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*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: Wed, 22 Dec 2010 14:46:32 +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/22/t12930325614u4944futns6re5.htm/, Retrieved Wed, 22 Dec 2010 17:04:02 +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/22/t12930325614u4944futns6re5.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 «
3693 165 11.5 3436 150 11 3449 140 10.5 4341 198 10 4312 215 8.5 4425 225 10 3563 170 10 3609 160 8 3086 225 10 2372 95 15 2774 97 15.5 1835 46 20.5 2672 87 17.5 2375 95 17.5 2234 113 12.5 4615 215 14 4376 200 15 4732 193 18.5 2130 88 14.5 2228 95 14 3329 100 15.5 3288 100 15.5 4209 165 12 4096 150 13 4746 170 12 5140 175 12 2408 72 19 3282 100 15 2220 86 14 2123 90 14 2065 76 14.5 1773 65 19 1834 60 19 1955 70 20.5 2126 80 17 2226 86 16.5 4274 165 12 4135 150 13.5 4129 153 13 4633 208 11 4502 155 13.5 4422 190 12.5 2330 97 13.5 4098 130 14 4294 140 16 2933 112 14.5 2511 76 18 2395 86 16 2506 97 14.5 2164 80 15 4100 175 13 3672 150 11.5 4042 137 14.5 3777 150 12.5 4464 150 12 4363 158 13 4735 215 11 4951 225 11 3121 105 16.5 3278 100 18 3021 88 16.5 2904 95 16 4997 150 14 4499 180 12.5 2789 100 15 2401 72 19.5 2379 94 16.5 2310 85 18.5 2472 107 14 4082 145 13 4278 230 9.5 2158 75 15.5 2582 91 14 3399 150 11 2660 110 14 3664 180 11 310 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 time52 seconds
R Server'George Udny Yule' @ 72.249.76.132
R Framework
error message
The field 'Names of X columns' contains a hard return which cannot be interpreted.
Please, resubmit your request without hard returns in the 'Names of X columns'.


Multiple Linear Regression - Estimated Regression Equation
acceleration [t] = + 18.4042054369189 + 0.00218916863715812weight[t] -0.0891828583404409horsepower[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)18.40420543691890.2583371.24300
weight0.002189168637158120.00016313.436900
horsepower-0.08918285834044090.003574-24.955900


Multiple Linear Regression - Regression Statistics
Multiple R0.764889185377629
R-squared0.585055465907653
Adjusted R-squared0.583736087420873
F-TEST (value)443.432625110823
F-TEST (DF numerator)2
F-TEST (DF denominator)629
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation1.75526632074775
Sum Squared Residuals1937.92374989659


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
111.511.7736335877707-0.273633587770679
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310.513.4690478988155-2.96904789881547
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3341517.6346938927763-2.63469389277631
3351715.85979340051611.14020659948388
3361415.5944339941320-1.59443399413196
3371716.04034828583420.959651714165838
3381716.93874437515000.061255624849954
3391715.60756900595491.39243099404509
3401414.8093016181653-0.809301618165255
3411516.5973371222484-1.59733712224839
3421313.2171451798603-0.217145179860268
3431717.0760889435080-0.0760889435079652
3441416.6323638204429-2.63236382044292
3452418.52271719468945.47728280531056
3461816.29533490481561.70466509518442
3471615.33402598080520.665974019194848
3481615.33621514944230.66378485055769
3491816.67395802454891.32604197545108
3501516.6739580245489-1.67395802454892
3511614.91876005002321.08123994997684
3521915.54522922704343.45477077295659
3531715.20820031141611.79179968858394
3541716.99623581549920.00376418450080103
3551215.9369873585997-3.9369873585997
3561614.87773890170021.12226109829980
3571516.4830303518281-1.48303035182813
3581514.78855604335980.211443956640242
3591915.88064202981663.11935797018337
3601414.8542311024745-0.854231102474502
3612419.23513700434194.76486299565810
3621716.86003735870740.139962641292637
3631316.1011750063866-3.10117500638656
3641515.1245419019160-0.124541901916024
3651815.13110940782752.8688905921725
3661715.22904894071661.77095105928343
3672117.81754100122653.18245899877348
3681316.1340125359439-3.13401253594393
3691615.34450182270290.65549817729709
3701615.97753850563460.0224614943653709
3711815.79917278895372.20082721104625
3722017.23923353422382.76076646577625
3731515.0184187502614-0.0184187502613608
3741917.25455771468391.74544228531614
3752015.64926626455594.35073373544408
3761314.7837077047974-1.78370770479741
3771515.6974279745734-0.6974279745734
3781515.5278189324411-0.52781893244115
3791716.63522909935810.364770900641871
3801616.1285911415985-0.128591141598539
3811414.2732644655465-0.273264465546546
3821515.2023089157826-0.202308915782643
3831616.3638752428455-0.363875242845532
3841516.0290354958554-1.02903549585535
3851515.2395247826143-0.239524782614331
3861817.12331065094940.87668934905062
3871515.4375930170296-0.437593017029636
3881616.4404961451461-0.440496145146066
3891717.2803577370417-0.280357737041723
3901817.28035773704170.719642262958277
3911715.32490235946351.67509764053650
3921315.9732632228553-2.97326322285532
3931415.5361056057018-1.53610560570175
3941417.5982571907177-3.59825719071768
3951515.8299242043690-0.829924204368971
3961616.4607717186635-0.460771718663532
3971415.940998749081-1.94099874908099
3981515.8583833966520-0.858383396652027
3991616.4870417423094-0.487041742309429
4001917.12226759387831.87773240612169
4011113.8290693411935-2.82906934119347
4021314.2859294760815-1.28592947608146
4032016.25889820275703.74110179724305
4041515.2105955890432-0.210595589043243
4051415.9350042989526-1.93500429895256
4061917.10532730056411.89467269943592
4071315.2521897931492-2.25218979314925
4081616.6813046952335-0.68130469523346
4091817.57313327863790.426866721362131
4101716.77924422812250.220755771877467
4111916.33551910505752.66448089494251
4121516.1746667374739-1.17466673747387
4131414.4172795943109-0.41727959431095
4141415.6767854542629-1.67678545426291
4151517.1146570308958-2.11465703089576
4161616.2228284474913-0.222828447491348
4171413.99544615761750.00455384238251536
4181816.4947553597871.50524464021301
4191716.24034179658860.759658203411386
4201515.8294542030809-0.829454203080939
4211314.0589320480951-1.05893204809507
4221415.7577846938378-1.75778469383776
4231616.3125843616148-0.312584361614832
4241516.5106525960301-1.51065259603014
4251917.04574974607281.95425025392722
4261414.5486297125404-0.548629712540437
4271314.5595755557262-1.55957555572623
4281816.36512440890661.63487559109337
4291616.5544359687733-0.554435968773299
4301715.04927322017161.95072677982841
4311616.4980906399902-0.49809063999023
4321615.82622197737270.173778022627293
4331515.5915109319088-0.591510931908756
4341616.8422601173121-0.842260117312086
4351614.26690306862511.73309693137491
4361415.1696774952153-1.16967749521529
4371413.66889308388790.331106916112097
4381515.9159778914962-0.91597789149619
4391615.41371827101090.586281728989084
4401616.1337486436459-0.133748643645918
4411514.62201838913270.377981610867261
4421817.07373893706780.926261062932195
4431616.4713506150563-0.4713506150563
4441614.69426095415901.30573904584104
4451816.83902789160391.16097210839615
4461716.88281126434700.117188735652983
4471314.4075829171863-1.40758291718625
4481615.83669781927050.163302180729535
4491616.2891796168841-0.289179616884144
4501113.0025488701108-2.00254887011078
4511615.86515701155350.134842988446479
4521615.18672084302450.813279156975476
4531414.1165265429392-0.116526542939233
4541514.83655691557420.163443084425765
4551615.93302123930540.0669787606945772
4561615.0411926559010.958807344098986
4571516.1113869559863-1.11138695598630
4581716.83579566589560.164204334104378
4592018.88700140772581.11299859227424
4601717.0294855630366-0.0294855630366109
4611415.0784085227327-1.07840852273270
4621617.3145474871552-1.3145474871552
4632017.16683013139452.83316986860547
4641516.2859473911759-1.28594739117591
4651817.36927670308420.630723296915849
4662016.9518216036653.048178396335
4671817.77416984646340.225830153536606
4681717.4240059190131-0.424005919013104
4691717.1695923558147-0.169592355814731
4701515.2469745077939-0.246974507793877
4711717.2549699326639-0.254969932663897
4721717.5444101940568-0.544410194056801
4731817.13133343191200.868666568088032
474105.093836724589614.90616327541039
4751716.72263500704150.277364992958548
4761715.87240062774301.12759937225695
4771517.4279142549994-2.42791425499939
4781414.1303376650402-0.130337665040234
4791616.2034350932420-0.203435093241955
4801816.83866094481081.16133905518917
4812018.89643419255241.10356580744755
4822018.5440810964651.455918903535
4831213.8370921221561-1.83709212215606
4842519.05567044728195.94432955271805
4851816.92184935302281.07815064697716
4861113.0240736096893-2.02407360968934
4871717.4049795115567-0.404979511556733
4881717.4071686801939-0.407168680193892
4891415.6454031997567-1.64540319975665
4902018.34059146770431.65940853229570
4911516.5635018068070-1.56350180680696
4921515.2520289553462-0.252028955346246
4932219.54375199887322.4562480011268
4941617.0772803262611-1.07728032626107
4951817.52538378660040.47461621339957
4962217.71469534646714.2853046535329
4971816.66201439547911.33798560452092
4981516.6707710700277-1.67077107002771
4991616.6839060818507-0.683906081850658
5001617.7847487428562-1.78474874285616
5011616.7736619959741-0.773661995974141
5021716.78898617643420.211013823565752
5031516.3802877515637-1.38028775156373
5041715.94969764032161.05030235967837
5051615.96064348350740.0393565164925756
5061616.439395304767-0.439395304767001
5071917.77932734851081.22067265148923
5081112.4677608835532-1.46776088355316
5091515.1673274887751-0.167327488775131
5101614.00795033034941.9920496696506
5111616.0701019153653-0.0701019153653304
5122217.86470492535994.13529507464006
5131716.53790789343910.462092106560884
5141312.97059355982150.0294064401785196
5151716.99476802832710.00523197167288857
5162119.49626639913381.50373360086623
5171212.5421926172165-0.542192617216541
5181112.548760123128-1.54876012312802
5191616.5685562543593-0.56855625435933
5201311.23071976575581.76928023424417
5211113.4690478988155-2.46904789881548
5221616.6123396271025-0.612339627102492
5231718.4091318057343-1.40913180573426
5241214.4812807572636-2.48128075726359
5251616.2999646222669-0.299964622266933
5261917.3811047655381.61889523446199
5272019.26489063387310.735109366126937
5281916.77871644352652.22128355647349
5291011.0431273732383-1.04312737323828
5301313.8231201622521-0.823120162252053
5312119.27203119556761.72796880443242
5321515.1483010813188-0.14830108131876
533812.0356577139520-4.03565771395196
5341716.94947159722480.0505284027751579
5351916.51888148598272.48111851401725
5361817.43260175575870.567398244241265
5371816.54515150962861.45484849037136
5381616.5736107019117-0.573610701911698
5391817.47857429713910.521425702860944
5401110.37240482218680.627595177813159
5411213.0654039214973-1.06540392149733
5421213.0654039214973-1.06540392149733
5431211.77363358777100.226366412228961
5441315.0542698844160-2.05426988441597
5451917.19465848458661.80534151541345
5461916.75969003607012.24030996392986
5471314.0951501290427-1.09515012904270
5481413.24710491838150.752895081618544
5491013.2602399302044-3.26023993020440
5501313.2952666283989-0.295266628398935
5511717.7631662199696-0.763166219969612
5521918.21783718622040.782162813779552
5531716.06488663001000.93511336999004
5541111.1620185899229-0.16201858992287
5551514.74903544127490.250964558725072
5561515.2168414193487-0.216841419348714
55799.88776160529384-0.887761605293842
5581515.2825164784635-0.282516478463457
5591313.9666652897284-0.966665289728425
5601313.5470210216721-0.547021021672118
5611917.57119549017781.42880450982225
5621715.79410582928041.20589417071959
5632117.14717288484713.85282711515287
5641313.6521011162557-0.652101116255708
5651313.6521011162557-0.652101116255708
5661314.7551329458984-1.75513294589837
5671416.3757485764864-2.37574857648641
5681314.2030955025415-1.20309550254150
5691515.0347734756716-0.0347734756715683
5701414.6151292076153-0.615129207615261
5711214.3497698012311-2.34976980123110
5721917.48211568633231.51788431366768
5731413.95201721954640.0479827804536292
5741414.8504133088623-0.850413308862254
5751314.4088773544344-1.40887735443437
5761313.9936114236524-0.993611423652375
5771415.7816469277355-1.78164692773551
5781311.7727966396901.22720336031001
5791313.7983054136573-0.79830541365727
5801414.0789890005015-0.0789890005015414
5811414.5358491353895-0.535849135389537
5821414.9839525957289-0.983952595728899
5831413.85303462958620.146965370413777
5841112.3610068928075-1.36100689280747
5851314.1993932755452-1.19939327554524
5861212.9032446045446-0.903244604544629
5871315.1459510748786-2.1459510748786
5881314.0757567747933-1.07575677479331
5891111.5895825844468-0.589582584446755
5901514.30228420149170.69771579850833
5911614.34606757423481.65393242576517
5921213.0455405659599-1.04554056595991
593107.257411448379882.74258855162012
5941615.31889539721410.681104602785909
5951516.2129131492557-1.21291314925566
59698.669586057149870.330413942850128
5971210.92761670794391.07238329205605
5981514.60600558627360.393994413726394
5991010.2491805394150-0.249180539414952
60098.315616848208310.684383151791692
6011514.12563765215990.874362347840086
6021313.8646565830501-0.864656583050066
6031510.14743572503464.8525642749654
6041211.93984956639210.060150433607945
605149.268742153453144.73125784654686
6061212.3967097012800-0.396709701280049
6071311.13996606574831.86003393425171
608108.025133529744331.97486647025567
6091415.1925997265370-1.19259972653697
6101413.88988354962490.110116450375110
6111414.7839013016665-0.783901301666456
6121212.5696540236155-0.569654023615541
6131214.7992254821266-2.79922548212656
6141514.87365721578990.126342784210061
6151312.20036063421390.79963936578613
6161414.4364995986364-0.436499598636367
617149.332904154208784.66709584579122
618119.996589198060711.00341080193929
6191616.0719694083965-0.0719694083964852
6201313.4315103563778-0.431510356377788
6211415.4001007457790-1.40010074577896
6221213.462158717298-1.46215871729800
6231515.3136801118587-0.313680111858721
6241911.55105976824607.44894023175402
625119.595604390667761.40439560933224
6261213.6329138709963-1.63291387099633
6271314.2507294279630-1.25072942796296
628119.17663623288951.82336376711050
6291211.58676257671860.413237423281437
6301213.1986215327580-1.19862153275797
6311415.9660523657318-1.96605236573184
6321214.0495320223344-2.04953202233443


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
60.1708588103130120.3417176206260240.829141189686988
70.08248032398259060.1649606479651810.91751967601741
80.2678425642149820.5356851284299650.732157435785018
90.1755721311751360.3511442623502720.824427868824864
100.3269720894838160.6539441789676310.673027910516184
110.3997716622739710.7995433245479430.600228337726029
120.6122743419282450.775451316143510.387725658071755
130.6234788510245120.7530422979509760.376521148975488
140.5902071643561030.8195856712877940.409792835643897
150.7121823831225360.5756352337549290.287817616877464
160.9678309294617450.06433814107651040.0321690705382552
170.9945138622100460.01097227557990710.00548613778995355
180.999900821138530.0001983577229412939.91788614706467e-05
190.999825605565810.0003487888683802860.000174394434190143
200.9997077726066720.0005844547866559480.000292227393327974
210.9995757680361230.000848463927754070.000424231963877035
220.9993550416709860.001289916658028250.000644958329014127
230.9992147161105320.001570567778934900.000785283889467448
240.9989303843785930.002139231242814270.00106961562140714
250.998779312258920.002441375482158960.00122068774107948
260.9985429608570110.00291407828597760.0014570391429888
270.9988318353346750.002336329330648950.00116816466532447
280.9983520677544830.003295864491033330.00164793224551667
290.9979882465216460.004023506956708730.00201175347835436
300.9972868910157590.005426217968482410.00271310898424120
310.9965210075955090.006957984808982930.00347899240449146
320.997722248305370.004555503389258790.00227775169462939
330.9979768554266960.004046289146607060.00202314457330353
340.9993791218931980.001241756213603340.00062087810680167
350.9991323935652490.001735212869501920.000867606434750962
360.9987624270238990.002475145952202440.00123757297610122
370.998346151929950.003307696140099620.00165384807004981
380.9976421466029060.004715706794188940.00235785339709447
390.9967449900566230.006510019886753610.00325500994337680
400.9955600710916510.00887985781669720.0044399289083486
410.9939476115634720.01210477687305500.00605238843652752
420.9924159503242540.01516809935149170.00758404967574584
430.9921649947499260.01567001050014860.00783500525007429
440.9902023410470930.01959531790581400.00979765895290702
450.9891861028701130.02162779425977320.0108138971298866
460.9859720694185550.02805586116288910.0140279305814446
470.9836507392400760.03269852151984700.0163492607599235
480.978909395226320.04218120954735980.0210906047736799
490.9747078980199440.05058420396011310.0252921019800565
500.9706067021830080.05878659563398430.0293932978169921
510.9647335475886070.07053290482278690.0352664524113934
520.9640529987026460.0718940025947070.0359470012973535
530.95548859102150.0890228179569990.0445114089784995
540.9476842613852690.1046314772294620.052315738614731
550.9497260726121550.1005478547756890.0502739273878445
560.9392576026438440.1214847947123120.060742397356156
570.9292623663760840.1414752672478330.0707376336239165
580.9211506280912720.1576987438174550.0788493719087276
590.9111513319213410.1776973361573180.0888486680786589
600.9149764010185250.1700471979629500.0850235989814749
610.89955267714290.2008946457141990.100447322857100
620.8819715676941740.2360568646116510.118028432305826
630.866474788885340.2670504222293190.133525211114660
640.8457354576687870.3085290846624260.154264542331213
650.8245087171571460.3509825656857070.175491282842854
660.8489578540506610.3020842918986770.151042145949339
670.8330127968219580.3339744063560830.166987203178042
680.8502443194906530.2995113610186940.149755680509347
690.834162935905340.3316741281893210.165837064094660
700.8187280365204070.3625439269591850.181271963479593
710.8026700349815390.3946599300369230.197329965018461
720.786396878141140.427206243717720.21360312185886
730.79095241466230.4180951706754010.209047585337701
740.7978885764855890.4042228470288230.202111423514411
750.7773876455557940.4452247088884120.222612354444206
760.7536844292558010.4926311414883980.246315570744199
770.7270157514370440.5459684971259130.272984248562956
780.6987319176887690.6025361646224630.301268082311232
790.6680839672734860.6638320654530290.331916032726514
800.7928896194718730.4142207610562550.207110380528127
810.7715571630292280.4568856739415430.228442836970772
820.7833665072632250.4332669854735510.216633492736775
830.7601082180371050.479783563925790.239891781962895
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4260.9630216305791070.07395673884178530.0369783694208926
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4360.9310892664083240.1378214671833520.0689107335916758
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4380.9168834700375220.1662330599249560.0831165299624779
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5180.6984331437832990.6031337124334020.301566856216701
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5200.6679512100551810.6640975798896370.332048789944819
5210.6961598508497920.6076802983004150.303840149150208
5220.6705434259115980.6589131481768050.329456574088402
5230.6525526172762620.6948947654474760.347447382723738
5240.6821489996411360.6357020007177290.317851000358864
5250.6546753746639320.6906492506721350.345324625336068
5260.6602120694883750.679575861023250.339787930511625
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5280.68187815811190.63624368377620.3181218418881
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5300.6515906839996220.6968186320007570.348409316000378
5310.6831119933611790.6337760132776420.316888006638821
5320.654620140403630.690759719192740.34537985959637
5330.8009127453531050.398174509293790.199087254646895
5340.7798720077658980.4402559844682050.220127992234102
5350.821521711317370.356956577365260.17847828868263
5360.811764798197660.3764704036046810.188235201802341
5370.8204926310824440.3590147378351120.179507368917556
5380.7989045918765760.4021908162468470.201095408123424
5390.7911438850996880.4177122298006230.208856114900312
5400.7681112156983110.4637775686033780.231888784301689
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5440.7209768598134950.558046280373010.279023140186505
5450.7549388875722020.4901222248555960.245061112427798
5460.8088440722937060.3823118554125870.191155927706294
5470.7926982736705890.4146034526588220.207301726329411
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5490.8433112687982740.3133774624034530.156688731201726
5500.82366979036970.3526604192605980.176330209630299
5510.802142225649330.395715548701340.19785777435067
5520.8136961414763150.3726077170473700.186303858523685
5530.8131294705520750.373741058895850.186870529447925
5540.7970204239101170.4059591521797660.202979576089883
5550.7741604599948080.4516790800103830.225839540005192
5560.7473962644232180.5052074711535640.252603735576782
5570.7672942190713550.4654115618572910.232705780928645
5580.7392792881718020.5214414236563950.260720711828198
5590.7187533318934620.5624933362130770.281246668106538
5600.692838081004640.614323837990720.30716191899536
5610.7444392155314990.5111215689370020.255560784468501
5620.7576302508837040.4847394982325920.242369749116296
5630.9503296176399660.09934076472006740.0496703823600337
5640.940222758729740.119554482540520.05977724127026
5650.9285656882039420.1428686235921170.0714343117960584
5660.9207559538218870.1584880923562260.0792440461781131
5670.9128199278330810.1743601443338370.0871800721669187
5680.900578009963320.1988439800733590.0994219900366794
5690.885994185581550.2280116288369020.114005814418451
5700.8657393289354020.2685213421291950.134260671064598
5710.8738657194192080.2522685611615840.126134280580792
5720.9334914861459580.1330170277080840.0665085138540421
5730.9203525452716790.1592949094566430.0796474547283215
5740.9041309101550350.191738179689930.095869089844965
5750.8900351651891050.219929669621790.109964834810895
5760.8720680422218260.2558639155563480.127931957778174
5770.852813084548070.294373830903860.14718691545193
5780.8307303267637260.3385393464725470.169269673236274
5790.8053691468104080.3892617063791830.194630853189592
5800.7754335273336420.4491329453327170.224566472666358
5810.7418678073974960.5162643852050090.258132192602504
5820.7062234842647550.587553031470490.293776515735245
5830.6701303906839670.6597392186320650.329869609316033
5840.675237925244330.649524149511340.32476207475567
5850.6442329846236950.711534030752610.355767015376305
5860.6228938234837090.7542123530325830.377106176516291
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5900.5485572019953590.9028855960092830.451442798004641
5910.5595881137505480.8808237724989040.440411886249452
5920.5428492306439990.9143015387120010.457150769356001
5930.5107149398774230.9785701202451550.489285060122577
5940.4972233220090350.994446644018070.502776677990965
5950.449530835970360.899061671940720.55046916402964
5960.4936672203011030.9873344406022050.506332779698897
5970.4492346242927240.8984692485854480.550765375707276
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5990.4497623936493440.8995247872986890.550237606350656
6000.5475153742941450.904969251411710.452484625705855
6010.513596115443420.972807769113160.48640388455658
6020.4713889268390150.942777853678030.528611073160985
6030.5416972781800320.9166054436399350.458302721819968
6040.5072356958411790.9855286083176420.492764304158821
6050.5361837600290090.9276324799419820.463816239970991
6060.5029154673116650.994169065376670.497084532688335
6070.4462310505643730.8924621011287460.553768949435627
6080.4495359045862820.8990718091725630.550464095413718
6090.3895594413124550.779118882624910.610440558687545
6100.3290819229229250.658163845845850.670918077077075
6110.2722018289180020.5444036578360040.727798171081998
6120.2567258400017730.5134516800035460.743274159998227
6130.3181398946250330.6362797892500670.681860105374967
6140.2579534587159550.5159069174319110.742046541284045
6150.2145985622114650.429197124422930.785401437788535
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6180.1513694734402290.3027389468804580.84863052655977
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6210.06189372946091680.1237874589218340.938106270539083
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6230.04718586021673460.09437172043346910.952814139783265
6240.9941829878246380.01163402435072330.00581701217536163
6250.9791737941948940.04165241161021220.0208262058051061
6260.978836964745370.04232607050925940.0211630352546297


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level250.0402576489533011NOK
5% type I error level820.132045088566828NOK
10% type I error level1140.183574879227053NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/10nm5f1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/10nm5f1293029139.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/1ylql1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/1ylql1293029139.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/29c7o1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/29c7o1293029139.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/39c7o1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/39c7o1293029139.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/49c7o1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/49c7o1293029139.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/5k37r1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/5k37r1293029139.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/6k37r1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/6k37r1293029139.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/7vd6c1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/7vd6c1293029139.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/8vd6c1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/8vd6c1293029139.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/9nm5f1293029139.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t12930325614u4944futns6re5/9nm5f1293029139.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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Software written by Ed van Stee & Patrick Wessa


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