1066 4729.8451 676.9812 -941.3230 -3705.1448
8 9 10 11 12 13 14
-2374.7091 -2643.8100 1517.7230 1990.0677 -2754.0450 1164.8515 -1140.9054
15 16 17 18 19 20 21
685.2247 180.6430 1043.4604 1106.3550 -1347.6899 -1409.8127 -3705.6583
22 23 24 25 26 27 28
2502.8590 1963.7294 1610.6989 3631.8629 -1828.0623 -3816.1824 -2507.4480
29 30 31 32 33 34 35
4172.0927 -4489.0994 -279.1436 -2628.6567 6654.1173 -277.7440 -2211.0332
36 37 38 39 40 41 42
704.8434 1088.4428 -6544.0962 1440.8696 821.5561 -3071.6174 802.9009
43 44 45 46 47 48 49
-757.4066 2058.7621 -2175.2115 -3390.7481 -5543.0152 1015.6224 -5291.6480
50 51 52 53 54 55 56
1968.2300 -2356.6704 -3224.5962 -2820.9169 3521.1666 6089.3849 4354.4164
57 58 59 60 61 62 63
1870.5625 -352.0899 3800.2513 -577.1197 -2641.7950 4864.7615 1363.6520
> postscript(file="/var/www/html/rcomp/tmp/6gf0a1259607208.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 = 63
Frequency = 1
lag(myerror, k = 1) myerror
0 2048.2858 NA
1 2680.0724 2048.2858
2 2683.1066 2680.0724
3 4729.8451 2683.1066
4 676.9812 4729.8451
5 -941.3230 676.9812
6 -3705.1448 -941.3230
7 -2374.7091 -3705.1448
8 -2643.8100 -2374.7091
9 1517.7230 -2643.8100
10 1990.0677 1517.7230
11 -2754.0450 1990.0677
12 1164.8515 -2754.0450
13 -1140.9054 1164.8515
14 685.2247 -1140.9054
15 180.6430 685.2247
16 1043.4604 180.6430
17 1106.3550 1043.4604
18 -1347.6899 1106.3550
19 -1409.8127 -1347.6899
20 -3705.6583 -1409.8127
21 2502.8590 -3705.6583
22 1963.7294 2502.8590
23 1610.6989 1963.7294
24 3631.8629 1610.6989
25 -1828.0623 3631.8629
26 -3816.1824 -1828.0623
27 -2507.4480 -3816.1824
28 4172.0927 -2507.4480
29 -4489.0994 4172.0927
30 -279.1436 -4489.0994
31 -2628.6567 -279.1436
32 6654.1173 -2628.6567
33 -277.7440 6654.1173
34 -2211.0332 -277.7440
35 704.8434 -2211.0332
36 1088.4428 704.8434
37 -6544.0962 1088.4428
38 1440.8696 -6544.0962
39 821.5561 1440.8696
40 -3071.6174 821.5561
41 802.9009 -3071.6174
42 -757.4066 802.9009
43 2058.7621 -757.4066
44 -2175.2115 2058.7621
45 -3390.7481 -2175.2115
46 -5543.0152 -3390.7481
47 1015.6224 -5543.0152
48 -5291.6480 1015.6224
49 1968.2300 -5291.6480
50 -2356.6704 1968.2300
51 -3224.5962 -2356.6704
52 -2820.9169 -3224.5962
53 3521.1666 -2820.9169
54 6089.3849 3521.1666
55 4354.4164 6089.3849
56 1870.5625 4354.4164
57 -352.0899 1870.5625
58 3800.2513 -352.0899
59 -577.1197 3800.2513
60 -2641.7950 -577.1197
61 4864.7615 -2641.7950
62 1363.6520 4864.7615
63 NA 1363.6520
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] 2680.0724 2048.2858
[2,] 2683.1066 2680.0724
[3,] 4729.8451 2683.1066
[4,] 676.9812 4729.8451
[5,] -941.3230 676.9812
[6,] -3705.1448 -941.3230
[7,] -2374.7091 -3705.1448
[8,] -2643.8100 -2374.7091
[9,] 1517.7230 -2643.8100
[10,] 1990.0677 1517.7230
[11,] -2754.0450 1990.0677
[12,] 1164.8515 -2754.0450
[13,] -1140.9054 1164.8515
[14,] 685.2247 -1140.9054
[15,] 180.6430 685.2247
[16,] 1043.4604 180.6430
[17,] 1106.3550 1043.4604
[18,] -1347.6899 1106.3550
[19,] -1409.8127 -1347.6899
[20,] -3705.6583 -1409.8127
[21,] 2502.8590 -3705.6583
[22,] 1963.7294 2502.8590
[23,] 1610.6989 1963.7294
[24,] 3631.8629 1610.6989
[25,] -1828.0623 3631.8629
[26,] -3816.1824 -1828.0623
[27,] -2507.4480 -3816.1824
[28,] 4172.0927 -2507.4480
[29,] -4489.0994 4172.0927
[30,] -279.1436 -4489.0994
[31,] -2628.6567 -279.1436
[32,] 6654.1173 -2628.6567
[33,] -277.7440 6654.1173
[34,] -2211.0332 -277.7440
[35,] 704.8434 -2211.0332
[36,] 1088.4428 704.8434
[37,] -6544.0962 1088.4428
[38,] 1440.8696 -6544.0962
[39,] 821.5561 1440.8696
[40,] -3071.6174 821.5561
[41,] 802.9009 -3071.6174
[42,] -757.4066 802.9009
[43,] 2058.7621 -757.4066
[44,] -2175.2115 2058.7621
[45,] -3390.7481 -2175.2115
[46,] -5543.0152 -3390.7481
[47,] 1015.6224 -5543.0152
[48,] -5291.6480 1015.6224
[49,] 1968.2300 -5291.6480
[50,] -2356.6704 1968.2300
[51,] -3224.5962 -2356.6704
[52,] -2820.9169 -3224.5962
[53,] 3521.1666 -2820.9169
[54,] 6089.3849 3521.1666
[55,] 4354.4164 6089.3849
[56,] 1870.5625 4354.4164
[57,] -352.0899 1870.5625
[58,] 3800.2513 -352.0899
[59,] -577.1197 3800.2513
[60,] -2641.7950 -577.1197
[61,] 4864.7615 -2641.7950
[62,] 1363.6520 4864.7615
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 2680.0724 2048.2858
2 2683.1066 2680.0724
3 4729.8451 2683.1066
4 676.9812 4729.8451
5 -941.3230 676.9812
6 -3705.1448 -941.3230
7 -2374.7091 -3705.1448
8 -2643.8100 -2374.7091
9 1517.7230 -2643.8100
10 1990.0677 1517.7230
11 -2754.0450 1990.0677
12 1164.8515 -2754.0450
13 -1140.9054 1164.8515
14 685.2247 -1140.9054
15 180.6430 685.2247
16 1043.4604 180.6430
17 1106.3550 1043.4604
18 -1347.6899 1106.3550
19 -1409.8127 -1347.6899
20 -3705.6583 -1409.8127
21 2502.8590 -3705.6583
22 1963.7294 2502.8590
23 1610.6989 1963.7294
24 3631.8629 1610.6989
25 -1828.0623 3631.8629
26 -3816.1824 -1828.0623
27 -2507.4480 -3816.1824
28 4172.0927 -2507.4480
29 -4489.0994 4172.0927
30 -279.1436 -4489.0994
31 -2628.6567 -279.1436
32 6654.1173 -2628.6567
33 -277.7440 6654.1173
34 -2211.0332 -277.7440
35 704.8434 -2211.0332
36 1088.4428 704.8434
37 -6544.0962 1088.4428
38 1440.8696 -6544.0962
39 821.5561 1440.8696
40 -3071.6174 821.5561
41 802.9009 -3071.6174
42 -757.4066 802.9009
43 2058.7621 -757.4066
44 -2175.2115 2058.7621
45 -3390.7481 -2175.2115
46 -5543.0152 -3390.7481
47 1015.6224 -5543.0152
48 -5291.6480 1015.6224
49 1968.2300 -5291.6480
50 -2356.6704 1968.2300
51 -3224.5962 -2356.6704
52 -2820.9169 -3224.5962
53 3521.1666 -2820.9169
54 6089.3849 3521.1666
55 4354.4164 6089.3849
56 1870.5625 4354.4164
57 -352.0899 1870.5625
58 3800.2513 -352.0899
59 -577.1197 3800.2513
60 -2641.7950 -577.1197
61 4864.7615 -2641.7950
62 1363.6520 4864.7615
> 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/7w14i1259607208.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/87c6f1259607208.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/9197d1259607208.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/www/html/rcomp/tmp/10hnf91259607208.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
null device
1
>
> #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$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/11u4sk1259607209.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/124pd31259607209.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/13xkpg1259607209.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/14l5bn1259607209.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/15ng9h1259607209.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/16yivi1259607209.tab")
+ }
> system("convert tmp/1s39m1259607208.ps tmp/1s39m1259607208.png")
> system("convert tmp/26w2l1259607208.ps tmp/26w2l1259607208.png")
> system("convert tmp/3g5621259607208.ps tmp/3g5621259607208.png")
> system("convert tmp/4sok91259607208.ps tmp/4sok91259607208.png")
> system("convert tmp/5e54r1259607208.ps tmp/5e54r1259607208.png")
> system("convert tmp/6gf0a1259607208.ps tmp/6gf0a1259607208.png")
> system("convert tmp/7w14i1259607208.ps tmp/7w14i1259607208.png")
> system("convert tmp/87c6f1259607208.ps tmp/87c6f1259607208.png")
> system("convert tmp/9197d1259607208.ps tmp/9197d1259607208.png")
> system("convert tmp/10hnf91259607208.ps tmp/10hnf91259607208.png")
>
>
> proc.time()
user system elapsed
2.439 1.555 3.476