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workshop10MR

*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 22:41:51 +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/21/t1292971246cvr9n3ifvbc8t8f.htm/, Retrieved Tue, 21 Dec 2010 23:40:59 +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/t1292971246cvr9n3ifvbc8t8f.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 «
1.3866 126.64 40.7819 1.3582 126.81 39.5915 1.3332 125.84 38.8859 1.3595 126.77 39.9068 1.3617 124.34 41.47 1.3684 124.4 41.5613 1.3394 120.48 41.6005 1.3262 118.54 41.4113 1.3173 117.66 41.84 1.3085 116.97 42.2892 1.327 120.11 43.1521 1.3182 119.16 43.5998 1.293 116.9 43.116 1.291 116.11 42.4185 1.2984 114.98 42.3687 1.2795 113.65 42.2975 1.299 115.82 42.8528 1.3174 117.59 43.535 1.326 118.57 44.7265 1.3111 118.07 45.7293 1.2816 114.98 45.7585 1.276 114.04 46.1685 1.2849 115.02 46.5075 1.2818 114.28 46.527 1.2829 115.04 46.601 1.2796 116.7 46.4607 1.3008 119.21 46.7135 1.2967 118.39 46.4113 1.2938 116.5 45.55 1.2833 115.46 44.6081 1.2823 117.59 44.4395 1.2765 117.33 44.9847 1.2634 116.2 45.7558 1.2596 116.83 45.3942 1.2705 118.99 45.697 1.2591 118.62 45.5664 1.2798 121.09 46.0205 1.2763 122.4 45.9195 1.2795 123.76 45.8005 1.2782 125.33 45.535 1.2644 123.23 45.4977 1.2596 122.52 45.5782 1.2615 123.64 45.7697 1.2555 124.67 45.2445 1.2555 124.71 45.0615 1.2658 122.53 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 time40 seconds
R Server'George Udny Yule' @ 72.249.76.132


Multiple Linear Regression - Estimated Regression Equation
Roebel[t] = + 19.0193331868182 + 4.05376191997606Dollar[t] + 0.143051902745892Yen[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)19.01933318681821.45277713.091700
Dollar4.053761919976061.5912612.54750.0111550.005577
Yen0.1430519027458920.01298111.020400


Multiple Linear Regression - Regression Statistics
Multiple R0.661024443114109
R-squared0.436953314394318
Adjusted R-squared0.434645746010688
F-TEST (value)189.356604768082
F-TEST (DF numerator)2
F-TEST (DF denominator)488
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation1.8030210851058
Sum Squared Residuals1586.43189626801


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
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30340.398541.9272958239597-1.52879582395965
30440.281542.1547755020896-1.87327550208961
30540.24542.2711034769807-2.02610347698071
30640.305542.4193119947209-2.11381199472094
30740.269642.3563654094597-2.0867654094597
30840.25142.352218028696-2.10121802869599
30940.12742.3956363426085-2.26863634260854
31039.9542.1993631351563-2.24936313515629
31139.67542.086726607362-2.41172660736199
31239.95441.8251990771573-1.87119907715729
31339.882841.9748343658719-2.09203436587193
31439.6241.9672651503835-2.34726515038348
31539.541542.0918644820911-2.55036448209107
31639.52542.1707574190528-2.64575741905277
31739.814542.3258807367679-2.51138073676791
31839.667542.3374924700172-2.66999247001718
31939.69542.4979249915440-2.80292499154404
32039.598542.5435340193931-2.94503401939313
32139.273542.4800144769103-3.20651447691029
32239.143542.3142615074125-3.17076150741253
32339.174242.1133185194499-2.93911851944990
32439.202542.3750136306842-3.17251363068419
32539.394642.6925298848064-3.29792988480644
32639.502542.5987353956376-3.09623539563761
32739.484542.7662034887471-3.2817034887471
32839.3342.5600374197104-3.23003741971036
32939.29542.430503359566-3.13550335956599
33039.267542.1312561868476-2.86375618684764
33139.253542.413500964213-3.16000096421303
33238.984542.2718486796776-3.28734867967756
33338.928542.1693737094472-3.24087370944718
33438.859242.3125192310368-3.45331923103681
33538.7742.3666411589179-3.59664115891785
33638.7942.2453550508790-3.45535505087905
33738.820542.1956417036351-3.37514170363506
33838.757742.2401553745159-3.48245537451588
33938.83942.4142770677269-3.57527706772693
34038.7842.2600384645816-3.48003846458165
34138.5442.0151004574318-3.4751004574318
34238.51141.8051614830063-3.2941614830063
34338.61541.2503700560664-2.63537005606641
34438.89841.0434943495955-2.14549434959553
34538.869141.5816456960056-2.71254569600564
34638.38440.9582324171165-2.57423241711654
34738.027741.0506431966798-3.02294319667977
34837.7240.8574454177339-3.13744541773391
34937.732540.61293993954-2.88043993954005
35037.62640.3575595182951-2.73155951829506
35137.60340.5540939256206-2.95109392562064
35237.7840.0852076025142-2.30520760251415
35338.55940.0310426132643-1.47204261326430
35439.045940.1185767179718-1.07267671797179
35538.4539.9986668234325-1.54866682343246
35638.50539.6427212893624-1.13772128936242
35738.288539.9379381048717-1.64943810487174
35837.79539.8359387249662-2.04093872496617
35937.9240.212960072967-2.29296007296703
36038.03440.118803268975-2.08480326897503
36138.02939.775373839382-1.74637383938198
36238.06340.0455312931733-1.98253129317331
36337.982840.2632117285625-2.28041172856252
36437.74539.8913591561078-2.14635915610778
36537.96939.5829091025812-1.61390910258120
36638.00739.4987696798345-1.49176967983446
36738.061539.62218003573-1.56068003573004
36838.091239.6149104170381-1.52371041703808
36938.09139.8326882193241-1.74168821932408
37038.43140.0681115883174-1.63711158831745
37138.4839.9773457182331-1.49734571823314
37238.3540.0394075889245-1.68940758892453
37338.21440.1801283494683-1.96612834946829
37438.38440.0736267700819-1.68962677008193
37538.137540.2215197824209-2.08401978242085
37638.007539.8800704243659-1.87257042436593
37738.052439.8381331869558-1.78573318695576
37838.23539.6671140750151-1.43211407501508
37938.3139.7373068742574-1.42730687425736
38038.261539.7927422976112-1.53124229761119
38138.1339.4580635632125-1.32806356321249
38238.28239.5563209385463-1.27432093854635
38338.58139.4864436447054-0.905443644705379
38439.080139.8245367177227-0.744436717722705
38539.038739.8247979175960-0.786097917596046
38639.101539.9200734832673-0.818573483267248
38739.150339.786462256492-0.636162256491975
38839.1440.1002524146473-0.960252414647324
38939.027540.1424274472199-1.11492744721990
39038.766540.0445520433671-1.27805204336711
39138.69139.9861151536928-1.29511515369276
39238.84940.2607354936491-1.41173549364912
39339.164440.4000996973513-1.23569969735127
39439.490740.3882848178097-0.897584817809702
39539.509540.4137692123776-0.904269212377566
39639.279540.1762721530023-0.896772153002345
39739.043740.1681880338733-1.12448803387332
39839.135540.1887180433465-1.05321804334654
39939.14340.3379479558692-1.19494795586919
40039.18540.3274119229303-1.14241192293031
40139.35540.580477110578-1.22547711057799
40239.29740.5953281053102-1.29832810531018
40339.451440.573612868078-1.12221286807801
40439.417340.4110795034053-0.993779503405305
40539.430540.52230516883-1.09180516883002
40639.38440.6166333019047-1.23263330190468
40739.326140.5261520364046-1.20005203640465
40839.30140.6230921682127-1.32209216821265
40939.3540.5454621692488-1.19546216924881
41039.6440.6253137829662-0.98531378296623
41139.472340.54090566424-1.06860566424005
41239.368540.1115280694448-0.743028069444797
41339.190639.8682780331427-0.677678033142686
41439.118339.9119809516395-0.79368095163952
41539.132539.8790087998752-0.746508799875158
41639.114439.9195426710219-0.80514267102186
41739.161439.9662742086032-0.804874208603208
41839.090839.9327019468533-0.841901946853262
41938.919939.6989234873388-0.779023487338824
42038.91339.6517397641436-0.738739764143616
42138.965539.3222138966862-0.356713896686217
42239.02939.365940219894-0.336940219893975
42339.08939.4927845710661-0.403784571066078
42439.0739.5852927175261-0.515292717526103
42539.004639.5514124464810-0.546812446480954
42639.103839.4760705283504-0.372270528350435
42739.357239.5919500656807-0.234750065680719
42839.38839.6378708508781-0.249870850878067
42939.38239.7258964545152-0.343896454515187
43039.439839.7478335783049-0.308033578304927
43139.253739.4719737050616-0.218273705061643
43239.230139.3885476678021-0.158447667802106
43339.276339.4029970343954-0.126697034395358
43439.28239.4614105193588-0.179410519358777
43539.332539.6138132272846-0.281313227284595
43639.55739.54069292390760.0163070760923499
43740.140.1692478255789-0.0692478255788856
43840.587540.33264250011050.254857499889480
43940.48540.33249832379190.152501676208144
44040.5540.3510482617270.198951738273047
44140.795540.36683452850390.428665471496074
44241.45640.62167289334440.834327106655641
44341.355740.51206873268760.84363126731237
44441.37440.6497140647250.724285935275002
44541.223540.72184012608350.501659873916472
44641.1540.67203315999580.477966840004195
44741.372540.82336766371740.549132336282649
44841.692340.81404775935450.878252240645539
44941.840.92863720592290.871362794077102
45041.804540.89723600145160.907263998548397
45141.6441.02777554777350.612224452226455
45241.3641.08433348085960.275666519140374
45341.574541.14771259507690.426787404923142
45441.59340.98148028720120.61151971279876
45541.57541.01090516818750.56409483181253
45641.6840.84183522696790.838164773032124
45742.005541.0183929253840.987107074616036
45842.318841.10497210138881.21382789861120
45942.56541.07864980167291.48635019832706
46042.357540.81730576110271.54019423889734
46142.2940.82519514643811.46480485356191
46242.69540.74446631425691.95053368574307
46343.002840.95893464092722.04386535907279
46442.450740.85845939889281.59224060110716
46542.470540.9020724465991.56842755340103
46642.287540.83952748947671.44797251052333
46742.317240.74813435664281.56906564335721
46842.5540.7399837714341.81001622856598
46942.752340.63984743951192.1124525604881
47042.899340.67783202995192.22146797004805
47143.155540.89251099902062.26298900097937
47243.188540.96098492659812.22751507340187
47343.4341.26593826682152.1640617331785
47443.3141.09521966806992.21478033193008
47542.81540.80865243280512.00634756719489
47642.701740.75706012897281.94463987102716
47742.2840.8348932742291.44510672577101
47841.92240.7063806088671.21561939113296
47942.1740.68365988545731.48634011454271
48042.196240.75220027911451.44399972088546
48142.321540.7322198221521.58928017784802
48242.317340.57754869005071.73975130994929
48342.39140.81936445927231.57163554072770
48442.46340.88323882047221.57976117952778
48542.412540.85512743495881.55737256504123
48642.30440.58362933293071.72037066706933
48741.81340.34546194943711.46753805056294
48841.65140.34817881117331.30282118882669
48941.53940.24775037856081.29124962143919
49041.157540.18854579787130.968954202128714
49140.954539.88107032970521.07342967029476


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
60.002666609413593590.005333218827187190.997333390586406
70.002235857866969790.004471715733939570.99776414213303
80.0008667966379402120.001733593275880420.99913320336206
90.0001689666505581540.0003379333011163090.999831033349442
100.0001024586922695530.0002049173845391060.99989754130773
110.003600823173157960.007201646346315910.996399176826842
120.01276341321054480.02552682642108970.987236586789455
130.008297308463684790.01659461692736960.991702691536315
140.00393236302598380.00786472605196760.996067636974016
150.002729137824988150.005458275649976290.997270862175012
160.001729484918759530.003458969837519050.99827051508124
170.0007830174404215840.001566034880843170.999216982559578
180.0006139248519569440.001227849703913890.999386075148043
190.002902056807963070.005804113615926140.997097943192037
200.03744101596246580.07488203192493170.962558984037534
210.08166964610045850.1633392922009170.918330353899542
220.1267665762353190.2535331524706370.873233423764681
230.2082555905065820.4165111810131630.791744409493418
240.2613762998057250.522752599611450.738623700194275
250.3335484143827710.6670968287655410.66645158561723
260.4172763406388240.8345526812776480.582723659361176
270.6014830368024280.7970339263951450.398516963197572
280.6763156277452450.647368744509510.323684372254755
290.6681362901178260.6637274197643480.331863709882174
300.6402187650293880.7195624699412250.359781234970612
310.6077662250759110.7844675498481780.392233774924089
320.5784053068168160.8431893863663680.421594693183184
330.5629884285964720.8740231428070560.437011571403528
340.5475220654011260.9049558691977480.452477934598874
350.5360876025078750.927824794984250.463912397492125
360.5208458140539450.958308371892110.479154185946055
370.5437860689981280.9124278620037450.456213931001872
380.5460628578317490.9078742843365020.453937142168251
390.5414919183210250.917016163357950.458508081678975
400.5216067524886490.9567864950227020.478393247511351
410.510387623708340.979224752583320.48961237629166
420.5070187739730310.9859624520539380.492981226026969
430.5013802974114770.9972394051770460.498619702588523
440.5036172726431760.9927654547136480.496382727356824
450.5064472221383370.9871055557233260.493552777861663
460.5025820046604280.9948359906791440.497417995339572
470.5100093258340140.9799813483319720.489990674165986
480.4925378159021710.9850756318043430.507462184097829
490.4768712091949130.9537424183898270.523128790805087
500.4703816771492460.9407633542984920.529618322850754
510.462188434844860.924376869689720.53781156515514
520.5105653657766870.9788692684466260.489434634223313
530.504077884020180.991844231959640.49592211597982
540.5704218791116290.8591562417767430.429578120888371
550.8753432653550.2493134692899990.124656734644999
560.9465531264451130.1068937471097740.0534468735548872
570.9706143018145850.0587713963708310.0293856981854155
580.9787291389312380.04254172213752400.0212708610687620
590.984925479229510.03014904154097870.0150745207704893
600.9894471568006340.0211056863987310.0105528431993655
610.9889029482501270.0221941034997450.0110970517498725
620.9889986022433120.02200279551337650.0110013977566882
630.9889827999042530.02203440019149390.0110172000957469
640.9885491002737060.02290179945258840.0114508997262942
650.987652030919490.02469593816102050.0123479690805102
660.9866284423129710.02674311537405760.0133715576870288
670.9850702845895280.02985943082094430.0149297154104722
680.983817123402360.03236575319527990.0161828765976400
690.982946248222930.03410750355413990.0170537517770700
700.9816725978071370.03665480438572560.0183274021928628
710.980254294952550.03949141009489880.0197457050474494
720.979907746321650.04018450735669870.0200922536783493
730.979326278358670.04134744328266060.0206737216413303
740.9816088546282540.03678229074349220.0183911453717461
750.9846270958216810.03074580835663780.0153729041783189
760.98725410695210.02549178609580160.0127458930479008
770.9895298237786690.02094035244266220.0104701762213311
780.9906547615457120.01869047690857630.00934523845428813
790.9906307770953440.01873844580931230.00936922290465616
800.9912343596430010.01753128071399710.00876564035699856
810.9928077559692010.01438448806159760.0071922440307988
820.9928328466154010.01433430676919690.00716715338459844
830.9927679898582160.01446402028356860.00723201014178429
840.9930000529461780.0139998941076430.0069999470538215
850.9926231929843430.01475361403131340.00737680701565671
860.9924406734619580.01511865307608320.00755932653804161
870.9920540988629390.01589180227412230.00794590113706115
880.9913858315609880.01722833687802290.00861416843901145
890.9908759627102910.01824807457941760.00912403728970881
900.9906166201373670.01876675972526510.00938337986263254
910.9897625916679750.02047481666404930.0102374083320246
920.9893586811553360.02128263768932850.0106413188446642
930.9886380859370260.0227238281259480.011361914062974
940.9875990342548250.02480193149035080.0124009657451754
950.9860262234790840.02794755304183280.0139737765209164
960.9842342478343030.03153150433139410.0157657521656970
970.9826906817855030.03461863642899440.0173093182144972
980.982903299493850.03419340101229890.0170967005061495
990.982353143658850.03529371268230070.0176468563411503
1000.9815922529745520.03681549405089670.0184077470254484
1010.979462698463470.04107460307305920.0205373015365296
1020.9762050476117420.04758990477651670.0237949523882583
1030.9744372813673850.05112543726523060.0255627186326153
1040.974479254545850.05104149090829860.0255207454541493
1050.9739078426276540.05218431474469280.0260921573723464
1060.9725476228465650.05490475430686990.0274523771534350
1070.9697462350780140.06050752984397240.0302537649219862
1080.9664176964463120.06716460710737570.0335823035536878
1090.9617004965837440.07659900683251260.0382995034162563
1100.9561391535085360.0877216929829290.0438608464914645
1110.9507611492680760.09847770146384880.0492388507319244
1120.9431214213138870.1137571573722260.056878578686113
1130.9347699471927630.1304601056144750.0652300528072373
1140.926594640976450.1468107180470990.0734053590235494
1150.9172330130806150.1655339738387700.0827669869193848
1160.9081108593959040.1837782812081920.0918891406040958
1170.8987150025394520.2025699949210970.101284997460548
1180.8877439434348710.2245121131302570.112256056565129
1190.8773289696383720.2453420607232560.122671030361628
1200.875258966594790.2494820668104190.124741033405210
1210.870606308141460.2587873837170810.129393691858541
1220.8596740301343720.2806519397312560.140325969865628
1230.8557572537559180.2884854924881630.144242746244082
1240.8507921855088910.2984156289822180.149207814491109
1250.8458143396943610.3083713206112780.154185660305639
1260.838451213835520.3230975723289590.161548786164479
1270.8290778031763930.3418443936472130.170922196823607
1280.8207505688796850.3584988622406310.179249431120315
1290.8152075425994360.3695849148011280.184792457400564
1300.8155197761897660.3689604476204680.184480223810234
1310.8215112176417950.3569775647164110.178488782358205
1320.8457223151982370.3085553696035260.154277684801763
1330.9087881919618140.1824236160763730.0912118080381864
1340.9628856250143120.0742287499713770.0371143749856885
1350.9777417125551020.04451657488979580.0222582874448979
1360.9843579497202110.03128410055957810.0156420502797890
1370.9890639764025540.02187204719489120.0109360235974456
1380.9919388260509070.01612234789818680.0080611739490934
1390.9914152825017490.01716943499650220.00858471749825108
1400.9912003039132720.01759939217345700.00879969608672848
1410.9915636309663430.01687273806731350.00843636903365674
1420.9920015803702660.01599683925946760.00799841962973378
1430.9916709449226670.01665811015466640.0083290550773332
1440.9906853796015310.01862924079693780.0093146203984689
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4790.9999999984464983.10700357910561e-091.55350178955281e-09
4800.9999999966113216.77735722265165e-093.38867861132582e-09
4810.9999999759842624.80314754945818e-082.40157377472909e-08
4820.9999999441267721.11746455673037e-075.58732278365187e-08
4830.9999992771696411.44566071793858e-067.22830358969292e-07
4840.9999875743119552.48513760907869e-051.24256880453934e-05
4850.9998203254287270.0003593491425453010.000179674571272651


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level3470.722916666666667NOK
5% type I error level4100.854166666666667NOK
10% type I error level4220.879166666666667NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/10k0he1292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/10k0he1292971268.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/1vz2k1292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/1vz2k1292971268.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/2682n1292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/2682n1292971268.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/3682n1292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/3682n1292971268.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/4682n1292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/4682n1292971268.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/5682n1292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/5682n1292971268.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/6hz181292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/6hz181292971268.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/7rr0b1292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/7rr0b1292971268.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/8rr0b1292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/8rr0b1292971268.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/9k0he1292971268.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292971246cvr9n3ifvbc8t8f/9k0he1292971268.ps (open in new window)


 
Parameters (Session):
par1 = 3 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;
 
Parameters (R input):
par1 = 3 ; 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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