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Type 'q()' to quit R. > x <- array(list(2350.44 + ,10892.76 + ,10540.05 + ,10570 + ,-4.9 + ,-3 + ,1.6 + ,3.38 + ,2440.25 + ,10631.92 + ,10601.61 + ,10297 + ,-4 + ,-1 + ,1.3 + ,3.35 + ,2408.64 + ,11441.08 + ,10323.73 + ,10635 + ,-3.1 + ,-3 + ,1.1 + ,3.22 + ,2472.81 + ,11950.95 + ,10418.4 + ,10872 + ,-1.3 + ,-4 + ,1.9 + ,3.06 + ,2407.6 + ,11037.54 + ,10092.96 + ,10296 + ,0 + ,-6 + ,2.6 + ,3.17 + ,2454.62 + ,11527.72 + ,10364.91 + ,10383 + ,-0.4 + ,0 + ,2.3 + ,3.19 + ,2448.05 + ,11383.89 + ,10152.09 + ,10431 + ,3 + ,-4 + ,2.4 + ,3.35 + ,2497.84 + ,10989.34 + ,10032.8 + ,10574 + ,0.4 + ,-2 + ,2.2 + ,3.24 + ,2645.64 + ,11079.42 + ,10204.59 + ,10653 + ,1.2 + ,-2 + ,2 + ,3.23 + ,2756.76 + ,11028.93 + ,10001.6 + ,10805 + ,0.6 + ,-6 + ,2.9 + ,3.31 + ,2849.27 + ,10973 + ,10411.75 + ,10872 + ,-1.3 + ,-7 + ,2.6 + ,3.25 + ,2921.44 + ,11068.05 + ,10673.38 + ,10625 + ,-3.2 + ,-6 + ,2.3 + ,3.2 + ,2981.85 + ,11394.84 + ,10539.51 + ,10407 + ,-1.8 + ,-6 + ,2.3 + ,3.1 + ,3080.58 + ,11545.71 + ,10723.78 + 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,18001.37 + ,13480.21 + ,15713 + ,8.5 + ,1 + ,1.3 + ,4.21 + ,4562.84 + ,17974.77 + ,13673.28 + ,15594 + ,7.2 + ,-1 + ,1.4 + ,4.39 + ,4202.52 + ,16460.95 + ,13239.71 + ,15683 + ,5 + ,-2 + ,1.1 + ,4.33 + ,4296.49 + ,16235.39 + ,13557.69 + ,16438 + ,4.7 + ,-2 + ,1.5 + ,4.27 + ,4435.23 + ,16903.36 + ,13901.28 + ,17032 + ,2.3 + ,-1 + ,2.2 + ,4.29 + ,4105.18 + ,15543.76 + ,13200.58 + ,17696 + ,2.4 + ,-8 + ,2.9 + ,4.18 + ,4116.68 + ,15532.18 + ,13406.97 + ,17745 + ,0.1 + ,-4 + ,3.1 + ,4.14 + ,3844.49 + ,13731.31 + ,12538.12 + ,19394 + ,1.9 + ,-6 + ,3.5 + ,4.23 + ,3720.98 + ,13547.84 + ,12419.57 + ,20148 + ,1.7 + ,-3 + ,3.6 + ,4.07 + ,3674.4 + ,12602.93 + ,12193.88 + ,20108 + ,2 + ,-3 + ,4.4 + ,3.74 + ,3857.62 + ,13357.7 + ,12656.63 + ,18584 + ,-1.9 + ,-7 + ,4.2 + ,3.66 + ,3801.06 + ,13995.33 + ,12812.48 + ,18441 + ,0.5 + ,-9 + ,5.2 + ,3.92 + ,3504.37 + ,14084.6 + ,12056.67 + ,18391 + ,-1.3 + ,-11 + ,5.8 + ,4.45 + ,3032.6 + ,13168.91 + ,11322.38 + ,19178 + ,-3.3 + ,-13 + ,5.9 + ,4.92 + ,3047.03 + ,12989.35 + ,11530.75 + ,18079 + ,-2.8 + ,-11 + ,5.4 + ,4.9 + ,2962.34 + ,12123.53 + ,11114.08 + ,18483 + ,-8 + ,-9 + ,5.5 + ,4.54 + ,2197.82 + ,9117.03 + ,9181.73 + ,19644 + ,-13.9 + ,-17 + ,4.7 + ,4.53 + ,2014.45 + ,8531.45 + ,8614.55 + ,19195 + ,-21.9 + ,-22 + ,3.1 + ,4.14 + ,1862.83 + ,8460.94 + ,8595.56 + ,19650 + ,-28.8 + ,-25 + ,2.6 + ,4.05 + ,1905.41 + ,8331.49 + ,8396.2 + ,20830 + ,-27.6 + ,-20 + ,2.3 + ,3.92 + ,1810.99 + ,7694.78 + ,7690.5 + ,23595 + ,-31.4 + ,-24 + ,1.9 + ,3.68 + ,1670.07 + ,7764.58 + ,7235.47 + ,22937 + ,-31.8 + ,-24 + ,0.6 + ,3.35 + ,1864.44 + ,8767.96 + ,7992.12 + ,21814 + ,-29.4 + ,-22 + ,0.6 + ,3.38 + ,2052.02 + ,9304.43 + ,8398.37 + ,21928 + ,-27.6 + ,-19 + ,-0.4 + ,3.44 + ,2029.6 + ,9810.31 + ,8593 + ,21777 + ,-23.6 + ,-18 + ,-1.1 + ,3.5 + ,2070.83 + ,9691.12 + ,8679.75 + ,21383 + ,-22.8 + ,-17 + ,-1.7 + ,3.54 + ,2293.41 + ,10430.35 + ,9374.63 + ,21467 + ,-18.2 + ,-11 + ,-0.8 + ,3.52 + ,2443.27 + ,10302.87 + ,9634.97 + ,22052 + ,-17.8 + ,-11 + ,-1.2 + ,3.53 + ,2513.17 + ,10066.24 + ,9857.34 + ,22680 + ,-14.2 + ,-12 + ,-1 + ,3.55 + ,2466.92 + ,9633.83 + ,10238.83 + ,24320 + ,-8.8 + ,-10 + ,-0.1 + ,3.37 + ,2502.66 + ,10169.02 + ,10433.44 + ,24977 + ,-7.9 + ,-15 + ,0.3 + ,3.36) + ,dim=c(8 + ,72) + ,dimnames=list(c('BEL_20' + ,'Nikkei' + ,'DJ_Indust' + ,'Goudprijs' + ,'Conjunct_Seizoenzuiver' + ,'Cons_vertrouw' + ,'Alg_consumptie_index_BE' + ,'Gem_rente_kasbon_5j') + ,1:72)) > y <- array(NA,dim=c(8,72),dimnames=list(c('BEL_20','Nikkei','DJ_Indust','Goudprijs','Conjunct_Seizoenzuiver','Cons_vertrouw','Alg_consumptie_index_BE','Gem_rente_kasbon_5j'),1:72)) > for (i in 1:dim(x)[1]) + { + for (j in 1:dim(x)[2]) + { + y[i,j] <- as.numeric(x[i,j]) + } + } > par3 = 'No Linear Trend' > par2 = 'Do not include Seasonal 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 > 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 BEL_20 Nikkei DJ_Indust Goudprijs Conjunct_Seizoenzuiver Cons_vertrouw 1 2350.44 10892.76 10540.05 10570 -4.9 -3 2 2440.25 10631.92 10601.61 10297 -4.0 -1 3 2408.64 11441.08 10323.73 10635 -3.1 -3 4 2472.81 11950.95 10418.40 10872 -1.3 -4 5 2407.60 11037.54 10092.96 10296 0.0 -6 6 2454.62 11527.72 10364.91 10383 -0.4 0 7 2448.05 11383.89 10152.09 10431 3.0 -4 8 2497.84 10989.34 10032.80 10574 0.4 -2 9 2645.64 11079.42 10204.59 10653 1.2 -2 10 2756.76 11028.93 10001.60 10805 0.6 -6 11 2849.27 10973.00 10411.75 10872 -1.3 -7 12 2921.44 11068.05 10673.38 10625 -3.2 -6 13 2981.85 11394.84 10539.51 10407 -1.8 -6 14 3080.58 11545.71 10723.78 10463 -3.6 -3 15 3106.22 11809.38 10682.06 10556 -4.2 -2 16 3119.31 11395.64 10283.19 10646 -6.9 -5 17 3061.26 11082.38 10377.18 10702 -8.0 -11 18 3097.31 11402.75 10486.64 11353 -7.5 -11 19 3161.69 11716.87 10545.38 11346 -8.2 -11 20 3257.16 12204.98 10554.27 11451 -7.6 -10 21 3277.01 12986.62 10532.54 11964 -3.7 -14 22 3295.32 13392.79 10324.31 12574 -1.7 -8 23 3363.99 14368.05 10695.25 13031 -0.7 -9 24 3494.17 15650.83 10827.81 13812 0.2 -5 25 3667.03 16102.64 10872.48 14544 0.6 -1 26 3813.06 16187.64 10971.19 14931 2.2 -2 27 3917.96 16311.54 11145.65 14886 3.3 -5 28 3895.51 17232.97 11234.68 16005 5.3 -4 29 3801.06 16397.83 11333.88 17064 5.5 -6 30 3570.12 14990.31 10997.97 15168 6.3 -2 31 3701.61 15147.55 11036.89 16050 7.7 -2 32 3862.27 15786.78 11257.35 15839 6.5 -2 33 3970.10 15934.09 11533.59 15137 5.5 -2 34 4138.52 16519.44 11963.12 14954 6.9 2 35 4199.75 16101.07 12185.15 15648 5.7 1 36 4290.89 16775.08 12377.62 15305 6.9 -8 37 4443.91 17286.32 12512.89 15579 6.1 -1 38 4502.64 17741.23 12631.48 16348 4.8 1 39 4356.98 17128.37 12268.53 15928 3.7 -1 40 4591.27 17460.53 12754.80 16171 5.8 2 41 4696.96 17611.14 13407.75 15937 6.8 2 42 4621.40 18001.37 13480.21 15713 8.5 1 43 4562.84 17974.77 13673.28 15594 7.2 -1 44 4202.52 16460.95 13239.71 15683 5.0 -2 45 4296.49 16235.39 13557.69 16438 4.7 -2 46 4435.23 16903.36 13901.28 17032 2.3 -1 47 4105.18 15543.76 13200.58 17696 2.4 -8 48 4116.68 15532.18 13406.97 17745 0.1 -4 49 3844.49 13731.31 12538.12 19394 1.9 -6 50 3720.98 13547.84 12419.57 20148 1.7 -3 51 3674.40 12602.93 12193.88 20108 2.0 -3 52 3857.62 13357.70 12656.63 18584 -1.9 -7 53 3801.06 13995.33 12812.48 18441 0.5 -9 54 3504.37 14084.60 12056.67 18391 -1.3 -11 55 3032.60 13168.91 11322.38 19178 -3.3 -13 56 3047.03 12989.35 11530.75 18079 -2.8 -11 57 2962.34 12123.53 11114.08 18483 -8.0 -9 58 2197.82 9117.03 9181.73 19644 -13.9 -17 59 2014.45 8531.45 8614.55 19195 -21.9 -22 60 1862.83 8460.94 8595.56 19650 -28.8 -25 61 1905.41 8331.49 8396.20 20830 -27.6 -20 62 1810.99 7694.78 7690.50 23595 -31.4 -24 63 1670.07 7764.58 7235.47 22937 -31.8 -24 64 1864.44 8767.96 7992.12 21814 -29.4 -22 65 2052.02 9304.43 8398.37 21928 -27.6 -19 66 2029.60 9810.31 8593.00 21777 -23.6 -18 67 2070.83 9691.12 8679.75 21383 -22.8 -17 68 2293.41 10430.35 9374.63 21467 -18.2 -11 69 2443.27 10302.87 9634.97 22052 -17.8 -11 70 2513.17 10066.24 9857.34 22680 -14.2 -12 71 2466.92 9633.83 10238.83 24320 -8.8 -10 72 2502.66 10169.02 10433.44 24977 -7.9 -15 Alg_consumptie_index_BE Gem_rente_kasbon_5j 1 1.6 3.38 2 1.3 3.35 3 1.1 3.22 4 1.9 3.06 5 2.6 3.17 6 2.3 3.19 7 2.4 3.35 8 2.2 3.24 9 2.0 3.23 10 2.9 3.31 11 2.6 3.25 12 2.3 3.20 13 2.3 3.10 14 2.6 2.93 15 3.1 2.92 16 2.8 2.90 17 2.5 2.87 18 2.9 2.76 19 3.1 2.67 20 3.1 2.75 21 3.2 2.72 22 2.5 2.72 23 2.6 2.86 24 2.9 2.99 25 2.6 3.07 26 2.4 2.96 27 1.7 3.04 28 2.0 3.30 29 2.2 3.48 30 1.9 3.46 31 1.6 3.57 32 1.6 3.60 33 1.2 3.51 34 1.2 3.52 35 1.5 3.49 36 1.6 3.50 37 1.7 3.64 38 1.8 3.94 39 1.8 3.94 40 1.8 3.91 41 1.3 3.88 42 1.3 4.21 43 1.4 4.39 44 1.1 4.33 45 1.5 4.27 46 2.2 4.29 47 2.9 4.18 48 3.1 4.14 49 3.5 4.23 50 3.6 4.07 51 4.4 3.74 52 4.2 3.66 53 5.2 3.92 54 5.8 4.45 55 5.9 4.92 56 5.4 4.90 57 5.5 4.54 58 4.7 4.53 59 3.1 4.14 60 2.6 4.05 61 2.3 3.92 62 1.9 3.68 63 0.6 3.35 64 0.6 3.38 65 -0.4 3.44 66 -1.1 3.50 67 -1.7 3.54 68 -0.8 3.52 69 -1.2 3.53 70 -1.0 3.55 71 -0.1 3.37 72 0.3 3.36 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) Nikkei DJ_Indust -1.886e+03 1.918e-01 2.883e-01 Goudprijs Conjunct_Seizoenzuiver Cons_vertrouw 1.477e-02 -9.983e+00 -2.508e+00 Alg_consumptie_index_BE Gem_rente_kasbon_5j 3.396e+01 -2.557e+02 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -402.63 -126.02 7.44 123.86 262.81 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) -1.886e+03 2.702e+02 -6.980 2.02e-09 *** Nikkei 1.918e-01 1.495e-02 12.826 < 2e-16 *** DJ_Indust 2.883e-01 3.319e-02 8.686 2.01e-12 *** Goudprijs 1.477e-02 8.199e-03 1.802 0.0763 . Conjunct_Seizoenzuiver -9.983e+00 6.033e+00 -1.655 0.1029 Cons_vertrouw -2.508e+00 7.649e+00 -0.328 0.7441 Alg_consumptie_index_BE 3.396e+01 1.724e+01 1.969 0.0532 . Gem_rente_kasbon_5j -2.557e+02 5.619e+01 -4.551 2.45e-05 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 160.1 on 64 degrees of freedom Multiple R-squared: 0.9677, Adjusted R-squared: 0.9641 F-statistic: 273.7 on 7 and 64 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,] 0.5058541 0.988291819 0.4941459094 [2,] 0.7009749 0.598050181 0.2990250907 [3,] 0.9185313 0.162937427 0.0814687135 [4,] 0.8927598 0.214480442 0.1072402210 [5,] 0.8660782 0.267843524 0.1339217620 [6,] 0.8664803 0.267039303 0.1335196513 [7,] 0.8375413 0.324917319 0.1624586596 [8,] 0.9166633 0.166673404 0.0833367022 [9,] 0.9050493 0.189901394 0.0949506968 [10,] 0.8802318 0.239536439 0.1197682197 [11,] 0.8444991 0.311001757 0.1555008786 [12,] 0.8800631 0.239873801 0.1199369004 [13,] 0.8537381 0.292523891 0.1462619457 [14,] 0.8850713 0.229857302 0.1149286511 [15,] 0.9204767 0.159046593 0.0795232964 [16,] 0.9270636 0.145872819 0.0729364097 [17,] 0.9549976 0.090004756 0.0450023780 [18,] 0.9652589 0.069482118 0.0347410590 [19,] 0.9874513 0.025097313 0.0125486567 [20,] 0.9901481 0.019703792 0.0098518958 [21,] 0.9866579 0.026684108 0.0133420540 [22,] 0.9884751 0.023049847 0.0115249235 [23,] 0.9919375 0.016125080 0.0080625402 [24,] 0.9931542 0.013691655 0.0068458275 [25,] 0.9931002 0.013799506 0.0068997529 [26,] 0.9900011 0.019997704 0.0099988520 [27,] 0.9865799 0.026840177 0.0134200885 [28,] 0.9790220 0.041955917 0.0209779585 [29,] 0.9722265 0.055547018 0.0277735088 [30,] 0.9614006 0.077198799 0.0385993996 [31,] 0.9547835 0.090432998 0.0452164989 [32,] 0.9425011 0.114997773 0.0574988867 [33,] 0.9349967 0.130006616 0.0650033081 [34,] 0.9249851 0.150029719 0.0750148596 [35,] 0.9560449 0.087910222 0.0439551112 [36,] 0.9710690 0.057861947 0.0289309735 [37,] 0.9795759 0.040848186 0.0204240928 [38,] 0.9730742 0.053851521 0.0269257603 [39,] 0.9967080 0.006583988 0.0032919941 [40,] 0.9972003 0.005599384 0.0027996920 [41,] 0.9954777 0.009044639 0.0045223197 [42,] 0.9960781 0.007843850 0.0039219248 [43,] 0.9961583 0.007683427 0.0038417137 [44,] 0.9992866 0.001426858 0.0007134289 [45,] 0.9979998 0.004000440 0.0020002200 [46,] 0.9945378 0.010924349 0.0054621744 [47,] 0.9920447 0.015910549 0.0079552744 [48,] 0.9810246 0.037950875 0.0189754376 [49,] 0.9960579 0.007884167 0.0039420837 [50,] 0.9859927 0.028014544 0.0140072721 [51,] 0.9515035 0.096993066 0.0484965329 > postscript(file="/var/www/rcomp/tmp/1fo241291658575.ps",horizontal=F,onefile=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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/2fo241291658575.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/rcomp/tmp/3qx271291658575.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/4qx271291658575.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/5qx271291658575.ps",horizontal=F,onefile=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 = 72 Frequency = 1 1 2 3 4 5 -294.08226974 -151.44350857 -285.60239617 -402.63001921 -178.00087290 6 7 8 9 10 -278.32972929 -135.23819996 -19.77342567 72.27644805 223.23092640 11 12 13 14 15 180.59964668 143.70096836 171.65817469 123.39748123 86.10393778 16 17 18 19 20 262.80734456 213.40192557 110.11596103 60.62635082 87.31939692 21 22 23 24 25 -26.21816216 23.99681813 -168.19819246 -291.73185802 -184.55081048 26 27 28 29 30 -96.86717344 -17.67905871 -180.28262324 -122.58733262 64.36712358 31 32 33 34 35 193.74013246 167.04836990 157.94115063 119.52783066 154.38879347 36 37 38 39 40 54.40781905 108.29737665 99.57807831 166.30707385 213.92573084 41 42 43 44 45 125.22965499 56.08731171 -26.64099026 -2.56179279 -0.07786313 46 47 48 49 50 -137.39116297 -82.92491509 -159.38118970 162.34121756 58.27982658 51 52 53 54 55 150.03619545 14.96614952 -155.23842765 -158.25139313 -162.52832183 56 57 58 59 60 -135.62793009 -82.44372345 215.25972228 176.55732377 -45.22860030 61 62 63 64 65 63.69011483 158.24713379 100.61893360 -62.36195762 -21.68878135 66 67 68 69 70 -113.46199948 -27.46620424 -122.94750332 -12.20321046 61.44928422 71 72 -53.73788344 -206.14824494 > postscript(file="/var/www/rcomp/tmp/6161a1291658575.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > dum <- cbind(lag(myerror,k=1),myerror) > dum Time Series: Start = 0 End = 72 Frequency = 1 lag(myerror, k = 1) myerror 0 -294.08226974 NA 1 -151.44350857 -294.08226974 2 -285.60239617 -151.44350857 3 -402.63001921 -285.60239617 4 -178.00087290 -402.63001921 5 -278.32972929 -178.00087290 6 -135.23819996 -278.32972929 7 -19.77342567 -135.23819996 8 72.27644805 -19.77342567 9 223.23092640 72.27644805 10 180.59964668 223.23092640 11 143.70096836 180.59964668 12 171.65817469 143.70096836 13 123.39748123 171.65817469 14 86.10393778 123.39748123 15 262.80734456 86.10393778 16 213.40192557 262.80734456 17 110.11596103 213.40192557 18 60.62635082 110.11596103 19 87.31939692 60.62635082 20 -26.21816216 87.31939692 21 23.99681813 -26.21816216 22 -168.19819246 23.99681813 23 -291.73185802 -168.19819246 24 -184.55081048 -291.73185802 25 -96.86717344 -184.55081048 26 -17.67905871 -96.86717344 27 -180.28262324 -17.67905871 28 -122.58733262 -180.28262324 29 64.36712358 -122.58733262 30 193.74013246 64.36712358 31 167.04836990 193.74013246 32 157.94115063 167.04836990 33 119.52783066 157.94115063 34 154.38879347 119.52783066 35 54.40781905 154.38879347 36 108.29737665 54.40781905 37 99.57807831 108.29737665 38 166.30707385 99.57807831 39 213.92573084 166.30707385 40 125.22965499 213.92573084 41 56.08731171 125.22965499 42 -26.64099026 56.08731171 43 -2.56179279 -26.64099026 44 -0.07786313 -2.56179279 45 -137.39116297 -0.07786313 46 -82.92491509 -137.39116297 47 -159.38118970 -82.92491509 48 162.34121756 -159.38118970 49 58.27982658 162.34121756 50 150.03619545 58.27982658 51 14.96614952 150.03619545 52 -155.23842765 14.96614952 53 -158.25139313 -155.23842765 54 -162.52832183 -158.25139313 55 -135.62793009 -162.52832183 56 -82.44372345 -135.62793009 57 215.25972228 -82.44372345 58 176.55732377 215.25972228 59 -45.22860030 176.55732377 60 63.69011483 -45.22860030 61 158.24713379 63.69011483 62 100.61893360 158.24713379 63 -62.36195762 100.61893360 64 -21.68878135 -62.36195762 65 -113.46199948 -21.68878135 66 -27.46620424 -113.46199948 67 -122.94750332 -27.46620424 68 -12.20321046 -122.94750332 69 61.44928422 -12.20321046 70 -53.73788344 61.44928422 71 -206.14824494 -53.73788344 72 NA -206.14824494 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] -151.44350857 -294.08226974 [2,] -285.60239617 -151.44350857 [3,] -402.63001921 -285.60239617 [4,] -178.00087290 -402.63001921 [5,] -278.32972929 -178.00087290 [6,] -135.23819996 -278.32972929 [7,] -19.77342567 -135.23819996 [8,] 72.27644805 -19.77342567 [9,] 223.23092640 72.27644805 [10,] 180.59964668 223.23092640 [11,] 143.70096836 180.59964668 [12,] 171.65817469 143.70096836 [13,] 123.39748123 171.65817469 [14,] 86.10393778 123.39748123 [15,] 262.80734456 86.10393778 [16,] 213.40192557 262.80734456 [17,] 110.11596103 213.40192557 [18,] 60.62635082 110.11596103 [19,] 87.31939692 60.62635082 [20,] -26.21816216 87.31939692 [21,] 23.99681813 -26.21816216 [22,] -168.19819246 23.99681813 [23,] -291.73185802 -168.19819246 [24,] -184.55081048 -291.73185802 [25,] -96.86717344 -184.55081048 [26,] -17.67905871 -96.86717344 [27,] -180.28262324 -17.67905871 [28,] -122.58733262 -180.28262324 [29,] 64.36712358 -122.58733262 [30,] 193.74013246 64.36712358 [31,] 167.04836990 193.74013246 [32,] 157.94115063 167.04836990 [33,] 119.52783066 157.94115063 [34,] 154.38879347 119.52783066 [35,] 54.40781905 154.38879347 [36,] 108.29737665 54.40781905 [37,] 99.57807831 108.29737665 [38,] 166.30707385 99.57807831 [39,] 213.92573084 166.30707385 [40,] 125.22965499 213.92573084 [41,] 56.08731171 125.22965499 [42,] -26.64099026 56.08731171 [43,] -2.56179279 -26.64099026 [44,] -0.07786313 -2.56179279 [45,] -137.39116297 -0.07786313 [46,] -82.92491509 -137.39116297 [47,] -159.38118970 -82.92491509 [48,] 162.34121756 -159.38118970 [49,] 58.27982658 162.34121756 [50,] 150.03619545 58.27982658 [51,] 14.96614952 150.03619545 [52,] -155.23842765 14.96614952 [53,] -158.25139313 -155.23842765 [54,] -162.52832183 -158.25139313 [55,] -135.62793009 -162.52832183 [56,] -82.44372345 -135.62793009 [57,] 215.25972228 -82.44372345 [58,] 176.55732377 215.25972228 [59,] -45.22860030 176.55732377 [60,] 63.69011483 -45.22860030 [61,] 158.24713379 63.69011483 [62,] 100.61893360 158.24713379 [63,] -62.36195762 100.61893360 [64,] -21.68878135 -62.36195762 [65,] -113.46199948 -21.68878135 [66,] -27.46620424 -113.46199948 [67,] -122.94750332 -27.46620424 [68,] -12.20321046 -122.94750332 [69,] 61.44928422 -12.20321046 [70,] -53.73788344 61.44928422 [71,] -206.14824494 -53.73788344 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 -151.44350857 -294.08226974 2 -285.60239617 -151.44350857 3 -402.63001921 -285.60239617 4 -178.00087290 -402.63001921 5 -278.32972929 -178.00087290 6 -135.23819996 -278.32972929 7 -19.77342567 -135.23819996 8 72.27644805 -19.77342567 9 223.23092640 72.27644805 10 180.59964668 223.23092640 11 143.70096836 180.59964668 12 171.65817469 143.70096836 13 123.39748123 171.65817469 14 86.10393778 123.39748123 15 262.80734456 86.10393778 16 213.40192557 262.80734456 17 110.11596103 213.40192557 18 60.62635082 110.11596103 19 87.31939692 60.62635082 20 -26.21816216 87.31939692 21 23.99681813 -26.21816216 22 -168.19819246 23.99681813 23 -291.73185802 -168.19819246 24 -184.55081048 -291.73185802 25 -96.86717344 -184.55081048 26 -17.67905871 -96.86717344 27 -180.28262324 -17.67905871 28 -122.58733262 -180.28262324 29 64.36712358 -122.58733262 30 193.74013246 64.36712358 31 167.04836990 193.74013246 32 157.94115063 167.04836990 33 119.52783066 157.94115063 34 154.38879347 119.52783066 35 54.40781905 154.38879347 36 108.29737665 54.40781905 37 99.57807831 108.29737665 38 166.30707385 99.57807831 39 213.92573084 166.30707385 40 125.22965499 213.92573084 41 56.08731171 125.22965499 42 -26.64099026 56.08731171 43 -2.56179279 -26.64099026 44 -0.07786313 -2.56179279 45 -137.39116297 -0.07786313 46 -82.92491509 -137.39116297 47 -159.38118970 -82.92491509 48 162.34121756 -159.38118970 49 58.27982658 162.34121756 50 150.03619545 58.27982658 51 14.96614952 150.03619545 52 -155.23842765 14.96614952 53 -158.25139313 -155.23842765 54 -162.52832183 -158.25139313 55 -135.62793009 -162.52832183 56 -82.44372345 -135.62793009 57 215.25972228 -82.44372345 58 176.55732377 215.25972228 59 -45.22860030 176.55732377 60 63.69011483 -45.22860030 61 158.24713379 63.69011483 62 100.61893360 158.24713379 63 -62.36195762 100.61893360 64 -21.68878135 -62.36195762 65 -113.46199948 -21.68878135 66 -27.46620424 -113.46199948 67 -122.94750332 -27.46620424 68 -12.20321046 -122.94750332 69 61.44928422 -12.20321046 70 -53.73788344 61.44928422 71 -206.14824494 -53.73788344 > 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/rcomp/tmp/7tg0d1291658575.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/8tg0d1291658575.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/9tg0d1291658575.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/rcomp/tmp/10m7ig1291658575.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/rcomp/tmp/11p7ym1291658575.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/rcomp/tmp/12t8x91291658575.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/rcomp/tmp/137zu01291658575.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/rcomp/tmp/14s0t61291658575.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/rcomp/tmp/15e19u1291658575.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/rcomp/tmp/16zjqi1291658575.tab") + } > > try(system("convert tmp/1fo241291658575.ps tmp/1fo241291658575.png",intern=TRUE)) character(0) > try(system("convert tmp/2fo241291658575.ps tmp/2fo241291658575.png",intern=TRUE)) character(0) > try(system("convert tmp/3qx271291658575.ps tmp/3qx271291658575.png",intern=TRUE)) character(0) > try(system("convert tmp/4qx271291658575.ps tmp/4qx271291658575.png",intern=TRUE)) character(0) > try(system("convert tmp/5qx271291658575.ps tmp/5qx271291658575.png",intern=TRUE)) character(0) > try(system("convert tmp/6161a1291658575.ps tmp/6161a1291658575.png",intern=TRUE)) character(0) > try(system("convert tmp/7tg0d1291658575.ps tmp/7tg0d1291658575.png",intern=TRUE)) character(0) > try(system("convert tmp/8tg0d1291658575.ps tmp/8tg0d1291658575.png",intern=TRUE)) character(0) > try(system("convert tmp/9tg0d1291658575.ps tmp/9tg0d1291658575.png",intern=TRUE)) character(0) > try(system("convert tmp/10m7ig1291658575.ps tmp/10m7ig1291658575.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 3.240 1.900 5.198