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Paper; Multiple Regression

*The author of this computation has been verified*
R Software Module: /rwasp_multipleregression.wasp (opens new window with default values)
Title produced by software: Multiple Regression
Date of computation: Fri, 17 Dec 2010 12:34:51 +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/17/t1292589196wdsx1bsr1i6wr3b.htm/, Retrieved Fri, 17 Dec 2010 13:33:16 +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/17/t1292589196wdsx1bsr1i6wr3b.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 «
108,35 98,68 100,70 104,38 97,72 15.38 31.27 109,87 99,21 99,62 103,97 98,01 15.03 35.83 111,30 99,36 99,83 103,32 97,78 15.21 37.12 115,50 100,72 100,74 105,01 98,04 15.20 36.77 116,22 102,27 100,84 104,88 98,54 14.60 35.17 116,63 102,62 100,85 104,46 98,39 13.79 37.25 116,84 102,97 99,71 104,71 98,58 14.54 33.77 116,63 102,88 100,80 106,09 98,91 14.31 30.59 117,03 102,90 100,06 106,54 98,68 13.93 33.59 117,00 103,01 100,57 104,36 98,59 14.82 37.24 117,14 103,02 99,79 105,31 99,13 14.46 34.81 116,64 103,73 99,90 105,07 98,70 14.85 34.94 117,24 104,18 100,12 105,39 99,00 14.95 34.47 117,52 103,73 100,40 105,65 98,80 14.43 30.48 117,83 103,78 100,51 108,25 98,80 14.84 30.94 119,79 103,61 100,70 107,71 99,29 14.39 30.60 120,86 103,84 100,62 108,58 99,69 15.70 28.42 120,75 103,86 99,70 108,27 100,01 15.34 25.89 120,63 104,14 99,48 107,62 99,85 13.98 26.32 120,89 104,05 99,36 108,80 99,66 14.75 27.18 120,23 104,01 99,39 109,26 101,18 14.81 25.85 121,19 104,49 99,45 108,58 101,47 14.67 26.32 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 time4 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Multiple Linear Regression - Estimated Regression Equation
Coffee[t] = -126.644403449146 + 1.11859932108523Tea[t] + 0.375159164294309Sugar[t] + 0.536573708762059Water[t] + 0.322868064613424Soda[t] + 0.115372489905679SaraLee[t] + 0.0139559697604042Starbucks[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)-126.64440344914646.441652-2.7270.0093640.004682
Tea1.118599321085230.1629036.866700
Sugar0.3751591642943090.3130241.19850.2376050.118802
Water0.5365737087620590.1957692.74090.0090360.004518
Soda0.3228680646134240.2400951.34480.1860980.093049
SaraLee0.1153724899056790.171710.67190.5054150.252707
Starbucks0.01395596976040420.065690.21250.8328070.416403


Multiple Linear Regression - Regression Statistics
Multiple R0.974260332908292
R-squared0.949183196278576
Adjusted R-squared0.941746590855928
F-TEST (value)127.636622132450
F-TEST (DF numerator)6
F-TEST (DF denominator)41
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation1.16191788971606
Sum Squared Residuals55.3521804801312


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1108.35111.286568463747-2.93656846374714
2109.87111.371149575270-1.50114957527021
3111.3111.2334605815520.0665394184476699
4115.5114.0808674480281.41913255197175
5116.22115.8523387167470.367661283252621
6116.63115.9093856036760.720614396323876
7116.84116.1066648708910.733335129109454
8116.63117.191016943971-0.561016943971362
9117.03117.100996026014-0.0709960260141837
10117116.3702051198490.629794880151317
11117.14116.6974136402410.442586359758654
12116.64117.312085255530-0.672085255529643
13117.24118.171531915554-0.931531915553823
14117.52117.732464324328-0.212464324328356
15117.83119.278475908187-1.44847590818745
16119.79118.9713871635720.818612836428159
17120.86119.9153325744450.944667425554969
18120.75119.4526953608161.29730463918384
19120.63119.1320308342671.49796916573295
20120.89119.6589887909381.23101120906196
21120.23120.351443866879-0.121443866879432
22121.19120.6300498648380.559950135161718
23120.79120.0604710640390.729528935960546
24120.09121.251284854193-1.16128485419304
25120.86121.490990184969-0.630990184968984
26121.1122.661861741368-1.56186174136849
27121.47121.60880218324-0.138802183239909
28122.01123.741377513773-1.73137751377329
29123.94124.649735507669-0.709735507669219
30125.78124.180038999881.59996100011995
31125.31125.348127055936-0.0381270559364169
32125.79125.1645394763580.625460523641864
33126.12125.9155841778910.204415822109054
34125.57124.2392693881411.33073061185877
35125.44124.8563239321510.583676067848552
36126.12124.9182600820921.20173991790849
37126.01126.055500963984-0.0455009639843438
38126.5126.693104733134-0.193104733134405
39126.13126.458326555763-0.328326555763218
40126.66125.5186839111351.14131608886536
41126.33126.424091947799-0.0940919477993204
42126.61127.559362280375-0.949362280374524
43126.36127.392999077399-1.03299907739879
44126.83127.38252257839-0.552522578390062
45125.9128.455387995298-2.55538799529801
46126.29126.937758749482-0.647758749481735
47126.37124.5335731202581.83642687974182
48125.11124.2654690759380.844530924062021


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
100.4511207330952650.9022414661905310.548879266904735
110.2906887452678030.5813774905356060.709311254732197
120.491458755443140.982917510886280.50854124455686
130.5252448241178710.9495103517642570.474755175882129
140.5148074355542730.9703851288914540.485192564445727
150.5499496548990340.9001006902019310.450050345100966
160.6160899907179050.767820018564190.383910009282095
170.6094444277697040.7811111444605910.390555572230296
180.6110660849453230.7778678301093540.388933915054677
190.5623973978544170.8752052042911660.437602602145583
200.5703200567560840.8593598864878320.429679943243916
210.7542547275711390.4914905448577230.245745272428862
220.686687294515420.626625410969160.31331270548458
230.6210571540335020.7578856919329970.378942845966498
240.6277209393682420.7445581212635170.372279060631758
250.5652395633381280.8695208733237450.434760436661872
260.7015020444493290.5969959111013430.298497955550671
270.785568908818330.428862182363340.21443109118167
280.9882199256651330.02356014866973430.0117800743348672
290.9992086432567870.001582713486425920.000791356743212961
300.9992644061555960.001471187688808730.000735593844404367
310.9986103409808620.002779318038276060.00138965901913803
320.9966834643482460.006633071303508780.00331653565175439
330.9921481667319640.01570366653607260.00785183326803628
340.983758679914650.03248264017070160.0162413200853508
350.9793928273195270.04121434536094540.0206071726804727
360.950620595680040.09875880863991940.0493794043199597
370.9102835802914310.1794328394171380.0897164197085688
380.8203801257675730.3592397484648540.179619874232427


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level40.137931034482759NOK
5% type I error level80.275862068965517NOK
10% type I error level90.310344827586207NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/105r1i1292589282.png (open in new window)
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http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/1zrnp1292589282.png (open in new window)
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http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/2rims1292589282.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/2rims1292589282.ps (open in new window)


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http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/4rims1292589282.png (open in new window)
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http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/62rlv1292589282.png (open in new window)
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http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/7vi2y1292589282.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/7vi2y1292589282.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/8vi2y1292589282.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/8vi2y1292589282.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/95r1i1292589282.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/17/t1292589196wdsx1bsr1i6wr3b/95r1i1292589282.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No 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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