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paper - monthly dummies

*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: Tue, 21 Dec 2010 20:45:54 +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/21/t1292964229r00u9uoulmksjkq.htm/, Retrieved Tue, 21 Dec 2010 21:43:52 +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/21/t1292964229r00u9uoulmksjkq.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 «
99.2 96.7 101.0 99.0 98.1 100.1 631 923 -12 -10.8 654 294 -13 -12.2 671 833 -16 -14.1 586 840 -10 -15.2 600 969 -4 -15.8 625 568 -9 -15.8 558 110 -8 -14.9 630 577 -9 -12.6 628 654 -3 -9.9 603 184 -13 -7.8 656 255 -3 -6 600 730 -1 -5 670 326 -2 -4.5 678 423 0 -3.9 641 502 0 -2.9 625 311 -3 -1.5 628 177 0 -0.5 589 767 5 0 582 471 3 0.5 636 248 4 0.9 599 885 3 0.8 621 694 1 0.1 637 406 -1 -1 595 994 0 -2 696 308 -2 -3 674 201 -1 -3.7 648 861 2 -4.7 649 605 0 -6.4 672 392 -6 -7.5 598 396 -7 -7.8 613 177 -6 -7.7 638 104 -4 -6.6 615 632 -9 -4.2 634 465 -2 -2 638 686 -3 -0.7 604 243 2 0.1 706 669 3 0.9 677 185 1 2.1 644 328 0 3.5 644 825 1 4.9 605 707 1 5.7 600 136 3 6.2 612 166 5 6.5 599 659 5 6.5 634 210 4 6.3 618 234 11 6.2 613 576 8 6.4 627 200 -1 6.3 668 973 4 5.8 651 479 4 5.1 619 661 4 5.1 644 260 6 5.8 579 936 6 6.7 601 752 6 7.1 595 376 6 6.7 588 902 4 5.5 634 341 1 4.2 594 305 6 3 606 200 0 2.2 610 926 2 2 633 685 -2 1.8 639 696 0 1.8 659 451 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 time6 seconds
R Server'RServer@AstonUniversity' @ vre.aston.ac.uk


Multiple Linear Regression - Estimated Regression Equation
Werkloosheid[t] = + 19.0441481003162 + 0.0172098995525247Consumenten[t] -0.0549615630821821Ondernemers[t] + 23.5717575323103M1[t] + 486.023699106092M2[t] + 598.714338274397M3[t] -9.23348102571175M4[t] + 14.6033922244765M5[t] + 511.341048039299M6[t] + 598.730315681691M7[t] -6.02530340177084M8[t] + 14.2209419900258M9[t] + 612.17261403743M10[t] + 604.098910778675M11[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)19.0441481003162124.0349510.15350.8784030.439202
Consumenten0.01720989955252470.1325190.12990.8970340.448517
Ondernemers-0.05496156308218210.116825-0.47050.6394490.319724
M123.5717575323103111.9268120.21060.8337940.416897
M2486.023699106092132.5829053.66580.0004680.000234
M3598.714338274397105.4017855.680300
M4-9.2334810257117581.202122-0.11370.9097840.454892
M514.6033922244765114.6301930.12740.8989820.449491
M6511.341048039299136.4607183.74720.0003580.000179
M7598.730315681691103.3054475.795700
M8-6.0253034017708479.915469-0.07540.9401090.470054
M914.2209419900258114.689740.1240.9016650.450832
M10612.17261403743136.3068794.49112.6e-051.3e-05
M11604.098910778675112.4340435.37291e-060


Multiple Linear Regression - Regression Statistics
Multiple R0.909561714641004
R-squared0.827302512740683
Adjusted R-squared0.796121021985528
F-TEST (value)26.5318460633228
F-TEST (DF numerator)13
F-TEST (DF denominator)72
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation148.159422944473
Sum Squared Residuals1580487.45172122


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
199.238.728985048055760.4710149519443
299501.254485887984-402.254485887984
3631634.30276241868-3.30276241868004
4-10.84.90724183579422-15.7072418357942
5-13-3.44162927789222-9.55837072210778
6833530.884795786234302.115204213766
7586632.78039503695-46.7803950369502
8-15.2-29.912970196574314.7129701965743
9-4-1.35780324895143-2.64219675104857
10568631.930265738471-63.9302657384712
11558625.475840334426-67.4758403344261
12-14.9-1.82643708001216-13.0735629199878
13-97.8831992826542-16.8831992826542
14654505.560336982264148.439663017736
15603621.639608212447-18.6396082124466
16-7.87.08516259510437-14.8851625951044
17-30.56734307816846-3.56734307816846
18730530.642794055474199.357205944526
19670623.49481416229546.5051858377047
20-4.51.43841541139416-5.93841541139416
210-2.032390453591462.03239045359146
22502631.376150670684-129.376150670684
23625628.660222329073-3.66022232907284
24-1.520.1237683537556-21.6237683537556
25010.2349400274451-10.2349400274451
26767505.153896704171261.846103295829
27582625.699464374706-43.6994643747062
280.57.12569554562927-6.62569554562927
2940.7410529481630133.25894705183699
30885530.392856587807354.607143412193
31621629.663172508378-8.66317250837788
320.11.66715610213776-1.56715610213776
33-10.545750156891232-1.54575015689123
34994631.32668526391362.67331473609
35696628.55363106733367.4463689326669
36-319.5963462191994-22.5963462191994
37-16.93713612702829-7.93713612702829
38861505.360586351999355.639413648001
39649628.17047560399120.829524396009
40-6.4-0.169213154314199-6.2307868456858
41-60.651451355004006-6.651451355004
42396530.693427034789-134.693427034789
43613621.150385381298-8.15038538129784
44-7.718.2827580525094-25.9827580525094
45-4-0.64985654224657-3.35014345775343
46632631.2927116067180.70728839328187
47634631.255585297082.74441470292057
48-2-7.679568259549855.67956825954985
49-39.40707460130186-12.4070746013019
50243505.096770849205-262.096770849205
51706629.10702448610676.892975513894
520.911.2938799014601-10.3938799014601
531-1.711565511072232.71156551107223
54328530.192830668828-202.192830668828
55644631.91766934975812.0823306502416
564.9-15.426991171279920.3269911712799
5710.3862486684822680.613751331517732
58136630.927630145294-494.927630145294
59612625.725094389299-13.7250943892992
606.5-6.8667921388793913.3667921388794
6157.8821389856146-2.8821389856146
62210504.7904289572-294.7904289572
63618621.1810256761-3.18102567610041
646.2-11.297524835034617.4975248350346
658-0.7032163705992118.70321637059921
66200530.021728392645-330.021728392645
67668634.29984979428633.7001502057144
685.8-2.104099409126217.90409940912621
694-0.6683469698106944.66834696981069
70661631.00529776423729.9947022357633
71644627.28786338415416.7121366158456
725.8-22.435343103694428.2353431036944
7369.69931254723713-3.69931254723713
74752504.78087950584247.21912049416
75595623.89963922797-28.8996392279699
766.7-29.645241888639236.3452418886392
774-1.103436221771765.10343622177176
78341530.171567474223-189.171567474223
79594622.693713767035-28.6937137670348
80312.455731210939-9.45573121093901
810-0.2236016107733830.223601610773383
82926631.141258810686294.858741189314
83633635.041763198635-2.04176319863484
841.8-8.2119739908192510.0119739908192
8506.4272133806632-6.4272133806632
86451505.002614761337-54.0026147613372


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.8707593656949030.2584812686101940.129240634305097
180.8116996001265880.3766007997468240.188300399873412
190.7069799825906160.5860400348187670.293020017409384
200.6334488190639830.7331023618720330.366551180936017
210.5137987286167490.9724025427665020.486201271383251
220.4203940819698710.8407881639397420.579605918030129
230.3311789984132370.6623579968264740.668821001586763
240.2483141410683970.4966282821367930.751685858931603
250.1735146710490450.3470293420980890.826485328950955
260.4372153662898490.8744307325796980.562784633710151
270.3525811549294450.705162309858890.647418845070555
280.2714491902956610.5428983805913230.728550809704339
290.202101104343810.404202208687620.79789889565619
300.3514921796186050.702984359237210.648507820381395
310.2763258549381030.5526517098762060.723674145061897
320.2147823100541670.4295646201083330.785217689945833
330.1591961978496610.3183923956993220.840803802150339
340.6103724969114410.7792550061771180.389627503088559
350.560606737422680.878786525154640.43939326257732
360.483880915491660.967761830983320.51611908450834
370.4073683110029360.8147366220058720.592631688997064
380.779475772307730.4410484553845390.220524227692269
390.7229676744734310.5540646510531380.277032325526569
400.6575144908236560.6849710183526880.342485509176344
410.5860118374241590.8279763251516820.413988162575841
420.7553130128944530.4893739742110950.244686987105547
430.695686110733960.608627778532080.30431388926604
440.6345835878504430.7308328242991130.365416412149557
450.561697708670510.8766045826589790.438302291329489
460.495548121233920.991096242467840.50445187876608
470.420908931843240.841817863686480.57909106815676
480.3514191778078070.7028383556156140.648580822192193
490.2836868423365470.5673736846730940.716313157663453
500.4269416618334340.8538833236668680.573058338166566
510.3677508628513370.7355017257026740.632249137148663
520.2968324336754130.5936648673508260.703167566324587
530.2324572961894440.4649145923788880.767542703810556
540.289420800591420.578841601182840.71057919940858
550.2248100773943560.4496201547887110.775189922605644
560.1689925537620540.3379851075241090.831007446237946
570.1218235093217780.2436470186435560.878176490678222
580.8873678288614780.2252643422770440.112632171138522
590.8356642947844030.3286714104311940.164335705215597
600.7695127466086680.4609745067826640.230487253391332
610.6878107856117060.6243784287765870.312189214388294
620.9535606415957540.09287871680849110.0464393584042455
630.9195718852214780.1608562295570450.0804281147785224
640.8654140822511550.2691718354976910.134585917748845
650.7861675375592020.4276649248815970.213832462440798
660.788082985364760.4238340292704790.21191701463524
670.6772894021060590.6454211957878820.322710597893941
680.5287164235858470.9425671528283050.471283576414153
690.3610003803508530.7220007607017050.638999619649147


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level00OK
5% type I error level00OK
10% type I error level10.0188679245283019OK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/101xxr1292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/101xxr1292964344.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/1uf0y1292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/1uf0y1292964344.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/2mozj1292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/2mozj1292964344.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/3mozj1292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/3mozj1292964344.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/4mozj1292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/4mozj1292964344.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/5xfym1292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/5xfym1292964344.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/6xfym1292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/6xfym1292964344.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/78of61292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/78of61292964344.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/88of61292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/88of61292964344.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/91xxr1292964344.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964229r00u9uoulmksjkq/91xxr1292964344.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = No Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Include Monthly 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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