R version 2.8.0 (2008-10-20) Copyright (C) 2008 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. Natural language support but running in an English locale 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(14544.5 + ,94.6 + ,-3.0 + ,14097.8 + ,15116.3 + ,95.9 + ,-3.7 + ,14776.8 + ,17413.2 + ,104.7 + ,-4.7 + ,16833.3 + ,16181.5 + ,102.8 + ,-6.4 + ,15385.5 + ,15607.4 + ,98.1 + ,-7.5 + ,15172.6 + ,17160.9 + ,113.9 + ,-7.8 + ,16858.9 + ,14915.8 + ,80.9 + ,-7.7 + ,14143.5 + ,13768 + ,95.7 + ,-6.6 + ,14731.8 + ,17487.5 + ,113.2 + ,-4.2 + ,16471.6 + ,16198.1 + ,105.9 + ,-2.0 + ,15214 + ,17535.2 + ,108.8 + ,-0.7 + ,17637.4 + ,16571.8 + ,102.3 + ,0.1 + ,17972.4 + ,16198.9 + ,99 + ,0.9 + ,16896.2 + ,16554.2 + ,100.7 + ,2.1 + ,16698 + ,19554.2 + ,115.5 + ,3.5 + ,19691.6 + ,15903.8 + ,100.7 + ,4.9 + ,15930.7 + ,18003.8 + ,109.9 + ,5.7 + ,17444.6 + ,18329.6 + ,114.6 + ,6.2 + ,17699.4 + ,16260.7 + ,85.4 + ,6.5 + ,15189.8 + ,14851.9 + ,100.5 + ,6.5 + ,15672.7 + ,18174.1 + ,114.8 + ,6.3 + ,17180.8 + ,18406.6 + ,116.5 + ,6.2 + ,17664.9 + ,18466.5 + ,112.9 + ,6.4 + ,17862.9 + ,16016.5 + ,102 + ,6.3 + ,16162.3 + ,17428.5 + ,106 + ,5.8 + ,17463.6 + ,17167.2 + ,105.3 + ,5.1 + ,16772.1 + ,19630 + ,118.8 + ,5.1 + ,19106.9 + ,17183.6 + ,106.1 + ,5.8 + ,16721.3 + ,18344.7 + ,109.3 + ,6.7 + ,18161.3 + ,19301.4 + ,117.2 + ,7.1 + ,18509.9 + ,18147.5 + ,92.5 + ,6.7 + ,17802.7 + ,16192.9 + ,104.2 + ,5.5 + ,16409.9 + ,18374.4 + ,112.5 + ,4.2 + ,17967.7 + ,20515.2 + ,122.4 + ,3.0 + ,20286.6 + ,18957.2 + ,113.3 + ,2.2 + ,19537.3 + ,16471.5 + ,100 + ,2.0 + ,18021.9 + ,18746.8 + ,110.7 + ,1.8 + ,20194.3 + ,19009.5 + ,112.8 + ,1.8 + ,19049.6 + ,19211.2 + ,109.8 + ,1.5 + ,20244.7 + ,20547.7 + ,117.3 + ,0.4 + ,21473.3 + ,19325.8 + ,109.1 + ,-0.9 + ,19673.6 + ,20605.5 + ,115.9 + ,-1.7 + ,21053.2 + ,20056.9 + ,96 + ,-2.6 + ,20159.5 + ,16141.4 + ,99.8 + ,-4.4 + ,18203.6 + ,20359.8 + ,116.8 + ,-8.3 + ,21289.5 + ,19711.6 + ,115.7 + ,-14.4 + ,20432.3 + ,15638.6 + ,99.4 + ,-21.3 + ,17180.4 + ,14384.5 + ,94.3 + ,-26.5 + ,15816.8 + ,13855.6 + ,91 + ,-29.2 + ,15071.8 + ,14308.3 + ,93.2 + ,-30.8 + ,14521.1 + ,15290.6 + ,103.1 + ,-30.9 + ,15668.8 + ,14423.8 + ,94.1 + ,-29.5 + ,14346.9 + ,13779.7 + ,91.8 + ,-27.1 + ,13881 + ,15686.3 + ,102.7 + ,-24.4 + ,15465.9 + ,14733.8 + ,82.6 + ,-21.9 + ,14238.2 + ,12522.5 + ,89.1 + ,-19.3 + ,13557.7 + ,16189.4 + ,104.5 + ,-17.0 + ,16127.6 + ,16059.1 + ,105.1 + ,-13.8 + ,16793.9 + ,16007.1 + ,95.1 + ,-9.9 + ,16014 + ,15806.8 + ,88.7 + ,-7.9 + ,16867.9 + ,15160 + ,86.3 + ,-7.2 + ,16014.6 + ,15692.1 + ,91.8 + ,-6.2 + ,15878.6 + ,18908.9 + ,111.5 + ,-4.5 + ,18664.9 + ,16969.9 + ,99.7 + ,-3.9 + ,17962.5 + ,16997.5 + ,97.5 + ,-5.0 + ,17332.7 + ,19858.9 + ,111.7 + ,-6.2 + ,19542.1 + ,17681.2 + ,86.2 + ,-6.1 + ,17203.6 + ,16006.9 + ,95.4 + ,-5.0 + ,16579) + ,dim=c(4 + ,68) + ,dimnames=list(c('uitvoer' + ,'productie' + ,'ondernemersvertrouwen' + ,'invoer') + ,1:68)) > y <- array(NA,dim=c(4,68),dimnames=list(c('uitvoer','productie','ondernemersvertrouwen','invoer'),1:68)) > 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 = '2' > #'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 productie uitvoer ondernemersvertrouwen invoer 1 94.6 14544.5 -3.0 14097.8 2 95.9 15116.3 -3.7 14776.8 3 104.7 17413.2 -4.7 16833.3 4 102.8 16181.5 -6.4 15385.5 5 98.1 15607.4 -7.5 15172.6 6 113.9 17160.9 -7.8 16858.9 7 80.9 14915.8 -7.7 14143.5 8 95.7 13768.0 -6.6 14731.8 9 113.2 17487.5 -4.2 16471.6 10 105.9 16198.1 -2.0 15214.0 11 108.8 17535.2 -0.7 17637.4 12 102.3 16571.8 0.1 17972.4 13 99.0 16198.9 0.9 16896.2 14 100.7 16554.2 2.1 16698.0 15 115.5 19554.2 3.5 19691.6 16 100.7 15903.8 4.9 15930.7 17 109.9 18003.8 5.7 17444.6 18 114.6 18329.6 6.2 17699.4 19 85.4 16260.7 6.5 15189.8 20 100.5 14851.9 6.5 15672.7 21 114.8 18174.1 6.3 17180.8 22 116.5 18406.6 6.2 17664.9 23 112.9 18466.5 6.4 17862.9 24 102.0 16016.5 6.3 16162.3 25 106.0 17428.5 5.8 17463.6 26 105.3 17167.2 5.1 16772.1 27 118.8 19630.0 5.1 19106.9 28 106.1 17183.6 5.8 16721.3 29 109.3 18344.7 6.7 18161.3 30 117.2 19301.4 7.1 18509.9 31 92.5 18147.5 6.7 17802.7 32 104.2 16192.9 5.5 16409.9 33 112.5 18374.4 4.2 17967.7 34 122.4 20515.2 3.0 20286.6 35 113.3 18957.2 2.2 19537.3 36 100.0 16471.5 2.0 18021.9 37 110.7 18746.8 1.8 20194.3 38 112.8 19009.5 1.8 19049.6 39 109.8 19211.2 1.5 20244.7 40 117.3 20547.7 0.4 21473.3 41 109.1 19325.8 -0.9 19673.6 42 115.9 20605.5 -1.7 21053.2 43 96.0 20056.9 -2.6 20159.5 44 99.8 16141.4 -4.4 18203.6 45 116.8 20359.8 -8.3 21289.5 46 115.7 19711.6 -14.4 20432.3 47 99.4 15638.6 -21.3 17180.4 48 94.3 14384.5 -26.5 15816.8 49 91.0 13855.6 -29.2 15071.8 50 93.2 14308.3 -30.8 14521.1 51 103.1 15290.6 -30.9 15668.8 52 94.1 14423.8 -29.5 14346.9 53 91.8 13779.7 -27.1 13881.0 54 102.7 15686.3 -24.4 15465.9 55 82.6 14733.8 -21.9 14238.2 56 89.1 12522.5 -19.3 13557.7 57 104.5 16189.4 -17.0 16127.6 58 105.1 16059.1 -13.8 16793.9 59 95.1 16007.1 -9.9 16014.0 60 88.7 15806.8 -7.9 16867.9 61 86.3 15160.0 -7.2 16014.6 62 91.8 15692.1 -6.2 15878.6 63 111.5 18908.9 -4.5 18664.9 64 99.7 16969.9 -3.9 17962.5 65 97.5 16997.5 -5.0 17332.7 66 111.7 19858.9 -6.2 19542.1 67 86.2 17681.2 -6.1 17203.6 68 95.4 16006.9 -5.0 16579.0 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) uitvoer ondernemersvertrouwen 36.1042160 0.0041263 0.0086964 invoer -0.0001794 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -19.723 -1.051 1.186 3.804 10.077 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 36.1042160 8.5147392 4.240 7.33e-05 *** uitvoer 0.0041263 0.0011907 3.465 0.00095 *** ondernemersvertrouwen 0.0086964 0.0898266 0.097 0.92318 invoer -0.0001794 0.0010976 -0.163 0.87071 --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Residual standard error: 6.394 on 64 degrees of freedom Multiple R-squared: 0.6055, Adjusted R-squared: 0.587 F-statistic: 32.74 on 3 and 64 DF, p-value: 6.009e-13 > 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,] 0.5946888 0.8106223 0.4053112 [2,] 0.5051014 0.9897972 0.4948986 [3,] 0.4331775 0.8663549 0.5668225 [4,] 0.3478845 0.6957690 0.6521155 [5,] 0.5475844 0.9048312 0.4524156 [6,] 0.5586006 0.8827988 0.4413994 [7,] 0.4797917 0.9595834 0.5202083 [8,] 0.3866736 0.7733471 0.6133264 [9,] 0.3181534 0.6363069 0.6818466 [10,] 0.2528172 0.5056345 0.7471828 [11,] 0.1863413 0.3726827 0.8136587 [12,] 0.1534984 0.3069968 0.8465016 [13,] 0.3749476 0.7498951 0.6250524 [14,] 0.4177064 0.8354128 0.5822936 [15,] 0.4271618 0.8543235 0.5728382 [16,] 0.4279074 0.8558148 0.5720926 [17,] 0.3683466 0.7366931 0.6316534 [18,] 0.3141047 0.6282094 0.6858953 [19,] 0.2578823 0.5157646 0.7421177 [20,] 0.2070650 0.4141301 0.7929350 [21,] 0.1826760 0.3653521 0.8173240 [22,] 0.1525694 0.3051389 0.8474306 [23,] 0.1280618 0.2561237 0.8719382 [24,] 0.1342814 0.2685627 0.8657186 [25,] 0.4597738 0.9195476 0.5402262 [26,] 0.4851177 0.9702354 0.5148823 [27,] 0.5260543 0.9478913 0.4739457 [28,] 0.5844721 0.8310558 0.4155279 [29,] 0.5846861 0.8306278 0.4153139 [30,] 0.5404308 0.9191384 0.4595692 [31,] 0.4975046 0.9950092 0.5024954 [32,] 0.5436825 0.9126350 0.4563175 [33,] 0.5118391 0.9763219 0.4881609 [34,] 0.4700294 0.9400587 0.5299706 [35,] 0.4424127 0.8848254 0.5575873 [36,] 0.4023451 0.8046903 0.5976549 [37,] 0.8617226 0.2765548 0.1382774 [38,] 0.8173408 0.3653183 0.1826592 [39,] 0.7620162 0.4759675 0.2379838 [40,] 0.7043241 0.5913518 0.2956759 [41,] 0.6480634 0.7038731 0.3519366 [42,] 0.6094742 0.7810515 0.3905258 [43,] 0.6451547 0.7096907 0.3548453 [44,] 0.6058426 0.7883149 0.3941574 [45,] 0.5782284 0.8435432 0.4217716 [46,] 0.5201104 0.9597792 0.4798896 [47,] 0.4325328 0.8650656 0.5674672 [48,] 0.3444145 0.6888289 0.6555855 [49,] 0.5566064 0.8867872 0.4433936 [50,] 0.4534970 0.9069939 0.5465030 [51,] 0.3601309 0.7202618 0.6398691 [52,] 0.3545276 0.7090552 0.6454724 [53,] 0.4911797 0.9823594 0.5088203 [54,] 0.3862563 0.7725126 0.6137437 [55,] 0.2641644 0.5283288 0.7358356 > postscript(file="/var/www/html/freestat/rcomp/tmp/1f3jc1292590989.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/2f3jc1292590989.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/html/freestat/rcomp/tmp/3pcix1292590989.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/4pcix1292590989.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/5pcix1292590989.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 = 68 Frequency = 1 1 2 3 4 5 6 1.0359512 0.1044242 -0.1956504 2.7417801 0.3820511 10.0769577 7 8 9 10 11 12 -14.1470624 5.4850207 7.9285448 5.7042594 3.5103832 1.0387592 13 14 15 16 17 18 -0.9225405 -0.7345888 2.2113647 1.7871629 2.5865758 5.9835904 19 20 21 22 23 24 -15.1323051 5.8673955 6.7313390 7.5596798 3.7462904 2.6514974 25 26 27 28 29 30 1.0629564 1.3232099 5.0798070 2.0403401 0.6997823 4.7112276 31 32 33 34 35 36 -15.3508363 4.1749904 3.7642489 5.2570884 2.4583771 -0.8550209 37 38 39 40 41 42 0.8478627 1.6585775 -1.9567278 0.2584428 -3.2111598 -1.4371425 43 44 45 46 47 48 -19.2259395 0.3953073 0.5764611 2.0504085 2.0334428 1.9088413 49 50 51 52 53 54 0.6810813 0.9282598 6.9817481 1.3091257 1.5624198 4.8560645 55 56 57 58 59 60 -11.5556069 3.9241454 4.6344683 5.8638007 -4.0954329 -9.5331779 61 62 63 64 65 66 -9.4234434 -6.1521205 0.7594675 -3.1708984 -5.5881788 -2.7883685 67 68 -19.7228981 -3.7358813 > postscript(file="/var/www/html/freestat/rcomp/tmp/603h01292590989.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 = 68 Frequency = 1 lag(myerror, k = 1) myerror 0 1.0359512 NA 1 0.1044242 1.0359512 2 -0.1956504 0.1044242 3 2.7417801 -0.1956504 4 0.3820511 2.7417801 5 10.0769577 0.3820511 6 -14.1470624 10.0769577 7 5.4850207 -14.1470624 8 7.9285448 5.4850207 9 5.7042594 7.9285448 10 3.5103832 5.7042594 11 1.0387592 3.5103832 12 -0.9225405 1.0387592 13 -0.7345888 -0.9225405 14 2.2113647 -0.7345888 15 1.7871629 2.2113647 16 2.5865758 1.7871629 17 5.9835904 2.5865758 18 -15.1323051 5.9835904 19 5.8673955 -15.1323051 20 6.7313390 5.8673955 21 7.5596798 6.7313390 22 3.7462904 7.5596798 23 2.6514974 3.7462904 24 1.0629564 2.6514974 25 1.3232099 1.0629564 26 5.0798070 1.3232099 27 2.0403401 5.0798070 28 0.6997823 2.0403401 29 4.7112276 0.6997823 30 -15.3508363 4.7112276 31 4.1749904 -15.3508363 32 3.7642489 4.1749904 33 5.2570884 3.7642489 34 2.4583771 5.2570884 35 -0.8550209 2.4583771 36 0.8478627 -0.8550209 37 1.6585775 0.8478627 38 -1.9567278 1.6585775 39 0.2584428 -1.9567278 40 -3.2111598 0.2584428 41 -1.4371425 -3.2111598 42 -19.2259395 -1.4371425 43 0.3953073 -19.2259395 44 0.5764611 0.3953073 45 2.0504085 0.5764611 46 2.0334428 2.0504085 47 1.9088413 2.0334428 48 0.6810813 1.9088413 49 0.9282598 0.6810813 50 6.9817481 0.9282598 51 1.3091257 6.9817481 52 1.5624198 1.3091257 53 4.8560645 1.5624198 54 -11.5556069 4.8560645 55 3.9241454 -11.5556069 56 4.6344683 3.9241454 57 5.8638007 4.6344683 58 -4.0954329 5.8638007 59 -9.5331779 -4.0954329 60 -9.4234434 -9.5331779 61 -6.1521205 -9.4234434 62 0.7594675 -6.1521205 63 -3.1708984 0.7594675 64 -5.5881788 -3.1708984 65 -2.7883685 -5.5881788 66 -19.7228981 -2.7883685 67 -3.7358813 -19.7228981 68 NA -3.7358813 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] 0.1044242 1.0359512 [2,] -0.1956504 0.1044242 [3,] 2.7417801 -0.1956504 [4,] 0.3820511 2.7417801 [5,] 10.0769577 0.3820511 [6,] -14.1470624 10.0769577 [7,] 5.4850207 -14.1470624 [8,] 7.9285448 5.4850207 [9,] 5.7042594 7.9285448 [10,] 3.5103832 5.7042594 [11,] 1.0387592 3.5103832 [12,] -0.9225405 1.0387592 [13,] -0.7345888 -0.9225405 [14,] 2.2113647 -0.7345888 [15,] 1.7871629 2.2113647 [16,] 2.5865758 1.7871629 [17,] 5.9835904 2.5865758 [18,] -15.1323051 5.9835904 [19,] 5.8673955 -15.1323051 [20,] 6.7313390 5.8673955 [21,] 7.5596798 6.7313390 [22,] 3.7462904 7.5596798 [23,] 2.6514974 3.7462904 [24,] 1.0629564 2.6514974 [25,] 1.3232099 1.0629564 [26,] 5.0798070 1.3232099 [27,] 2.0403401 5.0798070 [28,] 0.6997823 2.0403401 [29,] 4.7112276 0.6997823 [30,] -15.3508363 4.7112276 [31,] 4.1749904 -15.3508363 [32,] 3.7642489 4.1749904 [33,] 5.2570884 3.7642489 [34,] 2.4583771 5.2570884 [35,] -0.8550209 2.4583771 [36,] 0.8478627 -0.8550209 [37,] 1.6585775 0.8478627 [38,] -1.9567278 1.6585775 [39,] 0.2584428 -1.9567278 [40,] -3.2111598 0.2584428 [41,] -1.4371425 -3.2111598 [42,] -19.2259395 -1.4371425 [43,] 0.3953073 -19.2259395 [44,] 0.5764611 0.3953073 [45,] 2.0504085 0.5764611 [46,] 2.0334428 2.0504085 [47,] 1.9088413 2.0334428 [48,] 0.6810813 1.9088413 [49,] 0.9282598 0.6810813 [50,] 6.9817481 0.9282598 [51,] 1.3091257 6.9817481 [52,] 1.5624198 1.3091257 [53,] 4.8560645 1.5624198 [54,] -11.5556069 4.8560645 [55,] 3.9241454 -11.5556069 [56,] 4.6344683 3.9241454 [57,] 5.8638007 4.6344683 [58,] -4.0954329 5.8638007 [59,] -9.5331779 -4.0954329 [60,] -9.4234434 -9.5331779 [61,] -6.1521205 -9.4234434 [62,] 0.7594675 -6.1521205 [63,] -3.1708984 0.7594675 [64,] -5.5881788 -3.1708984 [65,] -2.7883685 -5.5881788 [66,] -19.7228981 -2.7883685 [67,] -3.7358813 -19.7228981 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 0.1044242 1.0359512 2 -0.1956504 0.1044242 3 2.7417801 -0.1956504 4 0.3820511 2.7417801 5 10.0769577 0.3820511 6 -14.1470624 10.0769577 7 5.4850207 -14.1470624 8 7.9285448 5.4850207 9 5.7042594 7.9285448 10 3.5103832 5.7042594 11 1.0387592 3.5103832 12 -0.9225405 1.0387592 13 -0.7345888 -0.9225405 14 2.2113647 -0.7345888 15 1.7871629 2.2113647 16 2.5865758 1.7871629 17 5.9835904 2.5865758 18 -15.1323051 5.9835904 19 5.8673955 -15.1323051 20 6.7313390 5.8673955 21 7.5596798 6.7313390 22 3.7462904 7.5596798 23 2.6514974 3.7462904 24 1.0629564 2.6514974 25 1.3232099 1.0629564 26 5.0798070 1.3232099 27 2.0403401 5.0798070 28 0.6997823 2.0403401 29 4.7112276 0.6997823 30 -15.3508363 4.7112276 31 4.1749904 -15.3508363 32 3.7642489 4.1749904 33 5.2570884 3.7642489 34 2.4583771 5.2570884 35 -0.8550209 2.4583771 36 0.8478627 -0.8550209 37 1.6585775 0.8478627 38 -1.9567278 1.6585775 39 0.2584428 -1.9567278 40 -3.2111598 0.2584428 41 -1.4371425 -3.2111598 42 -19.2259395 -1.4371425 43 0.3953073 -19.2259395 44 0.5764611 0.3953073 45 2.0504085 0.5764611 46 2.0334428 2.0504085 47 1.9088413 2.0334428 48 0.6810813 1.9088413 49 0.9282598 0.6810813 50 6.9817481 0.9282598 51 1.3091257 6.9817481 52 1.5624198 1.3091257 53 4.8560645 1.5624198 54 -11.5556069 4.8560645 55 3.9241454 -11.5556069 56 4.6344683 3.9241454 57 5.8638007 4.6344683 58 -4.0954329 5.8638007 59 -9.5331779 -4.0954329 60 -9.4234434 -9.5331779 61 -6.1521205 -9.4234434 62 0.7594675 -6.1521205 63 -3.1708984 0.7594675 64 -5.5881788 -3.1708984 65 -2.7883685 -5.5881788 66 -19.7228981 -2.7883685 67 -3.7358813 -19.7228981 > 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/freestat/rcomp/tmp/7bug31292590989.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/8bug31292590989.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/9bug31292590989.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/freestat/rcomp/tmp/103mg61292590989.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/html/freestat/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/freestat/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/freestat/rcomp/tmp/11p4et1292590989.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/freestat/rcomp/tmp/12snd01292590989.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/freestat/rcomp/tmp/13h6sb1292590989.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/freestat/rcomp/tmp/14sx9w1292590989.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/freestat/rcomp/tmp/15vy721292590989.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/freestat/rcomp/tmp/16rpnt1292590989.tab") + } > > try(system("convert tmp/1f3jc1292590989.ps tmp/1f3jc1292590989.png",intern=TRUE)) character(0) > try(system("convert tmp/2f3jc1292590989.ps tmp/2f3jc1292590989.png",intern=TRUE)) character(0) > try(system("convert tmp/3pcix1292590989.ps tmp/3pcix1292590989.png",intern=TRUE)) character(0) > try(system("convert tmp/4pcix1292590989.ps tmp/4pcix1292590989.png",intern=TRUE)) character(0) > try(system("convert tmp/5pcix1292590989.ps tmp/5pcix1292590989.png",intern=TRUE)) character(0) > try(system("convert tmp/603h01292590989.ps tmp/603h01292590989.png",intern=TRUE)) character(0) > try(system("convert tmp/7bug31292590989.ps tmp/7bug31292590989.png",intern=TRUE)) character(0) > try(system("convert tmp/8bug31292590989.ps tmp/8bug31292590989.png",intern=TRUE)) character(0) > try(system("convert tmp/9bug31292590989.ps tmp/9bug31292590989.png",intern=TRUE)) character(0) > try(system("convert tmp/103mg61292590989.ps tmp/103mg61292590989.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 3.995 2.515 4.327