R version 2.9.0 (2009-04-17)
Copyright (C) 2009 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> x <- array(list(1038.00
+ ,0
+ ,934.00
+ ,988.00
+ ,870.00
+ ,854.00
+ ,934.00
+ ,0
+ ,988.00
+ ,870.00
+ ,854.00
+ ,834.00
+ ,988.00
+ ,0
+ ,870.00
+ ,854.00
+ ,834.00
+ ,872.00
+ ,870.00
+ ,0
+ ,854.00
+ ,834.00
+ ,872.00
+ ,954.00
+ ,854.00
+ ,0
+ ,834.00
+ ,872.00
+ ,954.00
+ ,870.00
+ ,834.00
+ ,0
+ ,872.00
+ ,954.00
+ ,870.00
+ ,1238.00
+ ,872.00
+ ,0
+ ,954.00
+ ,870.00
+ ,1238.00
+ ,1082.00
+ ,954.00
+ ,0
+ ,870.00
+ ,1238.00
+ ,1082.00
+ ,1053.00
+ ,870.00
+ ,0
+ ,1238.00
+ ,1082.00
+ ,1053.00
+ ,934.00
+ ,1238.00
+ ,0
+ ,1082.00
+ ,1053.00
+ ,934.00
+ ,787.00
+ ,1082.00
+ ,0
+ ,1053.00
+ ,934.00
+ ,787.00
+ ,1081.00
+ ,1053.00
+ ,0
+ ,934.00
+ ,787.00
+ ,1081.00
+ ,908.00
+ ,934.00
+ ,0
+ ,787.00
+ ,1081.00
+ ,908.00
+ ,995.00
+ ,787.00
+ ,0
+ ,1081.00
+ ,908.00
+ ,995.00
+ ,825.00
+ ,1081.00
+ ,0
+ ,908.00
+ ,995.00
+ ,825.00
+ ,822.00
+ ,908.00
+ ,0
+ ,995.00
+ ,825.00
+ ,822.00
+ ,856.00
+ ,995.00
+ ,0
+ ,825.00
+ ,822.00
+ ,856.00
+ ,887.00
+ ,825.00
+ ,0
+ ,822.00
+ ,856.00
+ ,887.00
+ ,1094.00
+ ,822.00
+ ,0
+ ,856.00
+ ,887.00
+ ,1094.00
+ ,990.00
+ ,856.00
+ ,0
+ ,887.00
+ ,1094.00
+ ,990.00
+ ,936.00
+ ,887.00
+ ,0
+ ,1094.00
+ ,990.00
+ ,936.00
+ ,1097.00
+ ,1094.00
+ ,0
+ ,990.00
+ ,936.00
+ ,1097.00
+ ,918.00
+ ,990.00
+ ,0
+ ,936.00
+ ,1097.00
+ ,918.00
+ ,926.00
+ ,936.00
+ ,0
+ ,1097.00
+ ,918.00
+ ,926.00
+ ,907.00
+ ,1097.00
+ ,0
+ ,918.00
+ ,926.00
+ ,907.00
+ ,899.00
+ ,918.00
+ ,0
+ ,926.00
+ ,907.00
+ ,899.00
+ ,971.00
+ ,926.00
+ ,0
+ ,907.00
+ ,899.00
+ ,971.00
+ ,1087.00
+ ,907.00
+ ,0
+ ,899.00
+ ,971.00
+ ,1087.00
+ ,1000.00
+ ,899.00
+ ,0
+ ,971.00
+ ,1087.00
+ ,1000.00
+ ,1071.00
+ ,971.00
+ ,0
+ ,1087.00
+ ,1000.00
+ ,1071.00
+ ,1190.00
+ ,1087.00
+ ,0
+ ,1000.00
+ ,1071.00
+ ,1190.00
+ ,1116.00
+ ,1000.00
+ ,0
+ ,1071.00
+ ,1190.00
+ ,1116.00
+ ,1070.00
+ ,1071.00
+ ,0
+ ,1190.00
+ ,1116.00
+ ,1070.00
+ ,1314.00
+ ,1190.00
+ ,0
+ ,1116.00
+ ,1070.00
+ ,1314.00
+ ,1068.00
+ ,1116.00
+ ,0
+ ,1070.00
+ ,1314.00
+ ,1068.00
+ ,1185.00
+ ,1070.00
+ ,0
+ ,1314.00
+ ,1068.00
+ ,1185.00
+ ,1215.00
+ ,1314.00
+ ,0
+ ,1068.00
+ ,1185.00
+ ,1215.00
+ ,1145.00
+ ,1068.00
+ ,0
+ ,1185.00
+ ,1215.00
+ ,1145.00
+ ,1251.00
+ ,1185.00
+ ,0
+ ,1215.00
+ ,1145.00
+ ,1251.00
+ ,1363.00
+ ,1215.00
+ ,0
+ ,1145.00
+ ,1251.00
+ ,1363.00
+ ,1368.00
+ ,1145.00
+ ,0
+ ,1251.00
+ ,1363.00
+ ,1368.00
+ ,1535.00
+ ,1251.00
+ ,1
+ ,1363.00
+ ,1368.00
+ ,1535.00
+ ,1853.00
+ ,1363.00
+ ,1
+ ,1368.00
+ ,1535.00
+ ,1853.00
+ ,1866.00
+ ,1368.00
+ ,1
+ ,1535.00
+ ,1853.00
+ ,1866.00
+ ,2023.00
+ ,1535.00
+ ,1
+ ,1853.00
+ ,1866.00
+ ,2023.00
+ ,1373.00
+ ,1853.00
+ ,1
+ ,1866.00
+ ,2023.00
+ ,1373.00
+ ,1968.00
+ ,1866.00
+ ,1
+ ,2023.00
+ ,1373.00
+ ,1968.00
+ ,1424.00
+ ,2023.00
+ ,1
+ ,1373.00
+ ,1968.00
+ ,1424.00
+ ,1160.00
+ ,1373.00
+ ,1
+ ,1968.00
+ ,1424.00
+ ,1160.00
+ ,1243.00
+ ,1968.00
+ ,1
+ ,1424.00
+ ,1160.00
+ ,1243.00
+ ,1375.00
+ ,1424.00
+ ,1
+ ,1160.00
+ ,1243.00
+ ,1375.00
+ ,1539.00
+ ,1160.00
+ ,1
+ ,1243.00
+ ,1375.00
+ ,1539.00
+ ,1773.00
+ ,1243.00
+ ,1
+ ,1375.00
+ ,1539.00
+ ,1773.00
+ ,1906.00
+ ,1375.00
+ ,1
+ ,1539.00
+ ,1773.00
+ ,1906.00
+ ,2076.00
+ ,1539.00
+ ,1
+ ,1773.00
+ ,1906.00
+ ,2076.00
+ ,2004.00)
+ ,dim=c(6
+ ,55)
+ ,dimnames=list(c('Maandelijksewerkloosheid'
+ ,'x'
+ ,'y-1'
+ ,'y-2'
+ ,'y-3'
+ ,'y-4')
+ ,1:55))
> y <- array(NA,dim=c(6,55),dimnames=list(c('Maandelijksewerkloosheid','x','y-1','y-2','y-3','y-4'),1:55))
> for (i in 1:dim(x)[1])
+ {
+ for (j in 1:dim(x)[2])
+ {
+ y[i,j] <- as.numeric(x[i,j])
+ }
+ }
> par3 = 'Linear Trend'
> par2 = 'Include Monthly Dummies'
> par1 = '1'
> #'GNU S' R Code compiled by R2WASP v. 1.0.44 ()
> #Author: Prof. Dr. P. Wessa
> #To cite this work: AUTHOR(S), (YEAR), YOUR SOFTWARE TITLE (vNUMBER) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_YOURPAGE.wasp/
> #Source of accompanying publication: Office for Research, Development, and Education
> #Technical description: Write here your technical program description (don't use hard returns!)
> library(lattice)
> library(lmtest)
Loading required package: zoo
Attaching package: 'zoo'
The following object(s) are masked from package:base :
as.Date.numeric
> n25 <- 25 #minimum number of obs. for Goldfeld-Quandt test
> par1 <- as.numeric(par1)
> x <- t(y)
> k <- length(x[1,])
> n <- length(x[,1])
> x1 <- cbind(x[,par1], x[,1:k!=par1])
> mycolnames <- c(colnames(x)[par1], colnames(x)[1:k!=par1])
> colnames(x1) <- mycolnames #colnames(x)[par1]
> x <- x1
> if (par3 == 'First Differences'){
+ x2 <- array(0, dim=c(n-1,k), dimnames=list(1:(n-1), paste('(1-B)',colnames(x),sep='')))
+ for (i in 1:n-1) {
+ for (j in 1:k) {
+ x2[i,j] <- x[i+1,j] - x[i,j]
+ }
+ }
+ x <- x2
+ }
> if (par2 == 'Include Monthly Dummies'){
+ x2 <- array(0, dim=c(n,11), dimnames=list(1:n, paste('M', seq(1:11), sep ='')))
+ for (i in 1:11){
+ x2[seq(i,n,12),i] <- 1
+ }
+ x <- cbind(x, x2)
+ }
> if (par2 == 'Include Quarterly Dummies'){
+ x2 <- array(0, dim=c(n,3), dimnames=list(1:n, paste('Q', seq(1:3), sep ='')))
+ for (i in 1:3){
+ x2[seq(i,n,4),i] <- 1
+ }
+ x <- cbind(x, x2)
+ }
> k <- length(x[1,])
> if (par3 == 'Linear Trend'){
+ x <- cbind(x, c(1:n))
+ colnames(x)[k+1] <- 't'
+ }
> x
Maandelijksewerkloosheid x y-1 y-2 y-3 y-4 M1 M2 M3 M4 M5 M6 M7 M8 M9
1 1038 0 934 988 870 854 1 0 0 0 0 0 0 0 0
2 934 0 988 870 854 834 0 1 0 0 0 0 0 0 0
3 988 0 870 854 834 872 0 0 1 0 0 0 0 0 0
4 870 0 854 834 872 954 0 0 0 1 0 0 0 0 0
5 854 0 834 872 954 870 0 0 0 0 1 0 0 0 0
6 834 0 872 954 870 1238 0 0 0 0 0 1 0 0 0
7 872 0 954 870 1238 1082 0 0 0 0 0 0 1 0 0
8 954 0 870 1238 1082 1053 0 0 0 0 0 0 0 1 0
9 870 0 1238 1082 1053 934 0 0 0 0 0 0 0 0 1
10 1238 0 1082 1053 934 787 0 0 0 0 0 0 0 0 0
11 1082 0 1053 934 787 1081 0 0 0 0 0 0 0 0 0
12 1053 0 934 787 1081 908 0 0 0 0 0 0 0 0 0
13 934 0 787 1081 908 995 1 0 0 0 0 0 0 0 0
14 787 0 1081 908 995 825 0 1 0 0 0 0 0 0 0
15 1081 0 908 995 825 822 0 0 1 0 0 0 0 0 0
16 908 0 995 825 822 856 0 0 0 1 0 0 0 0 0
17 995 0 825 822 856 887 0 0 0 0 1 0 0 0 0
18 825 0 822 856 887 1094 0 0 0 0 0 1 0 0 0
19 822 0 856 887 1094 990 0 0 0 0 0 0 1 0 0
20 856 0 887 1094 990 936 0 0 0 0 0 0 0 1 0
21 887 0 1094 990 936 1097 0 0 0 0 0 0 0 0 1
22 1094 0 990 936 1097 918 0 0 0 0 0 0 0 0 0
23 990 0 936 1097 918 926 0 0 0 0 0 0 0 0 0
24 936 0 1097 918 926 907 0 0 0 0 0 0 0 0 0
25 1097 0 918 926 907 899 1 0 0 0 0 0 0 0 0
26 918 0 926 907 899 971 0 1 0 0 0 0 0 0 0
27 926 0 907 899 971 1087 0 0 1 0 0 0 0 0 0
28 907 0 899 971 1087 1000 0 0 0 1 0 0 0 0 0
29 899 0 971 1087 1000 1071 0 0 0 0 1 0 0 0 0
30 971 0 1087 1000 1071 1190 0 0 0 0 0 1 0 0 0
31 1087 0 1000 1071 1190 1116 0 0 0 0 0 0 1 0 0
32 1000 0 1071 1190 1116 1070 0 0 0 0 0 0 0 1 0
33 1071 0 1190 1116 1070 1314 0 0 0 0 0 0 0 0 1
34 1190 0 1116 1070 1314 1068 0 0 0 0 0 0 0 0 0
35 1116 0 1070 1314 1068 1185 0 0 0 0 0 0 0 0 0
36 1070 0 1314 1068 1185 1215 0 0 0 0 0 0 0 0 0
37 1314 0 1068 1185 1215 1145 1 0 0 0 0 0 0 0 0
38 1068 0 1185 1215 1145 1251 0 1 0 0 0 0 0 0 0
39 1185 0 1215 1145 1251 1363 0 0 1 0 0 0 0 0 0
40 1215 0 1145 1251 1363 1368 0 0 0 1 0 0 0 0 0
41 1145 0 1251 1363 1368 1535 0 0 0 0 1 0 0 0 0
42 1251 1 1363 1368 1535 1853 0 0 0 0 0 1 0 0 0
43 1363 1 1368 1535 1853 1866 0 0 0 0 0 0 1 0 0
44 1368 1 1535 1853 1866 2023 0 0 0 0 0 0 0 1 0
45 1535 1 1853 1866 2023 1373 0 0 0 0 0 0 0 0 1
46 1853 1 1866 2023 1373 1968 0 0 0 0 0 0 0 0 0
47 1866 1 2023 1373 1968 1424 0 0 0 0 0 0 0 0 0
48 2023 1 1373 1968 1424 1160 0 0 0 0 0 0 0 0 0
49 1373 1 1968 1424 1160 1243 1 0 0 0 0 0 0 0 0
50 1968 1 1424 1160 1243 1375 0 1 0 0 0 0 0 0 0
51 1424 1 1160 1243 1375 1539 0 0 1 0 0 0 0 0 0
52 1160 1 1243 1375 1539 1773 0 0 0 1 0 0 0 0 0
53 1243 1 1375 1539 1773 1906 0 0 0 0 1 0 0 0 0
54 1375 1 1539 1773 1906 2076 0 0 0 0 0 1 0 0 0
55 1539 1 1773 1906 2076 2004 0 0 0 0 0 0 1 0 0
M10 M11 t
1 0 0 1
2 0 0 2
3 0 0 3
4 0 0 4
5 0 0 5
6 0 0 6
7 0 0 7
8 0 0 8
9 0 0 9
10 1 0 10
11 0 1 11
12 0 0 12
13 0 0 13
14 0 0 14
15 0 0 15
16 0 0 16
17 0 0 17
18 0 0 18
19 0 0 19
20 0 0 20
21 0 0 21
22 1 0 22
23 0 1 23
24 0 0 24
25 0 0 25
26 0 0 26
27 0 0 27
28 0 0 28
29 0 0 29
30 0 0 30
31 0 0 31
32 0 0 32
33 0 0 33
34 1 0 34
35 0 1 35
36 0 0 36
37 0 0 37
38 0 0 38
39 0 0 39
40 0 0 40
41 0 0 41
42 0 0 42
43 0 0 43
44 0 0 44
45 0 0 45
46 1 0 46
47 0 1 47
48 0 0 48
49 0 0 49
50 0 0 50
51 0 0 51
52 0 0 52
53 0 0 53
54 0 0 54
55 0 0 55
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) x `y-1` `y-2` `y-3` `y-4`
785.5816 316.8376 0.1132 0.3314 0.0194 -0.2536
M1 M2 M3 M4 M5 M6
-59.0114 -35.8482 -25.6600 -136.2858 -141.1007 -153.2680
M7 M8 M9 M10 M11 t
-123.6214 -197.6825 -180.7946 78.1080 15.0932 4.0890
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-272.746 -74.510 2.603 67.158 475.952
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 785.5816 187.2436 4.196 0.000163 ***
x 316.8376 102.6771 3.086 0.003832 **
`y-1` 0.1132 0.1545 0.733 0.468255
`y-2` 0.3314 0.1522 2.177 0.035969 *
`y-3` 0.0194 0.1512 0.128 0.898588
`y-4` -0.2536 0.1462 -1.734 0.091161 .
M1 -59.0114 100.9725 -0.584 0.562478
M2 -35.8482 102.7440 -0.349 0.729136
M3 -25.6600 105.4646 -0.243 0.809114
M4 -136.2858 106.3422 -1.282 0.207964
M5 -141.1007 106.6551 -1.323 0.193966
M6 -153.2680 117.2422 -1.307 0.199184
M7 -123.6214 113.9452 -1.085 0.284976
M8 -197.6825 113.4235 -1.743 0.089663 .
M9 -180.7946 109.8987 -1.645 0.108419
M10 78.1080 107.7282 0.725 0.472984
M11 15.0932 107.0510 0.141 0.888642
t 4.0890 2.5657 1.594 0.119502
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 148.3 on 37 degrees of freedom
Multiple R-squared: 0.8241, Adjusted R-squared: 0.7433
F-statistic: 10.2 on 17 and 37 DF, p-value: 2.885e-09
> 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,] 0.1130922851 0.2261845701 0.8869077
[2,] 0.0406324151 0.0812648302 0.9593676
[3,] 0.0138374800 0.0276749600 0.9861625
[4,] 0.0153647089 0.0307294178 0.9846353
[5,] 0.0139018442 0.0278036884 0.9860982
[6,] 0.0084391090 0.0168782180 0.9915609
[7,] 0.0032548962 0.0065097923 0.9967451
[8,] 0.0017664142 0.0035328284 0.9982336
[9,] 0.0005751076 0.0011502152 0.9994249
[10,] 0.0003661145 0.0007322291 0.9996339
[11,] 0.0004499087 0.0008998174 0.9995501
[12,] 0.0001243824 0.0002487648 0.9998756
[13,] 0.0001933581 0.0003867163 0.9998066
[14,] 0.0284704132 0.0569408264 0.9715296
> postscript(file="/var/www/html/rcomp/tmp/118va1292952119.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$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/2tiud1292952119.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$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/rcomp/tmp/3tiud1292952119.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/4tiud1292952119.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/5mrcg1292952119.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 = 55
Frequency = 1
1 2 3 4 5 6
73.898432 -29.129989 39.282472 56.317720 7.822339 59.385814
7 8 9 10 11 12
35.496202 70.710493 -53.864501 43.445940 66.502385 61.114090
13 14 15 16 17 18
-58.317118 -253.338975 19.682908 8.380402 123.554057 2.602916
19 20 21 22 23 24
-78.646667 -58.454903 4.468536 -70.372700 -157.180087 -164.067761
25 26 27 28 29 30
67.813628 -114.633095 -88.085052 -47.815207 -81.986370 42.587479
31 32 33 34 35 36
90.101144 15.370124 139.212881 -48.278805 -104.551418 -80.324083
37 38 39 40 41 42
189.351301 -78.849906 70.019770 178.454520 102.321081 -37.367716
43 44 45 46 47 48
-17.878731 -27.625715 -89.816917 75.205565 195.229121 183.277754
49 50 51 52 53 54
-272.746243 475.951965 -40.900099 -195.337434 -151.711107 -67.208493
55
-29.071949
> postscript(file="/var/www/html/rcomp/tmp/6mrcg1292952119.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 = 55
Frequency = 1
lag(myerror, k = 1) myerror
0 73.898432 NA
1 -29.129989 73.898432
2 39.282472 -29.129989
3 56.317720 39.282472
4 7.822339 56.317720
5 59.385814 7.822339
6 35.496202 59.385814
7 70.710493 35.496202
8 -53.864501 70.710493
9 43.445940 -53.864501
10 66.502385 43.445940
11 61.114090 66.502385
12 -58.317118 61.114090
13 -253.338975 -58.317118
14 19.682908 -253.338975
15 8.380402 19.682908
16 123.554057 8.380402
17 2.602916 123.554057
18 -78.646667 2.602916
19 -58.454903 -78.646667
20 4.468536 -58.454903
21 -70.372700 4.468536
22 -157.180087 -70.372700
23 -164.067761 -157.180087
24 67.813628 -164.067761
25 -114.633095 67.813628
26 -88.085052 -114.633095
27 -47.815207 -88.085052
28 -81.986370 -47.815207
29 42.587479 -81.986370
30 90.101144 42.587479
31 15.370124 90.101144
32 139.212881 15.370124
33 -48.278805 139.212881
34 -104.551418 -48.278805
35 -80.324083 -104.551418
36 189.351301 -80.324083
37 -78.849906 189.351301
38 70.019770 -78.849906
39 178.454520 70.019770
40 102.321081 178.454520
41 -37.367716 102.321081
42 -17.878731 -37.367716
43 -27.625715 -17.878731
44 -89.816917 -27.625715
45 75.205565 -89.816917
46 195.229121 75.205565
47 183.277754 195.229121
48 -272.746243 183.277754
49 475.951965 -272.746243
50 -40.900099 475.951965
51 -195.337434 -40.900099
52 -151.711107 -195.337434
53 -67.208493 -151.711107
54 -29.071949 -67.208493
55 NA -29.071949
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] -29.129989 73.898432
[2,] 39.282472 -29.129989
[3,] 56.317720 39.282472
[4,] 7.822339 56.317720
[5,] 59.385814 7.822339
[6,] 35.496202 59.385814
[7,] 70.710493 35.496202
[8,] -53.864501 70.710493
[9,] 43.445940 -53.864501
[10,] 66.502385 43.445940
[11,] 61.114090 66.502385
[12,] -58.317118 61.114090
[13,] -253.338975 -58.317118
[14,] 19.682908 -253.338975
[15,] 8.380402 19.682908
[16,] 123.554057 8.380402
[17,] 2.602916 123.554057
[18,] -78.646667 2.602916
[19,] -58.454903 -78.646667
[20,] 4.468536 -58.454903
[21,] -70.372700 4.468536
[22,] -157.180087 -70.372700
[23,] -164.067761 -157.180087
[24,] 67.813628 -164.067761
[25,] -114.633095 67.813628
[26,] -88.085052 -114.633095
[27,] -47.815207 -88.085052
[28,] -81.986370 -47.815207
[29,] 42.587479 -81.986370
[30,] 90.101144 42.587479
[31,] 15.370124 90.101144
[32,] 139.212881 15.370124
[33,] -48.278805 139.212881
[34,] -104.551418 -48.278805
[35,] -80.324083 -104.551418
[36,] 189.351301 -80.324083
[37,] -78.849906 189.351301
[38,] 70.019770 -78.849906
[39,] 178.454520 70.019770
[40,] 102.321081 178.454520
[41,] -37.367716 102.321081
[42,] -17.878731 -37.367716
[43,] -27.625715 -17.878731
[44,] -89.816917 -27.625715
[45,] 75.205565 -89.816917
[46,] 195.229121 75.205565
[47,] 183.277754 195.229121
[48,] -272.746243 183.277754
[49,] 475.951965 -272.746243
[50,] -40.900099 475.951965
[51,] -195.337434 -40.900099
[52,] -151.711107 -195.337434
[53,] -67.208493 -151.711107
[54,] -29.071949 -67.208493
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 -29.129989 73.898432
2 39.282472 -29.129989
3 56.317720 39.282472
4 7.822339 56.317720
5 59.385814 7.822339
6 35.496202 59.385814
7 70.710493 35.496202
8 -53.864501 70.710493
9 43.445940 -53.864501
10 66.502385 43.445940
11 61.114090 66.502385
12 -58.317118 61.114090
13 -253.338975 -58.317118
14 19.682908 -253.338975
15 8.380402 19.682908
16 123.554057 8.380402
17 2.602916 123.554057
18 -78.646667 2.602916
19 -58.454903 -78.646667
20 4.468536 -58.454903
21 -70.372700 4.468536
22 -157.180087 -70.372700
23 -164.067761 -157.180087
24 67.813628 -164.067761
25 -114.633095 67.813628
26 -88.085052 -114.633095
27 -47.815207 -88.085052
28 -81.986370 -47.815207
29 42.587479 -81.986370
30 90.101144 42.587479
31 15.370124 90.101144
32 139.212881 15.370124
33 -48.278805 139.212881
34 -104.551418 -48.278805
35 -80.324083 -104.551418
36 189.351301 -80.324083
37 -78.849906 189.351301
38 70.019770 -78.849906
39 178.454520 70.019770
40 102.321081 178.454520
41 -37.367716 102.321081
42 -17.878731 -37.367716
43 -27.625715 -17.878731
44 -89.816917 -27.625715
45 75.205565 -89.816917
46 195.229121 75.205565
47 183.277754 195.229121
48 -272.746243 183.277754
49 475.951965 -272.746243
50 -40.900099 475.951965
51 -195.337434 -40.900099
52 -151.711107 -195.337434
53 -67.208493 -151.711107
54 -29.071949 -67.208493
> plot(z,main=paste('Residual Lag plot, lowess, and regression line'), ylab='values of Residuals', xlab='lagged values of Residuals')
> lines(lowess(z))
> abline(lm(z))
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/7fitj1292952119.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/8fitj1292952119.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/9fitj1292952119.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/www/html/rcomp/tmp/107ram1292952119.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
null device
1
>
> #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$coefficients[i,1] > 0) myeq <- paste(myeq, '+', '')
+ myeq <- paste(myeq, mysum$coefficients[i,1], sep=' ')
+ if (rownames(mysum$coefficients)[i] != '(Intercept)') {
+ myeq <- paste(myeq, rownames(mysum$coefficients)[i], sep='')
+ if (rownames(mysum$coefficients)[i] != 't') myeq <- paste(myeq, '[t]', sep='')
+ }
+ }
> myeq <- paste(myeq, ' + e[t]')
> a<-table.row.start(a)
> a<-table.element(a, myeq)
> a<-table.row.end(a)
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/11ta9a1292952119.tab")
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a,hyperlink('http://www.xycoon.com/ols1.htm','Multiple Linear Regression - Ordinary Least Squares',''), 6, TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a,'Variable',header=TRUE)
> a<-table.element(a,'Parameter',header=TRUE)
> a<-table.element(a,'S.D.',header=TRUE)
> a<-table.element(a,'T-STAT
H0: parameter = 0',header=TRUE)
> a<-table.element(a,'2-tail p-value',header=TRUE)
> a<-table.element(a,'1-tail p-value',header=TRUE)
> a<-table.row.end(a)
> for (i in 1:k){
+ a<-table.row.start(a)
+ a<-table.element(a,rownames(mysum$coefficients)[i],header=TRUE)
+ a<-table.element(a,mysum$coefficients[i,1])
+ a<-table.element(a, round(mysum$coefficients[i,2],6))
+ a<-table.element(a, round(mysum$coefficients[i,3],4))
+ a<-table.element(a, round(mysum$coefficients[i,4],6))
+ a<-table.element(a, round(mysum$coefficients[i,4]/2,6))
+ a<-table.row.end(a)
+ }
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/12eb7x1292952119.tab")
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Regression Statistics', 2, TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple R',1,TRUE)
> a<-table.element(a, sqrt(mysum$r.squared))
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'R-squared',1,TRUE)
> a<-table.element(a, mysum$r.squared)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Adjusted R-squared',1,TRUE)
> a<-table.element(a, mysum$adj.r.squared)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'F-TEST (value)',1,TRUE)
> a<-table.element(a, mysum$fstatistic[1])
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'F-TEST (DF numerator)',1,TRUE)
> a<-table.element(a, mysum$fstatistic[2])
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'F-TEST (DF denominator)',1,TRUE)
> a<-table.element(a, mysum$fstatistic[3])
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'p-value',1,TRUE)
> a<-table.element(a, 1-pf(mysum$fstatistic[1],mysum$fstatistic[2],mysum$fstatistic[3]))
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Residual Statistics', 2, TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Residual Standard Deviation',1,TRUE)
> a<-table.element(a, mysum$sigma)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Sum Squared Residuals',1,TRUE)
> a<-table.element(a, sum(myerror*myerror))
> a<-table.row.end(a)
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/13a2no1292952119.tab")
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Actuals, Interpolation, and Residuals', 4, TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Time or Index', 1, TRUE)
> a<-table.element(a, 'Actuals', 1, TRUE)
> a<-table.element(a, 'Interpolation
Forecast', 1, TRUE)
> a<-table.element(a, 'Residuals
Prediction Error', 1, TRUE)
> a<-table.row.end(a)
> for (i in 1:n) {
+ a<-table.row.start(a)
+ a<-table.element(a,i, 1, TRUE)
+ a<-table.element(a,x[i])
+ a<-table.element(a,x[i]-mysum$resid[i])
+ a<-table.element(a,mysum$resid[i])
+ a<-table.row.end(a)
+ }
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/14wl4c1292952119.tab")
> if (n > n25) {
+ a<-table.start()
+ a<-table.row.start(a)
+ a<-table.element(a,'Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'p-values',header=TRUE)
+ a<-table.element(a,'Alternative Hypothesis',3,header=TRUE)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'breakpoint index',header=TRUE)
+ a<-table.element(a,'greater',header=TRUE)
+ a<-table.element(a,'2-sided',header=TRUE)
+ a<-table.element(a,'less',header=TRUE)
+ a<-table.row.end(a)
+ for (mypoint in kp3:nmkm3) {
+ a<-table.row.start(a)
+ a<-table.element(a,mypoint,header=TRUE)
+ a<-table.element(a,gqarr[mypoint-kp3+1,1])
+ a<-table.element(a,gqarr[mypoint-kp3+1,2])
+ a<-table.element(a,gqarr[mypoint-kp3+1,3])
+ a<-table.row.end(a)
+ }
+ a<-table.end(a)
+ table.save(a,file="/var/www/html/rcomp/tmp/15z3ki1292952119.tab")
+ a<-table.start()
+ a<-table.row.start(a)
+ a<-table.element(a,'Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'Description',header=TRUE)
+ a<-table.element(a,'# significant tests',header=TRUE)
+ a<-table.element(a,'% significant tests',header=TRUE)
+ a<-table.element(a,'OK/NOK',header=TRUE)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'1% type I error level',header=TRUE)
+ a<-table.element(a,numsignificant1)
+ a<-table.element(a,numsignificant1/numgqtests)
+ if (numsignificant1/numgqtests < 0.01) dum <- 'OK' else dum <- 'NOK'
+ a<-table.element(a,dum)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'5% type I error level',header=TRUE)
+ a<-table.element(a,numsignificant5)
+ a<-table.element(a,numsignificant5/numgqtests)
+ if (numsignificant5/numgqtests < 0.05) dum <- 'OK' else dum <- 'NOK'
+ a<-table.element(a,dum)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'10% type I error level',header=TRUE)
+ a<-table.element(a,numsignificant10)
+ a<-table.element(a,numsignificant10/numgqtests)
+ if (numsignificant10/numgqtests < 0.1) dum <- 'OK' else dum <- 'NOK'
+ a<-table.element(a,dum)
+ a<-table.row.end(a)
+ a<-table.end(a)
+ table.save(a,file="/var/www/html/rcomp/tmp/16km1o1292952119.tab")
+ }
>
> try(system("convert tmp/118va1292952119.ps tmp/118va1292952119.png",intern=TRUE))
character(0)
> try(system("convert tmp/2tiud1292952119.ps tmp/2tiud1292952119.png",intern=TRUE))
character(0)
> try(system("convert tmp/3tiud1292952119.ps tmp/3tiud1292952119.png",intern=TRUE))
character(0)
> try(system("convert tmp/4tiud1292952119.ps tmp/4tiud1292952119.png",intern=TRUE))
character(0)
> try(system("convert tmp/5mrcg1292952119.ps tmp/5mrcg1292952119.png",intern=TRUE))
character(0)
> try(system("convert tmp/6mrcg1292952119.ps tmp/6mrcg1292952119.png",intern=TRUE))
character(0)
> try(system("convert tmp/7fitj1292952119.ps tmp/7fitj1292952119.png",intern=TRUE))
character(0)
> try(system("convert tmp/8fitj1292952119.ps tmp/8fitj1292952119.png",intern=TRUE))
character(0)
> try(system("convert tmp/9fitj1292952119.ps tmp/9fitj1292952119.png",intern=TRUE))
character(0)
> try(system("convert tmp/107ram1292952119.ps tmp/107ram1292952119.png",intern=TRUE))
character(0)
>
>
> proc.time()
user system elapsed
2.363 1.605 5.718