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Type 'q()' to quit R. > x <- array(list(18,15,15,0,17,3,21,2,22,3,24,12,17,3,25,0,16,12,18,15,21,0,19,10,18,20,20,20,25,2,28,3,19,16,20,4,25,2,20,4,21,0,21,0,23,15,19,9,23,1,20,15,19,5,17,4,19,15,21,4,18,12,18,2,24,4,22,2,20,4,17,8,25,30,24,6,18,6,21,7,13,4,21,17,21,5,16,0,18,3,19,4,22,15,18,0,18,8,20,10,19,4,18,0,20,6,20,11,23,10,17,0,17,0,18,0,22,0,16,0,18,0,14,0,13,7,21,4,25,12,16,6,17,12,22,10,24,9,18,0,18,16,18,2,19,0,15,0,25,1,22,10,15,14,21,12,16,12,23,12,20,5,19,0,20,4,18,3,18,0,20,3,20,0,16,12,18,12,18,15,16,0,23,8,14,6,21,14,13,5,27,10,20,16,22,4,21,0,19,8,22,12,12,6,28,4,21,20,18,0,21,13,19,0,23,0,21,0,21,0,22,10,18,6,15,16,23,6,24,0,18,4,15,9,19,17,17,12,14,3,16,8,22,3,15,0,23,10,24,3,24,0,20,8,9,0,23,4,18,13,20,12,25,16,17,20,21,20,26,14,20,12,21,15,15,9,20,4,20,8,16,0,19,13,22,0,17,21,25,0,19,1,17,16,21,12,12,2),dim=c(2,149),dimnames=list(c('Perf','Sport '),1:149)) > y <- array(NA,dim=c(2,149),dimnames=list(c('Perf','Sport '),1:149)) > for (i in 1:dim(x)[1]) + { + for (j in 1:dim(x)[2]) + { + y[i,j] <- as.numeric(x[i,j]) + } + } > par3 = 'No Linear Trend' > par2 = 'Do not include Seasonal Dummies' > par1 = '1' > #'GNU S' R Code compiled by R2WASP v. 1.0.44 () > #Author: Prof. Dr. P. Wessa > #To cite this work: AUTHOR(S), (YEAR), YOUR SOFTWARE TITLE (vNUMBER) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_YOURPAGE.wasp/ > #Source of accompanying publication: Office for Research, Development, and Education > #Technical description: Write here your technical program description (don't use hard returns!) > library(lattice) > library(lmtest) Loading required package: zoo > 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 Perf Sport\r 1 18 15 2 15 0 3 17 3 4 21 2 5 22 3 6 24 12 7 17 3 8 25 0 9 16 12 10 18 15 11 21 0 12 19 10 13 18 20 14 20 20 15 25 2 16 28 3 17 19 16 18 20 4 19 25 2 20 20 4 21 21 0 22 21 0 23 23 15 24 19 9 25 23 1 26 20 15 27 19 5 28 17 4 29 19 15 30 21 4 31 18 12 32 18 2 33 24 4 34 22 2 35 20 4 36 17 8 37 25 30 38 24 6 39 18 6 40 21 7 41 13 4 42 21 17 43 21 5 44 16 0 45 18 3 46 19 4 47 22 15 48 18 0 49 18 8 50 20 10 51 19 4 52 18 0 53 20 6 54 20 11 55 23 10 56 17 0 57 17 0 58 18 0 59 22 0 60 16 0 61 18 0 62 14 0 63 13 7 64 21 4 65 25 12 66 16 6 67 17 12 68 22 10 69 24 9 70 18 0 71 18 16 72 18 2 73 19 0 74 15 0 75 25 1 76 22 10 77 15 14 78 21 12 79 16 12 80 23 12 81 20 5 82 19 0 83 20 4 84 18 3 85 18 0 86 20 3 87 20 0 88 16 12 89 18 12 90 18 15 91 16 0 92 23 8 93 14 6 94 21 14 95 13 5 96 27 10 97 20 16 98 22 4 99 21 0 100 19 8 101 22 12 102 12 6 103 28 4 104 21 20 105 18 0 106 21 13 107 19 0 108 23 0 109 21 0 110 21 0 111 22 10 112 18 6 113 15 16 114 23 6 115 24 0 116 18 4 117 15 9 118 19 17 119 17 12 120 14 3 121 16 8 122 22 3 123 15 0 124 23 10 125 24 3 126 24 0 127 20 8 128 9 0 129 23 4 130 18 13 131 20 12 132 25 16 133 17 20 134 21 20 135 26 14 136 20 12 137 21 15 138 15 9 139 20 4 140 20 8 141 16 0 142 19 13 143 22 0 144 17 21 145 25 0 146 19 1 147 17 16 148 21 12 149 12 2 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) `Sport\r` 19.29892 0.03802 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -10.29892 -1.90718 0.09282 2.24488 8.58703 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 19.29892 0.41199 46.843 <2e-16 *** `Sport\r` 0.03802 0.04400 0.864 0.389 --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 3.361 on 147 degrees of freedom Multiple R-squared: 0.005054, Adjusted R-squared: -0.001715 F-statistic: 0.7467 on 1 and 147 DF, p-value: 0.3889 > if (n > n25) { + kp3 <- k + 3 + nmkm3 <- n - k - 3 + gqarr <- array(NA, dim=c(nmkm3-kp3+1,3)) + numgqtests <- 0 + numsignificant1 <- 0 + numsignificant5 <- 0 + numsignificant10 <- 0 + for (mypoint in kp3:nmkm3) { + j <- 0 + numgqtests <- numgqtests + 1 + for (myalt in c('greater', 'two.sided', 'less')) { + j <- j + 1 + gqarr[mypoint-kp3+1,j] <- gqtest(mylm, point=mypoint, alternative=myalt)$p.value + } + if (gqarr[mypoint-kp3+1,2] < 0.01) numsignificant1 <- numsignificant1 + 1 + if (gqarr[mypoint-kp3+1,2] < 0.05) numsignificant5 <- numsignificant5 + 1 + if (gqarr[mypoint-kp3+1,2] < 0.10) numsignificant10 <- numsignificant10 + 1 + } + gqarr + } [,1] [,2] [,3] [1,] 0.590260185 0.81947963 0.4097398 [2,] 0.651848061 0.69630388 0.3481519 [3,] 0.550327600 0.89934480 0.4496724 [4,] 0.765996148 0.46800770 0.2340039 [5,] 0.764717994 0.47056401 0.2352820 [6,] 0.682091064 0.63581787 0.3179089 [7,] 0.597617373 0.80476525 0.4023826 [8,] 0.501305253 0.99738949 0.4986947 [9,] 0.410596896 0.82119379 0.5894031 [10,] 0.343616904 0.68723381 0.6563831 [11,] 0.452966565 0.90593313 0.5470334 [12,] 0.746054287 0.50789143 0.2539457 [13,] 0.680614272 0.63877146 0.3193857 [14,] 0.613028137 0.77394373 0.3869719 [15,] 0.644901101 0.71019780 0.3550989 [16,] 0.580933060 0.83813388 0.4190669 [17,] 0.515698660 0.96860268 0.4843013 [18,] 0.451038686 0.90207737 0.5489613 [19,] 0.462520334 0.92504067 0.5374797 [20,] 0.404891447 0.80978289 0.5951086 [21,] 0.368969930 0.73793986 0.6310301 [22,] 0.310214512 0.62042902 0.6897855 [23,] 0.270185834 0.54037167 0.7298142 [24,] 0.284973753 0.56994751 0.7150262 [25,] 0.235411344 0.47082269 0.7645887 [26,] 0.192713843 0.38542769 0.8072862 [27,] 0.164366694 0.32873339 0.8356333 [28,] 0.154349009 0.30869802 0.8456510 [29,] 0.165810882 0.33162176 0.8341891 [30,] 0.139424089 0.27884818 0.8605759 [31,] 0.111119972 0.22223994 0.8888800 [32,] 0.109665306 0.21933061 0.8903347 [33,] 0.200154282 0.40030856 0.7998457 [34,] 0.215127225 0.43025445 0.7848728 [35,] 0.195750863 0.39150173 0.8042491 [36,] 0.162665234 0.32533047 0.8373348 [37,] 0.322584274 0.64516855 0.6774157 [38,] 0.279948048 0.55989610 0.7200520 [39,] 0.241165239 0.48233048 0.7588348 [40,] 0.262770680 0.52554136 0.7372293 [41,] 0.235979202 0.47195840 0.7640208 [42,] 0.200909508 0.40181902 0.7990905 [43,] 0.178056634 0.35611327 0.8219434 [44,] 0.155996165 0.31199233 0.8440038 [45,] 0.136840266 0.27368053 0.8631597 [46,] 0.110853892 0.22170778 0.8891461 [47,] 0.090059462 0.18011892 0.9099405 [48,] 0.076067317 0.15213463 0.9239327 [49,] 0.059719321 0.11943864 0.9402807 [50,] 0.046221817 0.09244363 0.9537782 [51,] 0.045162655 0.09032531 0.9548373 [52,] 0.041324161 0.08264832 0.9586758 [53,] 0.037359090 0.07471818 0.9626409 [54,] 0.030108747 0.06021749 0.9698913 [55,] 0.026934075 0.05386815 0.9730659 [56,] 0.028136537 0.05627307 0.9718635 [57,] 0.022344579 0.04468916 0.9776554 [58,] 0.036057467 0.07211493 0.9639425 [59,] 0.077207899 0.15441580 0.9227921 [60,] 0.064270854 0.12854171 0.9357291 [61,] 0.087670223 0.17534045 0.9123298 [62,] 0.091053305 0.18210661 0.9089467 [63,] 0.086278610 0.17255722 0.9137214 [64,] 0.076411254 0.15282251 0.9235887 [65,] 0.088005172 0.17601034 0.9119948 [66,] 0.072908354 0.14581671 0.9270916 [67,] 0.063511920 0.12702384 0.9364881 [68,] 0.052144438 0.10428888 0.9478556 [69,] 0.040731770 0.08146354 0.9592682 [70,] 0.047883554 0.09576711 0.9521164 [71,] 0.074142737 0.14828547 0.9258573 [72,] 0.065527161 0.13105432 0.9344728 [73,] 0.084348734 0.16869747 0.9156513 [74,] 0.069575428 0.13915086 0.9304246 [75,] 0.073749675 0.14749935 0.9262503 [76,] 0.072319549 0.14463910 0.9276805 [77,] 0.057713109 0.11542622 0.9422869 [78,] 0.045353849 0.09070770 0.9546462 [79,] 0.035388457 0.07077691 0.9646115 [80,] 0.028410273 0.05682055 0.9715897 [81,] 0.022439636 0.04487927 0.9775604 [82,] 0.016963699 0.03392740 0.9830363 [83,] 0.012722469 0.02544494 0.9872775 [84,] 0.013653232 0.02730646 0.9863468 [85,] 0.010888619 0.02177724 0.9891114 [86,] 0.008714068 0.01742814 0.9912859 [87,] 0.008559083 0.01711817 0.9914409 [88,] 0.008503713 0.01700743 0.9914963 [89,] 0.014160371 0.02832074 0.9858396 [90,] 0.010757141 0.02151428 0.9892429 [91,] 0.023679888 0.04735978 0.9763201 [92,] 0.059390178 0.11878036 0.9406098 [93,] 0.046414404 0.09282881 0.9535856 [94,] 0.040968188 0.08193638 0.9590318 [95,] 0.033220979 0.06644196 0.9667790 [96,] 0.025295763 0.05059153 0.9747042 [97,] 0.021496934 0.04299387 0.9785031 [98,] 0.059170344 0.11834069 0.9408297 [99,] 0.174887811 0.34977562 0.8251122 [100,] 0.148096895 0.29619379 0.8519031 [101,] 0.124833676 0.24966735 0.8751663 [102,] 0.104195921 0.20839184 0.8958041 [103,] 0.083096831 0.16619366 0.9169032 [104,] 0.084348345 0.16869669 0.9156517 [105,] 0.069881090 0.13976218 0.9301189 [106,] 0.057577841 0.11515568 0.9424222 [107,] 0.050625172 0.10125034 0.9493748 [108,] 0.039884824 0.07976965 0.9601152 [109,] 0.049202794 0.09840559 0.9507972 [110,] 0.049931598 0.09986320 0.9500684 [111,] 0.066122297 0.13224459 0.9338777 [112,] 0.051532508 0.10306502 0.9484675 [113,] 0.059559823 0.11911965 0.9404402 [114,] 0.045433134 0.09086627 0.9545669 [115,] 0.039550935 0.07910187 0.9604491 [116,] 0.054747196 0.10949439 0.9452528 [117,] 0.054540444 0.10908089 0.9454596 [118,] 0.047434511 0.09486902 0.9525655 [119,] 0.052979498 0.10595900 0.9470205 [120,] 0.049843459 0.09968692 0.9501565 [121,] 0.061231651 0.12246330 0.9387683 [122,] 0.084818966 0.16963793 0.9151810 [123,] 0.063375933 0.12675187 0.9366241 [124,] 0.347806092 0.69561218 0.6521939 [125,] 0.349004917 0.69800983 0.6509951 [126,] 0.299640786 0.59928157 0.7003592 [127,] 0.239561011 0.47912202 0.7604390 [128,] 0.321957119 0.64391424 0.6780429 [129,] 0.291709032 0.58341806 0.7082910 [130,] 0.234876579 0.46975316 0.7651234 [131,] 0.452017948 0.90403590 0.5479821 [132,] 0.378765302 0.75753060 0.6212347 [133,] 0.347066035 0.69413207 0.6529340 [134,] 0.355353924 0.71070785 0.6446461 [135,] 0.271678987 0.54335797 0.7283210 [136,] 0.200656193 0.40131239 0.7993438 [137,] 0.194859750 0.38971950 0.8051403 [138,] 0.125055279 0.25011056 0.8749447 [139,] 0.085848304 0.17169661 0.9141517 [140,] 0.043642249 0.08728450 0.9563578 > postscript(file="/var/www/rcomp/tmp/13e921289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(x[,1], type='l', main='Actuals and Interpolation', ylab='value of Actuals and Interpolation (dots)', xlab='time or index') > points(x[,1]-mysum$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/2dn851289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index') > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/3dn851289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/4ow7p1289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/5ow7p1289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > qqnorm(mysum$resid, main='Residual Normal Q-Q Plot') > qqline(mysum$resid) > grid() > dev.off() null device 1 > (myerror <- as.ts(mysum$resid)) Time Series: Start = 1 End = 149 Frequency = 1 1 2 3 4 5 6 -1.86916459 -4.29891993 -2.41296886 1.62504745 2.58703114 4.24488434 7 8 9 10 11 12 -2.41296886 5.70108007 -3.75511566 -1.86916459 1.70108007 -0.67908304 13 14 15 16 17 18 -2.05924614 -0.05924614 5.62504745 8.58703114 -0.90718090 0.54901483 19 20 21 22 23 24 5.62504745 0.54901483 1.70108007 1.70108007 3.13083541 -0.64106672 25 26 27 28 29 30 3.66306376 0.13083541 -0.48900148 -2.45098517 -0.86916459 1.54901483 31 32 33 34 35 36 -1.75511566 -1.37495255 4.54901483 2.62504745 0.54901483 -2.60305041 37 38 39 40 41 42 4.56059076 4.47298221 -1.52701779 1.43496590 -6.45098517 1.05480279 43 44 45 46 47 48 1.51099852 -3.29891993 -1.41296886 -0.45098517 2.13083541 -1.29891993 49 50 51 52 53 54 -1.60305041 0.32091696 -0.45098517 -1.29891993 0.47298221 0.28290065 55 56 57 58 59 60 3.32091696 -2.29891993 -2.29891993 -1.29891993 2.70108007 -3.29891993 61 62 63 64 65 66 -1.29891993 -5.29891993 -6.56503410 1.54901483 5.24488434 -3.52701779 67 68 69 70 71 72 -2.75511566 2.32091696 4.35893328 -1.29891993 -1.90718090 -1.37495255 73 74 75 76 77 78 -0.29891993 -4.29891993 5.66306376 2.32091696 -4.83114828 1.24488434 79 80 81 82 83 84 -3.75511566 3.24488434 0.51099852 -0.29891993 0.54901483 -1.41296886 85 86 87 88 89 90 -1.29891993 0.58703114 0.70108007 -3.75511566 -1.75511566 -1.86916459 91 92 93 94 95 96 -3.29891993 3.39694959 -5.52701779 1.16885172 -6.48900148 7.32091696 97 98 99 100 101 102 0.09281910 2.54901483 1.70108007 -0.60305041 2.24488434 -7.52701779 103 104 105 106 107 108 8.54901483 0.94075386 -1.29891993 1.20686803 -0.29891993 3.70108007 109 110 111 112 113 114 1.70108007 1.70108007 2.32091696 -1.52701779 -4.90718090 3.47298221 115 116 117 118 119 120 4.70108007 -1.45098517 -4.64106672 -0.94519721 -2.75511566 -5.41296886 121 122 123 124 125 126 -3.60305041 2.58703114 -4.29891993 3.32091696 4.58703114 4.70108007 127 128 129 130 131 132 0.39694959 -10.29891993 3.54901483 -1.79313197 0.24488434 5.09281910 133 134 135 136 137 138 -3.05924614 0.94075386 6.16885172 0.24488434 1.13083541 -4.64106672 139 140 141 142 143 144 0.54901483 0.39694959 -3.29891993 -0.79313197 2.70108007 -3.09726245 145 146 147 148 149 5.70108007 -0.33693624 -2.90718090 1.24488434 -7.37495255 > postscript(file="/var/www/rcomp/tmp/6ow7p1289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > dum <- cbind(lag(myerror,k=1),myerror) > dum Time Series: Start = 0 End = 149 Frequency = 1 lag(myerror, k = 1) myerror 0 -1.86916459 NA 1 -4.29891993 -1.86916459 2 -2.41296886 -4.29891993 3 1.62504745 -2.41296886 4 2.58703114 1.62504745 5 4.24488434 2.58703114 6 -2.41296886 4.24488434 7 5.70108007 -2.41296886 8 -3.75511566 5.70108007 9 -1.86916459 -3.75511566 10 1.70108007 -1.86916459 11 -0.67908304 1.70108007 12 -2.05924614 -0.67908304 13 -0.05924614 -2.05924614 14 5.62504745 -0.05924614 15 8.58703114 5.62504745 16 -0.90718090 8.58703114 17 0.54901483 -0.90718090 18 5.62504745 0.54901483 19 0.54901483 5.62504745 20 1.70108007 0.54901483 21 1.70108007 1.70108007 22 3.13083541 1.70108007 23 -0.64106672 3.13083541 24 3.66306376 -0.64106672 25 0.13083541 3.66306376 26 -0.48900148 0.13083541 27 -2.45098517 -0.48900148 28 -0.86916459 -2.45098517 29 1.54901483 -0.86916459 30 -1.75511566 1.54901483 31 -1.37495255 -1.75511566 32 4.54901483 -1.37495255 33 2.62504745 4.54901483 34 0.54901483 2.62504745 35 -2.60305041 0.54901483 36 4.56059076 -2.60305041 37 4.47298221 4.56059076 38 -1.52701779 4.47298221 39 1.43496590 -1.52701779 40 -6.45098517 1.43496590 41 1.05480279 -6.45098517 42 1.51099852 1.05480279 43 -3.29891993 1.51099852 44 -1.41296886 -3.29891993 45 -0.45098517 -1.41296886 46 2.13083541 -0.45098517 47 -1.29891993 2.13083541 48 -1.60305041 -1.29891993 49 0.32091696 -1.60305041 50 -0.45098517 0.32091696 51 -1.29891993 -0.45098517 52 0.47298221 -1.29891993 53 0.28290065 0.47298221 54 3.32091696 0.28290065 55 -2.29891993 3.32091696 56 -2.29891993 -2.29891993 57 -1.29891993 -2.29891993 58 2.70108007 -1.29891993 59 -3.29891993 2.70108007 60 -1.29891993 -3.29891993 61 -5.29891993 -1.29891993 62 -6.56503410 -5.29891993 63 1.54901483 -6.56503410 64 5.24488434 1.54901483 65 -3.52701779 5.24488434 66 -2.75511566 -3.52701779 67 2.32091696 -2.75511566 68 4.35893328 2.32091696 69 -1.29891993 4.35893328 70 -1.90718090 -1.29891993 71 -1.37495255 -1.90718090 72 -0.29891993 -1.37495255 73 -4.29891993 -0.29891993 74 5.66306376 -4.29891993 75 2.32091696 5.66306376 76 -4.83114828 2.32091696 77 1.24488434 -4.83114828 78 -3.75511566 1.24488434 79 3.24488434 -3.75511566 80 0.51099852 3.24488434 81 -0.29891993 0.51099852 82 0.54901483 -0.29891993 83 -1.41296886 0.54901483 84 -1.29891993 -1.41296886 85 0.58703114 -1.29891993 86 0.70108007 0.58703114 87 -3.75511566 0.70108007 88 -1.75511566 -3.75511566 89 -1.86916459 -1.75511566 90 -3.29891993 -1.86916459 91 3.39694959 -3.29891993 92 -5.52701779 3.39694959 93 1.16885172 -5.52701779 94 -6.48900148 1.16885172 95 7.32091696 -6.48900148 96 0.09281910 7.32091696 97 2.54901483 0.09281910 98 1.70108007 2.54901483 99 -0.60305041 1.70108007 100 2.24488434 -0.60305041 101 -7.52701779 2.24488434 102 8.54901483 -7.52701779 103 0.94075386 8.54901483 104 -1.29891993 0.94075386 105 1.20686803 -1.29891993 106 -0.29891993 1.20686803 107 3.70108007 -0.29891993 108 1.70108007 3.70108007 109 1.70108007 1.70108007 110 2.32091696 1.70108007 111 -1.52701779 2.32091696 112 -4.90718090 -1.52701779 113 3.47298221 -4.90718090 114 4.70108007 3.47298221 115 -1.45098517 4.70108007 116 -4.64106672 -1.45098517 117 -0.94519721 -4.64106672 118 -2.75511566 -0.94519721 119 -5.41296886 -2.75511566 120 -3.60305041 -5.41296886 121 2.58703114 -3.60305041 122 -4.29891993 2.58703114 123 3.32091696 -4.29891993 124 4.58703114 3.32091696 125 4.70108007 4.58703114 126 0.39694959 4.70108007 127 -10.29891993 0.39694959 128 3.54901483 -10.29891993 129 -1.79313197 3.54901483 130 0.24488434 -1.79313197 131 5.09281910 0.24488434 132 -3.05924614 5.09281910 133 0.94075386 -3.05924614 134 6.16885172 0.94075386 135 0.24488434 6.16885172 136 1.13083541 0.24488434 137 -4.64106672 1.13083541 138 0.54901483 -4.64106672 139 0.39694959 0.54901483 140 -3.29891993 0.39694959 141 -0.79313197 -3.29891993 142 2.70108007 -0.79313197 143 -3.09726245 2.70108007 144 5.70108007 -3.09726245 145 -0.33693624 5.70108007 146 -2.90718090 -0.33693624 147 1.24488434 -2.90718090 148 -7.37495255 1.24488434 149 NA -7.37495255 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] -4.29891993 -1.86916459 [2,] -2.41296886 -4.29891993 [3,] 1.62504745 -2.41296886 [4,] 2.58703114 1.62504745 [5,] 4.24488434 2.58703114 [6,] -2.41296886 4.24488434 [7,] 5.70108007 -2.41296886 [8,] -3.75511566 5.70108007 [9,] -1.86916459 -3.75511566 [10,] 1.70108007 -1.86916459 [11,] -0.67908304 1.70108007 [12,] -2.05924614 -0.67908304 [13,] -0.05924614 -2.05924614 [14,] 5.62504745 -0.05924614 [15,] 8.58703114 5.62504745 [16,] -0.90718090 8.58703114 [17,] 0.54901483 -0.90718090 [18,] 5.62504745 0.54901483 [19,] 0.54901483 5.62504745 [20,] 1.70108007 0.54901483 [21,] 1.70108007 1.70108007 [22,] 3.13083541 1.70108007 [23,] -0.64106672 3.13083541 [24,] 3.66306376 -0.64106672 [25,] 0.13083541 3.66306376 [26,] -0.48900148 0.13083541 [27,] -2.45098517 -0.48900148 [28,] -0.86916459 -2.45098517 [29,] 1.54901483 -0.86916459 [30,] -1.75511566 1.54901483 [31,] -1.37495255 -1.75511566 [32,] 4.54901483 -1.37495255 [33,] 2.62504745 4.54901483 [34,] 0.54901483 2.62504745 [35,] -2.60305041 0.54901483 [36,] 4.56059076 -2.60305041 [37,] 4.47298221 4.56059076 [38,] -1.52701779 4.47298221 [39,] 1.43496590 -1.52701779 [40,] -6.45098517 1.43496590 [41,] 1.05480279 -6.45098517 [42,] 1.51099852 1.05480279 [43,] -3.29891993 1.51099852 [44,] -1.41296886 -3.29891993 [45,] -0.45098517 -1.41296886 [46,] 2.13083541 -0.45098517 [47,] -1.29891993 2.13083541 [48,] -1.60305041 -1.29891993 [49,] 0.32091696 -1.60305041 [50,] -0.45098517 0.32091696 [51,] -1.29891993 -0.45098517 [52,] 0.47298221 -1.29891993 [53,] 0.28290065 0.47298221 [54,] 3.32091696 0.28290065 [55,] -2.29891993 3.32091696 [56,] -2.29891993 -2.29891993 [57,] -1.29891993 -2.29891993 [58,] 2.70108007 -1.29891993 [59,] -3.29891993 2.70108007 [60,] -1.29891993 -3.29891993 [61,] -5.29891993 -1.29891993 [62,] -6.56503410 -5.29891993 [63,] 1.54901483 -6.56503410 [64,] 5.24488434 1.54901483 [65,] -3.52701779 5.24488434 [66,] -2.75511566 -3.52701779 [67,] 2.32091696 -2.75511566 [68,] 4.35893328 2.32091696 [69,] -1.29891993 4.35893328 [70,] -1.90718090 -1.29891993 [71,] -1.37495255 -1.90718090 [72,] -0.29891993 -1.37495255 [73,] -4.29891993 -0.29891993 [74,] 5.66306376 -4.29891993 [75,] 2.32091696 5.66306376 [76,] -4.83114828 2.32091696 [77,] 1.24488434 -4.83114828 [78,] -3.75511566 1.24488434 [79,] 3.24488434 -3.75511566 [80,] 0.51099852 3.24488434 [81,] -0.29891993 0.51099852 [82,] 0.54901483 -0.29891993 [83,] -1.41296886 0.54901483 [84,] -1.29891993 -1.41296886 [85,] 0.58703114 -1.29891993 [86,] 0.70108007 0.58703114 [87,] -3.75511566 0.70108007 [88,] -1.75511566 -3.75511566 [89,] -1.86916459 -1.75511566 [90,] -3.29891993 -1.86916459 [91,] 3.39694959 -3.29891993 [92,] -5.52701779 3.39694959 [93,] 1.16885172 -5.52701779 [94,] -6.48900148 1.16885172 [95,] 7.32091696 -6.48900148 [96,] 0.09281910 7.32091696 [97,] 2.54901483 0.09281910 [98,] 1.70108007 2.54901483 [99,] -0.60305041 1.70108007 [100,] 2.24488434 -0.60305041 [101,] -7.52701779 2.24488434 [102,] 8.54901483 -7.52701779 [103,] 0.94075386 8.54901483 [104,] -1.29891993 0.94075386 [105,] 1.20686803 -1.29891993 [106,] -0.29891993 1.20686803 [107,] 3.70108007 -0.29891993 [108,] 1.70108007 3.70108007 [109,] 1.70108007 1.70108007 [110,] 2.32091696 1.70108007 [111,] -1.52701779 2.32091696 [112,] -4.90718090 -1.52701779 [113,] 3.47298221 -4.90718090 [114,] 4.70108007 3.47298221 [115,] -1.45098517 4.70108007 [116,] -4.64106672 -1.45098517 [117,] -0.94519721 -4.64106672 [118,] -2.75511566 -0.94519721 [119,] -5.41296886 -2.75511566 [120,] -3.60305041 -5.41296886 [121,] 2.58703114 -3.60305041 [122,] -4.29891993 2.58703114 [123,] 3.32091696 -4.29891993 [124,] 4.58703114 3.32091696 [125,] 4.70108007 4.58703114 [126,] 0.39694959 4.70108007 [127,] -10.29891993 0.39694959 [128,] 3.54901483 -10.29891993 [129,] -1.79313197 3.54901483 [130,] 0.24488434 -1.79313197 [131,] 5.09281910 0.24488434 [132,] -3.05924614 5.09281910 [133,] 0.94075386 -3.05924614 [134,] 6.16885172 0.94075386 [135,] 0.24488434 6.16885172 [136,] 1.13083541 0.24488434 [137,] -4.64106672 1.13083541 [138,] 0.54901483 -4.64106672 [139,] 0.39694959 0.54901483 [140,] -3.29891993 0.39694959 [141,] -0.79313197 -3.29891993 [142,] 2.70108007 -0.79313197 [143,] -3.09726245 2.70108007 [144,] 5.70108007 -3.09726245 [145,] -0.33693624 5.70108007 [146,] -2.90718090 -0.33693624 [147,] 1.24488434 -2.90718090 [148,] -7.37495255 1.24488434 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 -4.29891993 -1.86916459 2 -2.41296886 -4.29891993 3 1.62504745 -2.41296886 4 2.58703114 1.62504745 5 4.24488434 2.58703114 6 -2.41296886 4.24488434 7 5.70108007 -2.41296886 8 -3.75511566 5.70108007 9 -1.86916459 -3.75511566 10 1.70108007 -1.86916459 11 -0.67908304 1.70108007 12 -2.05924614 -0.67908304 13 -0.05924614 -2.05924614 14 5.62504745 -0.05924614 15 8.58703114 5.62504745 16 -0.90718090 8.58703114 17 0.54901483 -0.90718090 18 5.62504745 0.54901483 19 0.54901483 5.62504745 20 1.70108007 0.54901483 21 1.70108007 1.70108007 22 3.13083541 1.70108007 23 -0.64106672 3.13083541 24 3.66306376 -0.64106672 25 0.13083541 3.66306376 26 -0.48900148 0.13083541 27 -2.45098517 -0.48900148 28 -0.86916459 -2.45098517 29 1.54901483 -0.86916459 30 -1.75511566 1.54901483 31 -1.37495255 -1.75511566 32 4.54901483 -1.37495255 33 2.62504745 4.54901483 34 0.54901483 2.62504745 35 -2.60305041 0.54901483 36 4.56059076 -2.60305041 37 4.47298221 4.56059076 38 -1.52701779 4.47298221 39 1.43496590 -1.52701779 40 -6.45098517 1.43496590 41 1.05480279 -6.45098517 42 1.51099852 1.05480279 43 -3.29891993 1.51099852 44 -1.41296886 -3.29891993 45 -0.45098517 -1.41296886 46 2.13083541 -0.45098517 47 -1.29891993 2.13083541 48 -1.60305041 -1.29891993 49 0.32091696 -1.60305041 50 -0.45098517 0.32091696 51 -1.29891993 -0.45098517 52 0.47298221 -1.29891993 53 0.28290065 0.47298221 54 3.32091696 0.28290065 55 -2.29891993 3.32091696 56 -2.29891993 -2.29891993 57 -1.29891993 -2.29891993 58 2.70108007 -1.29891993 59 -3.29891993 2.70108007 60 -1.29891993 -3.29891993 61 -5.29891993 -1.29891993 62 -6.56503410 -5.29891993 63 1.54901483 -6.56503410 64 5.24488434 1.54901483 65 -3.52701779 5.24488434 66 -2.75511566 -3.52701779 67 2.32091696 -2.75511566 68 4.35893328 2.32091696 69 -1.29891993 4.35893328 70 -1.90718090 -1.29891993 71 -1.37495255 -1.90718090 72 -0.29891993 -1.37495255 73 -4.29891993 -0.29891993 74 5.66306376 -4.29891993 75 2.32091696 5.66306376 76 -4.83114828 2.32091696 77 1.24488434 -4.83114828 78 -3.75511566 1.24488434 79 3.24488434 -3.75511566 80 0.51099852 3.24488434 81 -0.29891993 0.51099852 82 0.54901483 -0.29891993 83 -1.41296886 0.54901483 84 -1.29891993 -1.41296886 85 0.58703114 -1.29891993 86 0.70108007 0.58703114 87 -3.75511566 0.70108007 88 -1.75511566 -3.75511566 89 -1.86916459 -1.75511566 90 -3.29891993 -1.86916459 91 3.39694959 -3.29891993 92 -5.52701779 3.39694959 93 1.16885172 -5.52701779 94 -6.48900148 1.16885172 95 7.32091696 -6.48900148 96 0.09281910 7.32091696 97 2.54901483 0.09281910 98 1.70108007 2.54901483 99 -0.60305041 1.70108007 100 2.24488434 -0.60305041 101 -7.52701779 2.24488434 102 8.54901483 -7.52701779 103 0.94075386 8.54901483 104 -1.29891993 0.94075386 105 1.20686803 -1.29891993 106 -0.29891993 1.20686803 107 3.70108007 -0.29891993 108 1.70108007 3.70108007 109 1.70108007 1.70108007 110 2.32091696 1.70108007 111 -1.52701779 2.32091696 112 -4.90718090 -1.52701779 113 3.47298221 -4.90718090 114 4.70108007 3.47298221 115 -1.45098517 4.70108007 116 -4.64106672 -1.45098517 117 -0.94519721 -4.64106672 118 -2.75511566 -0.94519721 119 -5.41296886 -2.75511566 120 -3.60305041 -5.41296886 121 2.58703114 -3.60305041 122 -4.29891993 2.58703114 123 3.32091696 -4.29891993 124 4.58703114 3.32091696 125 4.70108007 4.58703114 126 0.39694959 4.70108007 127 -10.29891993 0.39694959 128 3.54901483 -10.29891993 129 -1.79313197 3.54901483 130 0.24488434 -1.79313197 131 5.09281910 0.24488434 132 -3.05924614 5.09281910 133 0.94075386 -3.05924614 134 6.16885172 0.94075386 135 0.24488434 6.16885172 136 1.13083541 0.24488434 137 -4.64106672 1.13083541 138 0.54901483 -4.64106672 139 0.39694959 0.54901483 140 -3.29891993 0.39694959 141 -0.79313197 -3.29891993 142 2.70108007 -0.79313197 143 -3.09726245 2.70108007 144 5.70108007 -3.09726245 145 -0.33693624 5.70108007 146 -2.90718090 -0.33693624 147 1.24488434 -2.90718090 148 -7.37495255 1.24488434 > plot(z,main=paste('Residual Lag plot, lowess, and regression line'), ylab='values of Residuals', xlab='lagged values of Residuals') > lines(lowess(z)) > abline(lm(z)) > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/7ho7a1289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/8ho7a1289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/rcomp/tmp/9ho7a1289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/rcomp/tmp/109x6v1289896937.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$coefficients[i,1] > 0) myeq <- paste(myeq, '+', '') + myeq <- paste(myeq, mysum$coefficients[i,1], sep=' ') + if (rownames(mysum$coefficients)[i] != '(Intercept)') { + myeq <- paste(myeq, rownames(mysum$coefficients)[i], sep='') + if (rownames(mysum$coefficients)[i] != 't') myeq <- paste(myeq, '[t]', sep='') + } + } > myeq <- paste(myeq, ' + e[t]') > a<-table.row.start(a) > a<-table.element(a, myeq) > a<-table.row.end(a) > a<-table.end(a) > table.save(a,file="/var/www/rcomp/tmp/11dx4j1289896937.tab") > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,hyperlink('http://www.xycoon.com/ols1.htm','Multiple Linear Regression - Ordinary Least Squares',''), 6, TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Variable',header=TRUE) > a<-table.element(a,'Parameter',header=TRUE) > a<-table.element(a,'S.D.',header=TRUE) > a<-table.element(a,'T-STAT
H0: parameter = 0',header=TRUE) > a<-table.element(a,'2-tail p-value',header=TRUE) > a<-table.element(a,'1-tail p-value',header=TRUE) > a<-table.row.end(a) > for (i in 1:k){ + a<-table.row.start(a) + a<-table.element(a,rownames(mysum$coefficients)[i],header=TRUE) + a<-table.element(a,mysum$coefficients[i,1]) + a<-table.element(a, round(mysum$coefficients[i,2],6)) + a<-table.element(a, round(mysum$coefficients[i,3],4)) + a<-table.element(a, round(mysum$coefficients[i,4],6)) + a<-table.element(a, round(mysum$coefficients[i,4]/2,6)) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/rcomp/tmp/12gglp1289896937.tab") > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Regression Statistics', 2, TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Multiple R',1,TRUE) > a<-table.element(a, sqrt(mysum$r.squared)) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'R-squared',1,TRUE) > a<-table.element(a, mysum$r.squared) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Adjusted R-squared',1,TRUE) > a<-table.element(a, mysum$adj.r.squared) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'F-TEST (value)',1,TRUE) > a<-table.element(a, mysum$fstatistic[1]) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'F-TEST (DF numerator)',1,TRUE) > a<-table.element(a, mysum$fstatistic[2]) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'F-TEST (DF denominator)',1,TRUE) > a<-table.element(a, mysum$fstatistic[3]) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'p-value',1,TRUE) > a<-table.element(a, 1-pf(mysum$fstatistic[1],mysum$fstatistic[2],mysum$fstatistic[3])) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Residual Statistics', 2, TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Residual Standard Deviation',1,TRUE) > a<-table.element(a, mysum$sigma) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Sum Squared Residuals',1,TRUE) > a<-table.element(a, sum(myerror*myerror)) > a<-table.row.end(a) > a<-table.end(a) > table.save(a,file="/var/www/rcomp/tmp/13cqjg1289896937.tab") > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Actuals, Interpolation, and Residuals', 4, TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Time or Index', 1, TRUE) > a<-table.element(a, 'Actuals', 1, TRUE) > a<-table.element(a, 'Interpolation
Forecast', 1, TRUE) > a<-table.element(a, 'Residuals
Prediction Error', 1, TRUE) > a<-table.row.end(a) > for (i in 1:n) { + a<-table.row.start(a) + a<-table.element(a,i, 1, TRUE) + a<-table.element(a,x[i]) + a<-table.element(a,x[i]-mysum$resid[i]) + a<-table.element(a,mysum$resid[i]) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/rcomp/tmp/14g8z41289896937.tab") > if (n > n25) { + a<-table.start() + a<-table.row.start(a) + a<-table.element(a,'Goldfeld-Quandt test for Heteroskedasticity',4,TRUE) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'p-values',header=TRUE) + a<-table.element(a,'Alternative Hypothesis',3,header=TRUE) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'breakpoint index',header=TRUE) + a<-table.element(a,'greater',header=TRUE) + a<-table.element(a,'2-sided',header=TRUE) + a<-table.element(a,'less',header=TRUE) + a<-table.row.end(a) + for (mypoint in kp3:nmkm3) { + a<-table.row.start(a) + a<-table.element(a,mypoint,header=TRUE) + a<-table.element(a,gqarr[mypoint-kp3+1,1]) + a<-table.element(a,gqarr[mypoint-kp3+1,2]) + a<-table.element(a,gqarr[mypoint-kp3+1,3]) + a<-table.row.end(a) + } + a<-table.end(a) + table.save(a,file="/var/www/rcomp/tmp/15j9fs1289896937.tab") + a<-table.start() + a<-table.row.start(a) + a<-table.element(a,'Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity',4,TRUE) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'Description',header=TRUE) + a<-table.element(a,'# significant tests',header=TRUE) + a<-table.element(a,'% significant tests',header=TRUE) + a<-table.element(a,'OK/NOK',header=TRUE) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'1% type I error level',header=TRUE) + a<-table.element(a,numsignificant1) + a<-table.element(a,numsignificant1/numgqtests) + if (numsignificant1/numgqtests < 0.01) dum <- 'OK' else dum <- 'NOK' + a<-table.element(a,dum) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'5% type I error level',header=TRUE) + a<-table.element(a,numsignificant5) + a<-table.element(a,numsignificant5/numgqtests) + if (numsignificant5/numgqtests < 0.05) dum <- 'OK' else dum <- 'NOK' + a<-table.element(a,dum) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'10% type I error level',header=TRUE) + a<-table.element(a,numsignificant10) + a<-table.element(a,numsignificant10/numgqtests) + if (numsignificant10/numgqtests < 0.1) dum <- 'OK' else dum <- 'NOK' + a<-table.element(a,dum) + a<-table.row.end(a) + a<-table.end(a) + table.save(a,file="/var/www/rcomp/tmp/16f0vi1289896937.tab") + } > > try(system("convert tmp/13e921289896937.ps tmp/13e921289896937.png",intern=TRUE)) character(0) > try(system("convert tmp/2dn851289896937.ps tmp/2dn851289896937.png",intern=TRUE)) character(0) > try(system("convert tmp/3dn851289896937.ps tmp/3dn851289896937.png",intern=TRUE)) character(0) > try(system("convert tmp/4ow7p1289896937.ps tmp/4ow7p1289896937.png",intern=TRUE)) character(0) > try(system("convert tmp/5ow7p1289896937.ps tmp/5ow7p1289896937.png",intern=TRUE)) character(0) > try(system("convert tmp/6ow7p1289896937.ps tmp/6ow7p1289896937.png",intern=TRUE)) character(0) > try(system("convert tmp/7ho7a1289896937.ps tmp/7ho7a1289896937.png",intern=TRUE)) character(0) > try(system("convert tmp/8ho7a1289896937.ps tmp/8ho7a1289896937.png",intern=TRUE)) character(0) > try(system("convert tmp/9ho7a1289896937.ps tmp/9ho7a1289896937.png",intern=TRUE)) character(0) > try(system("convert tmp/109x6v1289896937.ps tmp/109x6v1289896937.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 4.96 2.09 7.07