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*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: Thu, 02 Dec 2010 22:52:33 +0000
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2.htm/, Retrieved Thu, 02 Dec 2010 23:50:40 +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/2010/Dec/02/t12913302288v0tyc4n66wwhj2.htm/},
    year = {2010},
}
@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 = {2010},
    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 «
9 41 38 13 12 14 12 53 32 9 39 32 16 11 18 11 83 51 9 30 35 19 15 11 14 66 42 9 31 33 15 6 12 12 67 41 9 34 37 14 13 16 21 76 46 9 35 29 13 10 18 12 78 47 9 39 31 19 12 14 22 53 37 9 34 36 15 14 14 11 80 49 9 36 35 14 12 15 10 74 45 9 37 38 15 9 15 13 76 47 9 38 31 16 10 17 10 79 49 9 36 34 16 12 19 8 54 33 9 38 35 16 12 10 15 67 42 9 39 38 16 11 16 14 54 33 9 33 37 17 15 18 10 87 53 9 32 33 15 12 14 14 58 36 9 36 32 15 10 14 14 75 45 9 38 38 20 12 17 11 88 54 9 39 38 18 11 14 10 64 41 9 32 32 16 12 16 13 57 36 9 32 33 16 11 18 9.5 66 41 9 31 31 16 12 11 14 68 44 9 39 38 19 13 14 12 54 33 9 37 39 16 11 12 14 56 37 9 39 32 17 12 17 11 86 52 9 41 32 17 13 9 9 80 47 9 36 35 16 10 16 11 76 43 9 33 37 15 14 14 15 69 44 9 33 33 16 12 15 14 78 45 9 34 33 14 10 11 13 67 44 9 31 31 15 12 16 9 80 49 9 27 32 12 8 13 15 54 33 9 37 31 14 10 17 10 71 43 9 34 37 16 12 15 11 84 54 9 34 30 14 12 14 13 74 42 9 32 33 10 7 16 8 71 44 9 29 31 10 9 9 20 63 37 9 36 33 14 12 15 12 71 43 9 29 31 etc...
 
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 time16 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Learning[t] = + 4.00445406989737 + 0.161768138570369month[t] + 0.0339720452340411Connected[t] + 0.0426648655196235Separate[t] + 0.553914374083271Software[t] + 0.0693843908517855Happiness[t] -0.0309724601101621Depression[t] + 0.0210589104920521Belonging[t] -0.0218367544310276Belonging_Final[t] -0.00651732044274797t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)4.004454069897373.8937441.02840.3047250.152362
month0.1617681385703690.4087380.39580.6926040.346302
Connected0.03397204523404110.0346750.97970.3281470.164074
Separate0.04266486551962350.0351961.21220.2265580.113279
Software0.5539143740832710.05466110.133700
Happiness0.06938439085178550.0581021.19420.2335220.116761
Depression-0.03097246011016210.042456-0.72950.4663530.233176
Belonging0.02105891049205210.0379790.55450.579730.289865
Belonging_Final-0.02183675443102760.056419-0.3870.6990470.349524
t-0.006517320442747970.004332-1.50430.133740.06687


Multiple Linear Regression - Regression Statistics
Multiple R0.667804237836336
R-squared0.445962500072170
Adjusted R-squared0.426331250074727
F-TEST (value)22.7169691247506
F-TEST (DF numerator)9
F-TEST (DF denominator)254
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation1.86017625008154
Sum Squared Residuals878.904943067328


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
11316.131999294817-3.13199929481699
21615.7730133207950.226986679205006
31917.06432088135921.93567911864081
41512.1954414843572.80455851564301
51416.4180322249668-2.41803222496677
61314.8802268925994-1.88022689259937
71915.30738884979883.69261115020122
81517.0994109702753-2.09941097027535
91416.0716945323483-2.07169453234826
101514.47092766324020.529072336759826
111615.00483208812550.995167911874469
121616.1898230324591-0.189823032459148
131615.52988297608430.47011702391567
141615.50146168205470.498538317945331
151717.9849723007825-0.984972300782522
161515.4711693679876-0.471169367987593
171514.61151730328050.388482696719519
182016.41506761399343.58493238600663
191815.48989120805032.51010879194969
201615.55111755201870.448882447981341
211615.36086953737470.639130462625267
221615.14050556597480.859494434025239
231916.47381068475322.52618931524677
241615.08824249253160.911757507468418
251716.14898491088840.851015089111614
261716.25402615760590.745973842394144
271614.97075727680001.02924272319996
281516.7314032980079-1.73140329800789
291615.71444805827950.28555194172051
301414.1776976706257-0.177697670625716
311515.7271570905493-0.727157090549255
321212.8196274232436-0.81962742324364
331414.7900282358008-0.790028235800783
341615.90923301678180.0907669832181634
351415.5241842748814-1.52418427488142
361012.9949264320293-2.99492643202928
371013.0360177328080-3.03601773280804
381415.7159143656349-1.71591436563490
391614.51893224043911.48106775956085
401614.46397400331251.53602599668751
411614.69226143879911.30773856120088
421415.6917393515645-1.69173935156446
432017.42399040785732.57600959214275
441414.1268333106255-0.126833310625486
451414.4277755307962-0.427775530796168
461115.4769010866658-4.47690108666582
471416.5016700566974-2.50167005669743
481515.0872733557269-0.087273355726934
491615.43449868155980.565501318440216
501415.5957515567831-1.59575155678312
511616.9470055618408-0.947005561840803
521414.1029056640276-0.102905664027613
531214.9814432966391-2.98144329663915
541615.7857932992670.214206700732997
55911.3563715377051-2.35637153770508
561412.33493451389981.66506548610016
571615.79458143180020.205418568199844
581615.42094699845460.579053001545421
591515.0830124726959-0.0830124726959017
601614.15126792463561.84873207536441
611211.50696101907350.493038980926456
621615.61401880338330.385981196616663
631616.4810046021701-0.481004602170093
641414.6386116076605-0.638611607660451
651615.21606649800860.7839335019914
661716.12835949642960.871640503570416
671816.36598102858421.63401897141582
681814.54606520960843.45393479039163
691215.9859557929281-3.98595579292812
701615.72358968010840.276410319891618
711013.4364628729273-3.43646287292727
721414.9824764129632-0.982476412963164
731817.01588301218050.984116987819492
741817.24548809358730.754511906412746
751615.32572059802380.674279401976158
761713.57575201879013.42424798120991
771616.4687902994353-0.468790299435257
781614.55221583323521.44778416676477
791315.2614002582591-2.26140025825906
801615.19645256229850.803547437701546
811615.75744966677730.242550333222654
821615.77685169303720.223148306962762
831515.7298773413515-0.729877341351537
841514.92997023040010.0700297695999293
851614.21494342275451.78505657724555
861414.2366309572854-0.236630957285364
871615.40941707492330.590582925076748
881614.90002720382131.09997279617871
891514.55752438751500.442475612484963
901213.9195769686057-1.91957696860565
911716.78002268138110.219977318618857
921615.86296481876890.137035181231110
931515.130179843395-0.130179843395007
941315.0948418111599-2.09484181115993
951614.83081725072941.16918274927061
961615.79873323490230.201266765097668
971613.75560587896972.24439412103031
981615.83442676297320.165573237026833
991414.4661328340413-0.466132834041305
1001617.0397108174705-1.03971081747049
1011614.69888001762821.30111998237180
1022017.46065492805902.53934507194103
1031514.22090689148290.77909310851712
1041615.00493246408790.995067535912096
1051314.8816285614617-1.88162856146174
1061715.70608292130381.29391707869617
1071615.72994697250300.270053027497047
1081614.37341216152491.62658783847514
1091212.3059825583899-0.305982558389886
1101615.28361706323190.716382936768055
1111616.0107716671885-0.0107716671884995
1121715.03508126417861.96491873582139
1131314.5406112403526-1.54061124035262
1141214.5772750204350-2.57727502043505
1151816.14991580805401.85008419194603
1161415.8490205615627-1.84902056156272
1171413.17143741370320.82856258629681
1181314.7890480129649-1.78904801296490
1191615.52149471036400.478505289635981
1201314.4173866932526-1.41738669325258
1211615.37326484034760.626735159652424
1221315.8239894208261-2.82398942082606
1231616.8206727627472-0.820672762747186
1241515.8151943614052-0.815194361405174
1251616.7758864663847-0.775886466384696
1261514.65631769558030.343682304419720
1271715.51354584467651.48645415532348
1281513.95619058709241.04380941290757
1291214.6649696205487-2.66496962054875
1301613.94841252720742.05158747279264
1311013.6993457863953-3.69934578639529
1321613.47873264914812.52126735085192
1331214.1171191044060-2.11711910440598
1341415.4969825827167-1.49698258271669
1351515.0228514514540-0.0228514514539678
1361312.07828353730440.921716462695573
1371514.41797520628360.582024793716389
1381113.4148843246345-2.41488432463447
1391212.9615388133991-0.961538813399098
1401113.3294291078386-2.32942910783858
1411612.81982867301833.18017132698169
1421513.61147651816381.38852348183617
1431716.76473616182030.235263838179739
1441614.09726648148351.90273351851650
1451013.2326063570416-3.23260635704162
1461815.42318082200582.57681917799422
1471314.8643149057299-1.86431490572987
1481614.78110400975751.21889599024249
1491312.75937389386590.240626106134064
1501012.8479456212172-2.8479456212172
1511515.8571245856987-0.85712458569868
1521613.82432036865652.17567963134345
1531611.8177905401794.18220945982101
1541412.17962526706481.8203747329352
1551012.3603674449609-2.3603674449609
1561716.35639685260250.643603147397474
1571311.63995927610471.36004072389525
1581513.760670973811.23932902619001
1591614.47778380013721.52221619986284
1601212.6712686826820-0.671268682682037
1611312.55015839308360.449841606916437
1621312.69518566592350.304814334076526
1631212.5325265824158-0.532526582415784
1641716.29443654998990.705563450010119
1651513.78026949660191.21973050339809
1661011.6960484317299-1.69604843172991
1671414.4098138706111-0.409813870611069
1681114.2824014929904-3.28240149299045
1691314.8696564507497-1.86965645074970
1701614.52772562337951.4722743766205
1711210.57815969722001.42184030277997
1721615.40539571243870.594604287561291
1731213.9507326026571-1.95073260265711
174911.4327559786395-2.43275597863949
1751214.9708875013237-2.97088750132369
1761514.61531181533650.384688184663523
1771212.3484847331071-0.348484733107104
1781212.7410235452396-0.741023545239609
1791413.84825693293810.151743067061868
1801213.4363825724819-1.43638257248190
1811615.05742255122530.94257744877469
1821111.5290900782481-0.52909007824815
1831916.70239346640272.29760653359726
1841515.1861080347248-0.186108034724758
185814.6098477634635-6.60984776346354
1861614.79487542842621.20512457157383
1871714.48896780864662.51103219135342
1881212.4492788886035-0.449278888603544
1891111.5258253233485-0.525825323348466
1901110.48399194092270.51600805907726
1911414.7297291026958-0.72972910269576
1921615.45734086060360.542659139396387
193129.794949979580532.20505002041947
1941614.05823760705391.94176239294607
1951313.6671267744826-0.667126774482572
1961515.0059615481752-0.00596154817517691
1971612.96127564877993.03872435122008
1981615.02169595069260.978304049307385
1991412.46549516896531.53450483103466
2001614.53603487989801.46396512010202
2011614.01017732156791.98982267843206
2021413.35051464494000.64948535505996
2031113.4248894641780-2.42488946417804
2041214.4629453484512-2.46294534845120
2051512.72818073292342.27181926707665
2061514.43920770290540.560792297094569
2071614.48419583357701.51580416642298
2081614.86391748317791.13608251682205
2091113.5735507320522-2.57355073205221
2101513.93299163421961.06700836578037
2111214.1909393598993-2.19093935989935
2121215.7003657756719-3.7003657756719
2131514.09847214845650.90152785154354
2141512.08980395457622.9101960454238
2151614.48611736758141.51388263241863
2161413.04479115557020.955208844429784
2171714.57038470360082.42961529639919
2181413.88987696130980.110123038690205
2191311.87634071637701.12365928362303
2201515.0824598206262-0.0824598206262444
2211314.5750556822787-1.57505568227875
2221413.98603322779790.0139667722021436
2231514.18660326089680.813396739103202
2241213.0451003628764-1.04510036287638
2251312.52779271327570.472207286724271
226811.6960459918855-3.69604599188549
2271413.65619932870260.34380067129741
2281412.90007169960871.09992830039132
2291112.1551096302894-1.15510963028936
2301212.8141987020800-0.814198702080019
2311311.19279847494691.80720152505309
2321013.1324013386614-3.13240133866138
2331611.32387242147464.67612757852538
2341815.70166237527842.29833762472164
2351313.6986247386433-0.698624738643332
2361113.1953213217862-2.19532132178623
237410.9144168771812-6.91441687718123
2381314.0863865432717-1.08638654327175
2391614.11144460244901.88855539755096
2401011.5810420842532-1.58104208425324
2411212.1457895056583-0.145789505658296
2421213.3223330284657-1.32233302846566
243108.801955081847951.19804491815205
2441310.96759703967272.03240296032730
2451513.48251442803701.51748557196297
2461211.77011759791040.229882402089584
2471412.67016620458441.32983379541564
2481012.2934478887145-2.29344788871453
2491210.60140736630471.39859263369527
2501211.50458606214790.495413937852056
2511111.6933270811220-0.693327081122031
2521011.4970254698553-1.49702546985534
2531211.22777229258040.772227707419619
2541612.63302946348683.36697053651322
2551213.1033064447535-1.10330644475347
2561413.61151012685120.388489873148829
2571614.13802203852431.86197796147568
2581411.45129652044112.54870347955891
2591313.9883658481621-0.988365848162086
26049.27855351815033-5.27855351815033
2611513.49081781415331.50918218584669
2621114.7054478781160-3.70544787811602
2631111.1003815456158-0.100381545615756
2641412.57599843794711.42400156205287


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
130.3098076562868170.6196153125736340.690192343713183
140.29824588950840.59649177901680.7017541104916
150.1808806456540230.3617612913080450.819119354345977
160.1379595279697350.2759190559394700.862040472030265
170.1437295955000730.2874591910001460.856270404499927
180.2956726119172760.5913452238345510.704327388082725
190.2459530517545680.4919061035091360.754046948245432
200.1975315826423510.3950631652847020.802468417357649
210.1546385984340600.3092771968681210.84536140156594
220.1811797940705880.3623595881411760.818820205929412
230.2923707220197940.5847414440395870.707629277980206
240.4135630532472670.8271261064945330.586436946752734
250.3438715144549000.6877430289097990.6561284855451
260.2927453957228810.5854907914457630.707254604277119
270.2802750084189160.5605500168378320.719724991581084
280.3963794298911480.7927588597822950.603620570108852
290.3427054950612250.685410990122450.657294504938775
300.4535908923182430.9071817846364850.546409107681757
310.40982030423140.81964060846280.5901796957686
320.3797004077828050.759400815565610.620299592217195
330.3621991750907390.7243983501814790.637800824909261
340.3230614192767070.6461228385534140.676938580723293
350.277419371141340.554838742282680.72258062885866
360.4125993740547530.8251987481095070.587400625945247
370.4404867410818030.8809734821636060.559513258918197
380.4147512409377350.829502481875470.585248759062265
390.4589965817755780.9179931635511550.541003418224423
400.4380772810874120.8761545621748240.561922718912588
410.3976066324475260.7952132648950520.602393367552474
420.3570110205573620.7140220411147240.642988979442638
430.3758033239779790.7516066479559580.624196676022021
440.326219195936970.652438391873940.67378080406303
450.2972285976381080.5944571952762170.702771402361892
460.4777675767147070.9555351534294140.522232423285293
470.5669830094703380.8660339810593240.433016990529662
480.5236943455500820.9526113088998360.476305654449918
490.5470906284513130.9058187430973740.452909371548687
500.5197959541422480.9604080917155050.480204045857752
510.47436189325660.94872378651320.5256381067434
520.4323254143523730.8646508287047470.567674585647627
530.4325852567479160.8651705134958310.567414743252084
540.3893686754559090.7787373509118170.610631324544092
550.3778085137905900.7556170275811810.622191486209410
560.3735942079729920.7471884159459830.626405792027008
570.3328522754056840.6657045508113690.667147724594316
580.3129807678178560.6259615356357120.687019232182144
590.2817261083627020.5634522167254030.718273891637298
600.3015549681005970.6031099362011950.698445031899403
610.2767868351991140.5535736703982270.723213164800886
620.2505081895412210.5010163790824420.749491810458779
630.2206830002329850.441366000465970.779316999767015
640.1917082812773360.3834165625546720.808291718722664
650.169368195676740.338736391353480.83063180432326
660.1437839319250170.2875678638500340.856216068074983
670.1245280372776480.2490560745552960.875471962722352
680.1507141268579970.3014282537159930.849285873142003
690.3438886689519220.6877773379038450.656111331048078
700.3056432567799260.6112865135598510.694356743220074
710.4568775855796580.9137551711593160.543122414420342
720.4199286978973710.8398573957947430.580071302102628
730.4102502676853240.8205005353706470.589749732314676
740.3894757878510030.7789515757020050.610524212148997
750.3530671532661330.7061343065322660.646932846733867
760.4024786615460270.8049573230920540.597521338453973
770.3675803013216660.7351606026433330.632419698678334
780.3389469117914920.6778938235829830.661053088208508
790.366387166817080.732774333634160.63361283318292
800.3344406073137530.6688812146275060.665559392686247
810.302660280086570.605320560173140.69733971991343
820.2687121813871270.5374243627742540.731287818612873
830.2434651651268960.4869303302537920.756534834873104
840.2133951700540510.4267903401081020.786604829945949
850.2044737233266680.4089474466533370.795526276673332
860.1775890557445890.3551781114891770.822410944255412
870.1551740734164490.3103481468328970.844825926583551
880.1411343802845150.282268760569030.858865619715485
890.1209886343409550.241977268681910.879011365659045
900.1202551592357210.2405103184714420.879744840764279
910.1024791541696440.2049583083392890.897520845830356
920.08914610202308270.1782922040461650.910853897976917
930.07551078691453510.1510215738290700.924489213085465
940.0795327042145030.1590654084290060.920467295785497
950.07183277807612810.1436655561522560.928167221923872
960.05977188118396490.1195437623679300.940228118816035
970.06365130835156190.1273026167031240.936348691648438
980.0525729225895720.1051458451791440.947427077410428
990.04334852788316510.08669705576633030.956651472116835
1000.03753924089161140.07507848178322280.962460759108389
1010.03299041089105700.06598082178211390.967009589108943
1020.03983937967767810.07967875935535630.960160620322322
1030.03354907896288140.06709815792576290.966450921037119
1040.03052017460761840.06104034921523670.969479825392382
1050.03570514471445690.07141028942891390.964294855285543
1060.03126503917001540.06253007834003080.968734960829985
1070.02530967683720120.05061935367440240.97469032316280
1080.02460496769295920.04920993538591850.97539503230704
1090.01984064776979050.03968129553958110.98015935223021
1100.01624007140688590.03248014281377180.983759928593114
1110.01281132361245510.02562264722491020.987188676387545
1120.01322590309771730.02645180619543460.986774096902283
1130.01212227737624830.02424455475249660.987877722623752
1140.01698041891064400.03396083782128810.983019581089356
1150.01619275206669670.03238550413339330.983807247933303
1160.01548673497034390.03097346994068780.984513265029656
1170.01279342485440360.02558684970880720.987206575145596
1180.01269348730057230.02538697460114460.987306512699428
1190.01012742435129590.02025484870259180.989872575648704
1200.008949415656714350.01789883131342870.991050584343286
1210.007135534773741650.01427106954748330.992864465226258
1220.01030091704980250.02060183409960510.989699082950197
1230.008418225579054080.01683645115810820.991581774420946
1240.00701495859353220.01402991718706440.992985041406468
1250.005612308142537740.01122461628507550.994387691857462
1260.004373091948813690.008746183897627380.995626908051186
1270.004114882308206260.008229764616412510.995885117691794
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1300.005208333436494140.01041666687298830.994791666563506
1310.01065716548059780.02131433096119570.989342834519402
1320.01316378374194320.02632756748388640.986836216258057
1330.01405986139114440.02811972278228880.985940138608856
1340.01302663520592840.02605327041185670.986973364794072
1350.01026830039202240.02053660078404480.989731699607978
1360.008693013370513360.01738602674102670.991306986629487
1370.006919306337646240.01383861267529250.993080693662354
1380.008731244146019830.01746248829203970.99126875585398
1390.007445631284600020.01489126256920000.9925543687154
1400.009115021525194380.01823004305038880.990884978474806
1410.01492449788796860.02984899577593710.985075502112031
1420.01428802690950940.02857605381901880.98571197309049
1430.0117875191910280.0235750383820560.988212480808972
1440.01174247362107150.02348494724214290.988257526378929
1450.02085450788042710.04170901576085420.979145492119573
1460.02489666808312260.04979333616624520.975103331916877
1470.02642358234086040.05284716468172090.97357641765914
1480.02308855780006960.04617711560013920.97691144219993
1490.01857537741227570.03715075482455140.981424622587724
1500.02658264134176060.05316528268352120.97341735865824
1510.02268517783066090.04537035566132190.97731482216934
1520.02527519662139750.0505503932427950.974724803378602
1530.05101438518797810.1020287703759560.948985614812022
1540.04999733427735270.09999466855470550.950002665722647
1550.05905625823206460.1181125164641290.940943741767935
1560.05005294472971880.1001058894594380.94994705527028
1570.04423785787402460.08847571574804920.955762142125975
1580.03797772267168380.07595544534336760.962022277328316
1590.03675453814585680.07350907629171350.963245461854143
1600.03105938517441510.06211877034883010.968940614825585
1610.02517503779155370.05035007558310750.974824962208446
1620.02033153230117010.04066306460234010.97966846769883
1630.01688684725347040.03377369450694070.98311315274653
1640.01408506905374590.02817013810749170.985914930946254
1650.01203776963979230.02407553927958470.987962230360208
1660.01271903993476120.02543807986952230.987280960065239
1670.01015662610664360.02031325221328720.989843373893356
1680.01572539382854290.03145078765708580.984274606171457
1690.01608870079771700.03217740159543410.983911299202283
1700.01500082693420250.03000165386840490.984999173065798
1710.01358950266183260.02717900532366530.986410497338167
1720.01083942079672320.02167884159344640.989160579203277
1730.01084416257913830.02168832515827670.989155837420862
1740.0125964595233810.0251929190467620.987403540476619
1750.01663112030229620.03326224060459240.983368879697704
1760.01324807451995960.02649614903991920.98675192548004
1770.01045292098781340.02090584197562670.989547079012187
1780.00876859830944090.01753719661888180.99123140169056
1790.006752180994416130.01350436198883230.993247819005584
1800.005952275777861520.01190455155572300.994047724222138
1810.004820212552379060.009640425104758130.995179787447621
1820.003708346311680270.007416692623360550.99629165368832
1830.003986923990583540.007973847981167090.996013076009416
1840.003009610086656780.006019220173313550.996990389913343
1850.08534147718383820.1706829543676760.914658522816162
1860.07602153353057050.1520430670611410.92397846646943
1870.08374139238210050.1674827847642010.9162586076179
1880.070040319376870.140080638753740.92995968062313
1890.06228759675132680.1245751935026540.937712403248673
1900.05174481009591090.1034896201918220.94825518990409
1910.04773149933135870.09546299866271740.952268500668641
1920.03922575193982040.07845150387964080.96077424806018
1930.04002435218004980.08004870436009970.95997564781995
1940.04030470811104050.0806094162220810.95969529188896
1950.03470060814855360.06940121629710730.965299391851446
1960.02776615183788430.05553230367576870.972233848162116
1970.03510520148723130.07021040297446260.964894798512769
1980.02850141846129450.05700283692258910.971498581538705
1990.02553144438275360.05106288876550730.974468555617246
2000.02181961012182390.04363922024364770.978180389878176
2010.02032694564840670.04065389129681340.979673054351593
2020.01708995824873890.03417991649747780.98291004175126
2030.02246438479350130.04492876958700260.977535615206499
2040.02615488779815590.05230977559631180.973845112201844
2050.02732199565107280.05464399130214560.972678004348927
2060.02125701190681450.04251402381362910.978742988093185
2070.02026531063659320.04053062127318640.979734689363407
2080.01646882596882030.03293765193764050.98353117403118
2090.01832729166946500.03665458333893000.981672708330535
2100.0145010037992430.0290020075984860.985498996200757
2110.01661828671498880.03323657342997770.983381713285011
2120.02709009545871400.05418019091742800.972909904541286
2130.02091311624195860.04182623248391720.979086883758041
2140.0271139334948890.0542278669897780.97288606650511
2150.02287254941602440.04574509883204890.977127450583976
2160.01753197827981570.03506395655963140.982468021720184
2170.01925595938692880.03851191877385770.980744040613071
2180.01609807138193020.03219614276386040.98390192861807
2190.01487379328870740.02974758657741490.985126206711293
2200.01124522826294190.02249045652588380.988754771737058
2210.009261827372234250.01852365474446850.990738172627766
2220.00656562750584310.01313125501168620.993434372494157
2230.004982036278469820.009964072556939640.99501796372153
2240.003705866237019940.007411732474039890.99629413376298
2250.003129105724860350.006258211449720710.99687089427514
2260.00730802383345710.01461604766691420.992691976166543
2270.00565658697248560.01131317394497120.994343413027514
2280.004130035904279820.008260071808559630.99586996409572
2290.002900956262569100.005801912525138210.997099043737431
2300.002100065268682330.004200130537364660.997899934731318
2310.001874350061501380.003748700123002760.998125649938499
2320.004452684319662010.008905368639324010.995547315680338
2330.01865136071435560.03730272142871120.981348639285644
2340.02870562366639210.05741124733278420.971294376333608
2350.02024081568753380.04048163137506760.979759184312466
2360.01663851784656370.03327703569312750.983361482153436
2370.1588115271455990.3176230542911990.8411884728544
2380.1220536595929060.2441073191858110.877946340407095
2390.09960486963203870.1992097392640770.900395130367961
2400.07508577164683040.1501715432936610.92491422835317
2410.06464264177535950.1292852835507190.93535735822464
2420.1024906555532890.2049813111065770.897509344446711
2430.0814917208328990.1629834416657980.9185082791671
2440.08426826261253050.1685365252250610.91573173738747
2450.06658711930415680.1331742386083140.933412880695843
2460.05443568400435430.1088713680087090.945564315995646
2470.03299075440982120.06598150881964240.967009245590179
2480.02663916407596250.0532783281519250.973360835924038
2490.02249135767596280.04498271535192570.977508642324037
2500.06644733884633560.1328946776926710.933552661153664
2510.04869724832382570.09739449664765150.951302751676174


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level160.0669456066945607NOK
5% type I error level980.410041841004184NOK
10% type I error level1330.556485355648536NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/105gcb1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/105gcb1291330335.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/1yxxh1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/1yxxh1291330335.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/2yxxh1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/2yxxh1291330335.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/39pfk1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/39pfk1291330335.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/49pfk1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/49pfk1291330335.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/59pfk1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/59pfk1291330335.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/6jyen1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/6jyen1291330335.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/7cpdq1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/7cpdq1291330335.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/8cpdq1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/8cpdq1291330335.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/9cpdq1291330335.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/02/t12913302288v0tyc4n66wwhj2/9cpdq1291330335.ps (open in new window)


 
Parameters (Session):
par1 = 4 ; par2 = Do not include Seasonal Dummies ; par3 = Linear Trend ;
 
Parameters (R input):
par1 = 4 ; par2 = Do not include Seasonal 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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