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Type 'q()' to quit R. > x <- array(list(1.3954 + ,1.0685 + ,1.4790 + ,1.1010 + ,1.4619 + ,1.0996 + ,1.4670 + ,1.0978 + ,1.4799 + ,1.0893 + ,1.4508 + ,1.1018 + ,1.4678 + ,1.0931 + ,1.4824 + ,1.0842 + ,1.5189 + ,1.0409 + ,1.5348 + ,1.0245 + ,1.5666 + ,0.9994 + ,1.5446 + ,1.0090 + ,1.5803 + ,0.9947 + ,1.5718 + ,1.0080 + ,1.5832 + ,0.9986 + ,1.5801 + ,1.0184 + ,1.5605 + ,1.0357 + ,1.5416 + ,1.0556 + ,1.5479 + ,1.0409 + ,1.5580 + ,1.0474 + ,1.5790 + ,1.0219 + ,1.5554 + ,1.0427 + ,1.5761 + ,1.0205 + ,1.5360 + ,1.0490 + ,1.5621 + ,1.0344 + ,1.5773 + ,1.0193 + ,1.5710 + ,1.0238 + ,1.5925 + ,1.0165 + ,1.5844 + ,1.0218 + ,1.5696 + ,1.0370 + ,1.5540 + ,1.0508 + ,1.5012 + ,1.0813 + ,1.4676 + ,1.0970 + ,1.4770 + ,1.0989 + ,1.4660 + ,1.1018 + ,1.4241 + ,1.1166 + ,1.4214 + ,1.1319 + ,1.4469 + ,1.1020 + ,1.4618 + ,1.0884 + ,1.3834 + ,1.1263 + ,1.3412 + ,1.1345 + ,1.3437 + ,1.1337 + ,1.2630 + ,1.1660 + ,1.2759 + ,1.1550 + ,1.2743 + ,1.1782 + ,1.2797 + ,1.1856 + ,1.2573 + ,1.2219 + ,1.2705 + ,1.2130 + ,1.2680 + ,1.2230 + ,1.3371 + ,1.1767 + ,1.3885 + ,1.1077 + ,1.4060 + ,1.0672 + ,1.3855 + ,1.0840 + ,1.3431 + ,1.1154 + ,1.3257 + ,1.1184 + ,1.2978 + ,1.1570 + ,1.2793 + ,1.1625 + ,1.2945 + ,1.1627 + ,1.2890 + ,1.1578 + ,1.2848 + ,1.1533 + ,1.2694 + ,1.1684 + ,1.2636 + ,1.1597 + ,1.2900 + ,1.1888 + ,1.3559 + ,1.1296 + ,1.3305 + ,1.1424 + ,1.3482 + ,1.1317 + ,1.3146 + ,1.1581 + ,1.3027 + ,1.1672 + ,1.3247 + ,1.1391 + ,1.3267 + ,1.1357 + ,1.3621 + ,1.1065 + ,1.3479 + ,1.1232 + ,1.4011 + ,1.0845 + ,1.4135 + ,1.0676 + ,1.3964 + ,1.0863 + ,1.4010 + ,1.0792 + ,1.3955 + ,1.0799 + ,1.4077 + ,1.0817 + ,1.3975 + ,1.0869 + ,1.3949 + ,1.0843 + ,1.4138 + ,1.0747 + ,1.4210 + ,1.0711 + ,1.4253 + ,1.0688 + ,1.4169 + ,1.0828 + ,1.4174 + ,1.0746 + ,1.4346 + ,1.0568 + ,1.4296 + ,1.0600 + ,1.4311 + ,1.0593 + ,1.4594 + ,1.0370 + ,1.4722 + ,1.0288 + ,1.4669 + ,1.0295 + ,1.4571 + ,1.0352 + ,1.4709 + ,1.0324 + ,1.4893 + ,1.0186 + ,1.4997 + ,1.0094 + ,1.4713 + ,1.0258 + ,1.4846 + ,1.0170 + ,1.4914 + ,1.0117 + ,1.4859 + ,1.0175 + ,1.4957 + ,1.0064 + ,1.4843 + ,1.0168 + ,1.4619 + ,1.0340 + ,1.4340 + ,1.0423 + ,1.4426 + ,1.0356 + ,1.4318 + ,1.0348) + ,dim=c(2 + ,105) + ,dimnames=list(c('eu/us' + ,'us/ch') + ,1:105)) > y <- array(NA,dim=c(2,105),dimnames=list(c('eu/us','us/ch'),1:105)) > for (i in 1:dim(x)[1]) + { + for (j in 1:dim(x)[2]) + { + y[i,j] <- as.numeric(x[i,j]) + } + } > par3 = 'Linear Trend' > par2 = '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 Attaching package: 'zoo' The following object(s) are masked from package:base : as.Date.numeric > n25 <- 25 #minimum number of obs. for Goldfeld-Quandt test > par1 <- as.numeric(par1) > x <- t(y) > k <- length(x[1,]) > n <- length(x[,1]) > x1 <- cbind(x[,par1], x[,1:k!=par1]) > mycolnames <- c(colnames(x)[par1], colnames(x)[1:k!=par1]) > colnames(x1) <- mycolnames #colnames(x)[par1] > x <- x1 > if (par3 == 'First Differences'){ + x2 <- array(0, dim=c(n-1,k), dimnames=list(1:(n-1), paste('(1-B)',colnames(x),sep=''))) + for (i in 1:n-1) { + for (j in 1:k) { + x2[i,j] <- x[i+1,j] - x[i,j] + } + } + x <- x2 + } > if (par2 == 'Include Monthly Dummies'){ + x2 <- array(0, dim=c(n,11), dimnames=list(1:n, paste('M', seq(1:11), sep =''))) + for (i in 1:11){ + x2[seq(i,n,12),i] <- 1 + } + x <- cbind(x, x2) + } > if (par2 == 'Include Quarterly Dummies'){ + x2 <- array(0, dim=c(n,3), dimnames=list(1:n, paste('Q', seq(1:3), sep =''))) + for (i in 1:3){ + x2[seq(i,n,4),i] <- 1 + } + x <- cbind(x, x2) + } > k <- length(x[1,]) > if (par3 == 'Linear Trend'){ + x <- cbind(x, c(1:n)) + colnames(x)[k+1] <- 't' + } > x eu/us us/ch t 1 1.3954 1.0685 1 2 1.4790 1.1010 2 3 1.4619 1.0996 3 4 1.4670 1.0978 4 5 1.4799 1.0893 5 6 1.4508 1.1018 6 7 1.4678 1.0931 7 8 1.4824 1.0842 8 9 1.5189 1.0409 9 10 1.5348 1.0245 10 11 1.5666 0.9994 11 12 1.5446 1.0090 12 13 1.5803 0.9947 13 14 1.5718 1.0080 14 15 1.5832 0.9986 15 16 1.5801 1.0184 16 17 1.5605 1.0357 17 18 1.5416 1.0556 18 19 1.5479 1.0409 19 20 1.5580 1.0474 20 21 1.5790 1.0219 21 22 1.5554 1.0427 22 23 1.5761 1.0205 23 24 1.5360 1.0490 24 25 1.5621 1.0344 25 26 1.5773 1.0193 26 27 1.5710 1.0238 27 28 1.5925 1.0165 28 29 1.5844 1.0218 29 30 1.5696 1.0370 30 31 1.5540 1.0508 31 32 1.5012 1.0813 32 33 1.4676 1.0970 33 34 1.4770 1.0989 34 35 1.4660 1.1018 35 36 1.4241 1.1166 36 37 1.4214 1.1319 37 38 1.4469 1.1020 38 39 1.4618 1.0884 39 40 1.3834 1.1263 40 41 1.3412 1.1345 41 42 1.3437 1.1337 42 43 1.2630 1.1660 43 44 1.2759 1.1550 44 45 1.2743 1.1782 45 46 1.2797 1.1856 46 47 1.2573 1.2219 47 48 1.2705 1.2130 48 49 1.2680 1.2230 49 50 1.3371 1.1767 50 51 1.3885 1.1077 51 52 1.4060 1.0672 52 53 1.3855 1.0840 53 54 1.3431 1.1154 54 55 1.3257 1.1184 55 56 1.2978 1.1570 56 57 1.2793 1.1625 57 58 1.2945 1.1627 58 59 1.2890 1.1578 59 60 1.2848 1.1533 60 61 1.2694 1.1684 61 62 1.2636 1.1597 62 63 1.2900 1.1888 63 64 1.3559 1.1296 64 65 1.3305 1.1424 65 66 1.3482 1.1317 66 67 1.3146 1.1581 67 68 1.3027 1.1672 68 69 1.3247 1.1391 69 70 1.3267 1.1357 70 71 1.3621 1.1065 71 72 1.3479 1.1232 72 73 1.4011 1.0845 73 74 1.4135 1.0676 74 75 1.3964 1.0863 75 76 1.4010 1.0792 76 77 1.3955 1.0799 77 78 1.4077 1.0817 78 79 1.3975 1.0869 79 80 1.3949 1.0843 80 81 1.4138 1.0747 81 82 1.4210 1.0711 82 83 1.4253 1.0688 83 84 1.4169 1.0828 84 85 1.4174 1.0746 85 86 1.4346 1.0568 86 87 1.4296 1.0600 87 88 1.4311 1.0593 88 89 1.4594 1.0370 89 90 1.4722 1.0288 90 91 1.4669 1.0295 91 92 1.4571 1.0352 92 93 1.4709 1.0324 93 94 1.4893 1.0186 94 95 1.4997 1.0094 95 96 1.4713 1.0258 96 97 1.4846 1.0170 97 98 1.4914 1.0117 98 99 1.4859 1.0175 99 100 1.4957 1.0064 100 101 1.4843 1.0168 101 102 1.4619 1.0340 102 103 1.4340 1.0423 103 104 1.4426 1.0356 104 105 1.4318 1.0348 105 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) `us/ch` t 3.146894 -1.527587 -0.001141 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -0.118127 -0.013494 0.001233 0.016407 0.047671 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 3.147e+00 5.106e-02 61.63 <2e-16 *** `us/ch` -1.528e+00 4.677e-02 -32.66 <2e-16 *** t -1.141e-03 8.722e-05 -13.08 <2e-16 *** --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Residual standard error: 0.02708 on 102 degrees of freedom Multiple R-squared: 0.9226, Adjusted R-squared: 0.9211 F-statistic: 608.1 on 2 and 102 DF, p-value: < 2.2e-16 > 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,] 0.56474926 8.705015e-01 4.352507e-01 [2,] 0.40163990 8.032798e-01 5.983601e-01 [3,] 0.37255780 7.451156e-01 6.274422e-01 [4,] 0.67635030 6.472994e-01 3.236497e-01 [5,] 0.64270883 7.145823e-01 3.572912e-01 [6,] 0.64252459 7.149508e-01 3.574754e-01 [7,] 0.61479276 7.704145e-01 3.852072e-01 [8,] 0.58257914 8.348417e-01 4.174209e-01 [9,] 0.51964768 9.607046e-01 4.803523e-01 [10,] 0.47082054 9.416411e-01 5.291795e-01 [11,] 0.39591886 7.918377e-01 6.040811e-01 [12,] 0.38064762 7.612952e-01 6.193524e-01 [13,] 0.39028234 7.805647e-01 6.097177e-01 [14,] 0.38787498 7.757500e-01 6.121250e-01 [15,] 0.32649629 6.529926e-01 6.735037e-01 [16,] 0.26815867 5.363173e-01 7.318413e-01 [17,] 0.24309893 4.861979e-01 7.569011e-01 [18,] 0.20992599 4.198520e-01 7.900740e-01 [19,] 0.24955072 4.991014e-01 7.504493e-01 [20,] 0.21669448 4.333890e-01 7.833055e-01 [21,] 0.18367934 3.673587e-01 8.163207e-01 [22,] 0.16064994 3.212999e-01 8.393501e-01 [23,] 0.12298618 2.459724e-01 8.770138e-01 [24,] 0.09583845 1.916769e-01 9.041615e-01 [25,] 0.08022029 1.604406e-01 9.197797e-01 [26,] 0.07806511 1.561302e-01 9.219349e-01 [27,] 0.12890988 2.578198e-01 8.710901e-01 [28,] 0.23210638 4.642128e-01 7.678936e-01 [29,] 0.30350175 6.070035e-01 6.964983e-01 [30,] 0.41095476 8.219095e-01 5.890452e-01 [31,] 0.58136949 8.372610e-01 4.186305e-01 [32,] 0.73290450 5.341910e-01 2.670955e-01 [33,] 0.86508268 2.698346e-01 1.349173e-01 [34,] 0.96717601 6.564798e-02 3.282399e-02 [35,] 0.99412048 1.175904e-02 5.879522e-03 [36,] 0.99931304 1.373923e-03 6.869617e-04 [37,] 0.99982732 3.453524e-04 1.726762e-04 [38,] 0.99999163 1.673656e-05 8.368281e-06 [39,] 0.99999939 1.212722e-06 6.063608e-07 [40,] 0.99999920 1.602165e-06 8.010825e-07 [41,] 0.99999843 3.142362e-06 1.571181e-06 [42,] 0.99999871 2.580852e-06 1.290426e-06 [43,] 0.99999917 1.668109e-06 8.340547e-07 [44,] 0.99999989 2.170901e-07 1.085450e-07 [45,] 1.00000000 6.393079e-10 3.196540e-10 [46,] 1.00000000 1.439107e-10 7.195535e-11 [47,] 1.00000000 3.930224e-11 1.965112e-11 [48,] 1.00000000 2.709448e-11 1.354724e-11 [49,] 1.00000000 2.662643e-11 1.331321e-11 [50,] 1.00000000 3.669902e-12 1.834951e-12 [51,] 1.00000000 8.450036e-12 4.225018e-12 [52,] 1.00000000 7.810466e-12 3.905233e-12 [53,] 1.00000000 2.203419e-11 1.101710e-11 [54,] 1.00000000 2.856002e-11 1.428001e-11 [55,] 1.00000000 6.637453e-12 3.318726e-12 [56,] 1.00000000 2.576669e-12 1.288334e-12 [57,] 1.00000000 4.025768e-16 2.012884e-16 [58,] 1.00000000 5.556639e-17 2.778320e-17 [59,] 1.00000000 1.380031e-16 6.900155e-17 [60,] 1.00000000 6.032099e-16 3.016050e-16 [61,] 1.00000000 2.018248e-15 1.009124e-15 [62,] 1.00000000 3.409018e-15 1.704509e-15 [63,] 1.00000000 1.587722e-15 7.938608e-16 [64,] 1.00000000 7.377410e-15 3.688705e-15 [65,] 1.00000000 3.231178e-14 1.615589e-14 [66,] 1.00000000 5.928054e-14 2.964027e-14 [67,] 1.00000000 2.663953e-13 1.331976e-13 [68,] 1.00000000 1.099258e-12 5.496289e-13 [69,] 1.00000000 5.068464e-13 2.534232e-13 [70,] 1.00000000 1.758271e-12 8.791354e-13 [71,] 1.00000000 2.144778e-12 1.072389e-12 [72,] 1.00000000 4.190425e-13 2.095212e-13 [73,] 1.00000000 2.024130e-12 1.012065e-12 [74,] 1.00000000 8.832045e-12 4.416023e-12 [75,] 1.00000000 1.376355e-11 6.881774e-12 [76,] 1.00000000 4.789849e-11 2.394924e-11 [77,] 1.00000000 2.130004e-10 1.065002e-10 [78,] 1.00000000 1.016671e-09 5.083355e-10 [79,] 1.00000000 2.398079e-10 1.199040e-10 [80,] 1.00000000 4.014503e-10 2.007252e-10 [81,] 1.00000000 2.288963e-09 1.144481e-09 [82,] 0.99999999 1.196600e-08 5.982999e-09 [83,] 0.99999998 4.156806e-08 2.078403e-08 [84,] 0.99999989 2.101150e-07 1.050575e-07 [85,] 0.99999950 9.932232e-07 4.966116e-07 [86,] 0.99999855 2.899269e-06 1.449634e-06 [87,] 0.99999708 5.844512e-06 2.922256e-06 [88,] 0.99998520 2.959205e-05 1.479603e-05 [89,] 0.99992833 1.433388e-04 7.166942e-05 [90,] 0.99970091 5.981723e-04 2.990861e-04 [91,] 0.99910422 1.791568e-03 8.957839e-04 [92,] 0.99789769 4.204628e-03 2.102314e-03 [93,] 0.99571088 8.578233e-03 4.289116e-03 [94,] 0.98731472 2.537057e-02 1.268528e-02 > postscript(file="/var/www/html/freestat/rcomp/tmp/1hxht1290507380.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/2hxht1290507380.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/html/freestat/rcomp/tmp/3s6ge1290507380.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/4s6ge1290507380.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/5s6ge1290507380.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 = 105 Frequency = 1 1 2 3 4 5 -0.1181268340 0.0162609431 -0.0018364652 0.0016550919 0.0027118189 6 7 8 9 10 -0.0061521358 -0.0013009261 0.0008447662 -0.0276585200 -0.0356697271 11 12 13 14 15 -0.0410709375 -0.0472648933 -0.0322681685 -0.0193100539 -0.0211281548 16 17 18 19 20 0.0071592726 0.0151277335 0.0277679196 0.0127536097 0.0339241355 21 22 23 24 25 0.0171118905 0.0264269045 0.0143556952 0.0189331259 0.0238715747 26 27 28 29 30 0.0171462302 0.0188615829 0.0303514137 0.0314888356 0.0410493647 31 32 33 34 35 0.0476712726 0.0426038765 0.0341281989 0.0475718264 0.0421430405 36 37 38 39 40 0.0239925350 0.0458058227 0.0267721967 0.0220382321 0.0026749768 41 42 43 44 45 -0.0258576002 -0.0234384565 -0.0536561968 -0.0564184363 -0.0214372145 46 47 48 49 50 -0.0035918607 0.0306007454 0.0313464377 0.0452635166 0.0447774705 51 52 53 54 55 -0.0080847910 -0.0513108349 -0.0450061672 -0.0382987354 -0.0499747627 56 57 58 59 60 -0.0177687074 -0.0267257682 -0.0100790379 -0.0219229992 -0.0318559259 61 62 63 64 65 -0.0230481554 -0.0409969458 0.0309970369 0.0076051239 0.0028994452 66 67 68 69 70 0.0053954817 0.0132649806 0.0164072315 -0.0033767386 -0.0054293201 71 72 73 74 75 -0.0134936355 -0.0010417265 -0.0058181144 -0.0180931148 -0.0054860326 76 77 78 79 80 -0.0105906844 -0.0138801608 0.0022107080 0.0010953712 -0.0043351409 81 82 83 84 85 0.0010412408 0.0038831421 0.0058109059 0.0199383311 0.0090533340 86 87 88 89 90 0.0002035058 0.0012329958 0.0028048982 -0.0018190698 -0.0004040668 91 92 93 94 95 -0.0034935432 -0.0034450867 0.0072188838 0.0056794019 0.0031668183 96 97 98 99 100 0.0009604513 0.0019589023 0.0018039064 0.0063051215 0.0002901234 101 102 103 104 105 0.0059182369 0.0109339392 -0.0031458792 -0.0036394964 -0.0145203526 > postscript(file="/var/www/html/freestat/rcomp/tmp/62xfz1290507380.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 = 105 Frequency = 1 lag(myerror, k = 1) myerror 0 -0.1181268340 NA 1 0.0162609431 -0.1181268340 2 -0.0018364652 0.0162609431 3 0.0016550919 -0.0018364652 4 0.0027118189 0.0016550919 5 -0.0061521358 0.0027118189 6 -0.0013009261 -0.0061521358 7 0.0008447662 -0.0013009261 8 -0.0276585200 0.0008447662 9 -0.0356697271 -0.0276585200 10 -0.0410709375 -0.0356697271 11 -0.0472648933 -0.0410709375 12 -0.0322681685 -0.0472648933 13 -0.0193100539 -0.0322681685 14 -0.0211281548 -0.0193100539 15 0.0071592726 -0.0211281548 16 0.0151277335 0.0071592726 17 0.0277679196 0.0151277335 18 0.0127536097 0.0277679196 19 0.0339241355 0.0127536097 20 0.0171118905 0.0339241355 21 0.0264269045 0.0171118905 22 0.0143556952 0.0264269045 23 0.0189331259 0.0143556952 24 0.0238715747 0.0189331259 25 0.0171462302 0.0238715747 26 0.0188615829 0.0171462302 27 0.0303514137 0.0188615829 28 0.0314888356 0.0303514137 29 0.0410493647 0.0314888356 30 0.0476712726 0.0410493647 31 0.0426038765 0.0476712726 32 0.0341281989 0.0426038765 33 0.0475718264 0.0341281989 34 0.0421430405 0.0475718264 35 0.0239925350 0.0421430405 36 0.0458058227 0.0239925350 37 0.0267721967 0.0458058227 38 0.0220382321 0.0267721967 39 0.0026749768 0.0220382321 40 -0.0258576002 0.0026749768 41 -0.0234384565 -0.0258576002 42 -0.0536561968 -0.0234384565 43 -0.0564184363 -0.0536561968 44 -0.0214372145 -0.0564184363 45 -0.0035918607 -0.0214372145 46 0.0306007454 -0.0035918607 47 0.0313464377 0.0306007454 48 0.0452635166 0.0313464377 49 0.0447774705 0.0452635166 50 -0.0080847910 0.0447774705 51 -0.0513108349 -0.0080847910 52 -0.0450061672 -0.0513108349 53 -0.0382987354 -0.0450061672 54 -0.0499747627 -0.0382987354 55 -0.0177687074 -0.0499747627 56 -0.0267257682 -0.0177687074 57 -0.0100790379 -0.0267257682 58 -0.0219229992 -0.0100790379 59 -0.0318559259 -0.0219229992 60 -0.0230481554 -0.0318559259 61 -0.0409969458 -0.0230481554 62 0.0309970369 -0.0409969458 63 0.0076051239 0.0309970369 64 0.0028994452 0.0076051239 65 0.0053954817 0.0028994452 66 0.0132649806 0.0053954817 67 0.0164072315 0.0132649806 68 -0.0033767386 0.0164072315 69 -0.0054293201 -0.0033767386 70 -0.0134936355 -0.0054293201 71 -0.0010417265 -0.0134936355 72 -0.0058181144 -0.0010417265 73 -0.0180931148 -0.0058181144 74 -0.0054860326 -0.0180931148 75 -0.0105906844 -0.0054860326 76 -0.0138801608 -0.0105906844 77 0.0022107080 -0.0138801608 78 0.0010953712 0.0022107080 79 -0.0043351409 0.0010953712 80 0.0010412408 -0.0043351409 81 0.0038831421 0.0010412408 82 0.0058109059 0.0038831421 83 0.0199383311 0.0058109059 84 0.0090533340 0.0199383311 85 0.0002035058 0.0090533340 86 0.0012329958 0.0002035058 87 0.0028048982 0.0012329958 88 -0.0018190698 0.0028048982 89 -0.0004040668 -0.0018190698 90 -0.0034935432 -0.0004040668 91 -0.0034450867 -0.0034935432 92 0.0072188838 -0.0034450867 93 0.0056794019 0.0072188838 94 0.0031668183 0.0056794019 95 0.0009604513 0.0031668183 96 0.0019589023 0.0009604513 97 0.0018039064 0.0019589023 98 0.0063051215 0.0018039064 99 0.0002901234 0.0063051215 100 0.0059182369 0.0002901234 101 0.0109339392 0.0059182369 102 -0.0031458792 0.0109339392 103 -0.0036394964 -0.0031458792 104 -0.0145203526 -0.0036394964 105 NA -0.0145203526 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] 0.0162609431 -0.1181268340 [2,] -0.0018364652 0.0162609431 [3,] 0.0016550919 -0.0018364652 [4,] 0.0027118189 0.0016550919 [5,] -0.0061521358 0.0027118189 [6,] -0.0013009261 -0.0061521358 [7,] 0.0008447662 -0.0013009261 [8,] -0.0276585200 0.0008447662 [9,] -0.0356697271 -0.0276585200 [10,] -0.0410709375 -0.0356697271 [11,] -0.0472648933 -0.0410709375 [12,] -0.0322681685 -0.0472648933 [13,] -0.0193100539 -0.0322681685 [14,] -0.0211281548 -0.0193100539 [15,] 0.0071592726 -0.0211281548 [16,] 0.0151277335 0.0071592726 [17,] 0.0277679196 0.0151277335 [18,] 0.0127536097 0.0277679196 [19,] 0.0339241355 0.0127536097 [20,] 0.0171118905 0.0339241355 [21,] 0.0264269045 0.0171118905 [22,] 0.0143556952 0.0264269045 [23,] 0.0189331259 0.0143556952 [24,] 0.0238715747 0.0189331259 [25,] 0.0171462302 0.0238715747 [26,] 0.0188615829 0.0171462302 [27,] 0.0303514137 0.0188615829 [28,] 0.0314888356 0.0303514137 [29,] 0.0410493647 0.0314888356 [30,] 0.0476712726 0.0410493647 [31,] 0.0426038765 0.0476712726 [32,] 0.0341281989 0.0426038765 [33,] 0.0475718264 0.0341281989 [34,] 0.0421430405 0.0475718264 [35,] 0.0239925350 0.0421430405 [36,] 0.0458058227 0.0239925350 [37,] 0.0267721967 0.0458058227 [38,] 0.0220382321 0.0267721967 [39,] 0.0026749768 0.0220382321 [40,] -0.0258576002 0.0026749768 [41,] -0.0234384565 -0.0258576002 [42,] -0.0536561968 -0.0234384565 [43,] -0.0564184363 -0.0536561968 [44,] -0.0214372145 -0.0564184363 [45,] -0.0035918607 -0.0214372145 [46,] 0.0306007454 -0.0035918607 [47,] 0.0313464377 0.0306007454 [48,] 0.0452635166 0.0313464377 [49,] 0.0447774705 0.0452635166 [50,] -0.0080847910 0.0447774705 [51,] -0.0513108349 -0.0080847910 [52,] -0.0450061672 -0.0513108349 [53,] -0.0382987354 -0.0450061672 [54,] -0.0499747627 -0.0382987354 [55,] -0.0177687074 -0.0499747627 [56,] -0.0267257682 -0.0177687074 [57,] -0.0100790379 -0.0267257682 [58,] -0.0219229992 -0.0100790379 [59,] -0.0318559259 -0.0219229992 [60,] -0.0230481554 -0.0318559259 [61,] -0.0409969458 -0.0230481554 [62,] 0.0309970369 -0.0409969458 [63,] 0.0076051239 0.0309970369 [64,] 0.0028994452 0.0076051239 [65,] 0.0053954817 0.0028994452 [66,] 0.0132649806 0.0053954817 [67,] 0.0164072315 0.0132649806 [68,] -0.0033767386 0.0164072315 [69,] -0.0054293201 -0.0033767386 [70,] -0.0134936355 -0.0054293201 [71,] -0.0010417265 -0.0134936355 [72,] -0.0058181144 -0.0010417265 [73,] -0.0180931148 -0.0058181144 [74,] -0.0054860326 -0.0180931148 [75,] -0.0105906844 -0.0054860326 [76,] -0.0138801608 -0.0105906844 [77,] 0.0022107080 -0.0138801608 [78,] 0.0010953712 0.0022107080 [79,] -0.0043351409 0.0010953712 [80,] 0.0010412408 -0.0043351409 [81,] 0.0038831421 0.0010412408 [82,] 0.0058109059 0.0038831421 [83,] 0.0199383311 0.0058109059 [84,] 0.0090533340 0.0199383311 [85,] 0.0002035058 0.0090533340 [86,] 0.0012329958 0.0002035058 [87,] 0.0028048982 0.0012329958 [88,] -0.0018190698 0.0028048982 [89,] -0.0004040668 -0.0018190698 [90,] -0.0034935432 -0.0004040668 [91,] -0.0034450867 -0.0034935432 [92,] 0.0072188838 -0.0034450867 [93,] 0.0056794019 0.0072188838 [94,] 0.0031668183 0.0056794019 [95,] 0.0009604513 0.0031668183 [96,] 0.0019589023 0.0009604513 [97,] 0.0018039064 0.0019589023 [98,] 0.0063051215 0.0018039064 [99,] 0.0002901234 0.0063051215 [100,] 0.0059182369 0.0002901234 [101,] 0.0109339392 0.0059182369 [102,] -0.0031458792 0.0109339392 [103,] -0.0036394964 -0.0031458792 [104,] -0.0145203526 -0.0036394964 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 0.0162609431 -0.1181268340 2 -0.0018364652 0.0162609431 3 0.0016550919 -0.0018364652 4 0.0027118189 0.0016550919 5 -0.0061521358 0.0027118189 6 -0.0013009261 -0.0061521358 7 0.0008447662 -0.0013009261 8 -0.0276585200 0.0008447662 9 -0.0356697271 -0.0276585200 10 -0.0410709375 -0.0356697271 11 -0.0472648933 -0.0410709375 12 -0.0322681685 -0.0472648933 13 -0.0193100539 -0.0322681685 14 -0.0211281548 -0.0193100539 15 0.0071592726 -0.0211281548 16 0.0151277335 0.0071592726 17 0.0277679196 0.0151277335 18 0.0127536097 0.0277679196 19 0.0339241355 0.0127536097 20 0.0171118905 0.0339241355 21 0.0264269045 0.0171118905 22 0.0143556952 0.0264269045 23 0.0189331259 0.0143556952 24 0.0238715747 0.0189331259 25 0.0171462302 0.0238715747 26 0.0188615829 0.0171462302 27 0.0303514137 0.0188615829 28 0.0314888356 0.0303514137 29 0.0410493647 0.0314888356 30 0.0476712726 0.0410493647 31 0.0426038765 0.0476712726 32 0.0341281989 0.0426038765 33 0.0475718264 0.0341281989 34 0.0421430405 0.0475718264 35 0.0239925350 0.0421430405 36 0.0458058227 0.0239925350 37 0.0267721967 0.0458058227 38 0.0220382321 0.0267721967 39 0.0026749768 0.0220382321 40 -0.0258576002 0.0026749768 41 -0.0234384565 -0.0258576002 42 -0.0536561968 -0.0234384565 43 -0.0564184363 -0.0536561968 44 -0.0214372145 -0.0564184363 45 -0.0035918607 -0.0214372145 46 0.0306007454 -0.0035918607 47 0.0313464377 0.0306007454 48 0.0452635166 0.0313464377 49 0.0447774705 0.0452635166 50 -0.0080847910 0.0447774705 51 -0.0513108349 -0.0080847910 52 -0.0450061672 -0.0513108349 53 -0.0382987354 -0.0450061672 54 -0.0499747627 -0.0382987354 55 -0.0177687074 -0.0499747627 56 -0.0267257682 -0.0177687074 57 -0.0100790379 -0.0267257682 58 -0.0219229992 -0.0100790379 59 -0.0318559259 -0.0219229992 60 -0.0230481554 -0.0318559259 61 -0.0409969458 -0.0230481554 62 0.0309970369 -0.0409969458 63 0.0076051239 0.0309970369 64 0.0028994452 0.0076051239 65 0.0053954817 0.0028994452 66 0.0132649806 0.0053954817 67 0.0164072315 0.0132649806 68 -0.0033767386 0.0164072315 69 -0.0054293201 -0.0033767386 70 -0.0134936355 -0.0054293201 71 -0.0010417265 -0.0134936355 72 -0.0058181144 -0.0010417265 73 -0.0180931148 -0.0058181144 74 -0.0054860326 -0.0180931148 75 -0.0105906844 -0.0054860326 76 -0.0138801608 -0.0105906844 77 0.0022107080 -0.0138801608 78 0.0010953712 0.0022107080 79 -0.0043351409 0.0010953712 80 0.0010412408 -0.0043351409 81 0.0038831421 0.0010412408 82 0.0058109059 0.0038831421 83 0.0199383311 0.0058109059 84 0.0090533340 0.0199383311 85 0.0002035058 0.0090533340 86 0.0012329958 0.0002035058 87 0.0028048982 0.0012329958 88 -0.0018190698 0.0028048982 89 -0.0004040668 -0.0018190698 90 -0.0034935432 -0.0004040668 91 -0.0034450867 -0.0034935432 92 0.0072188838 -0.0034450867 93 0.0056794019 0.0072188838 94 0.0031668183 0.0056794019 95 0.0009604513 0.0031668183 96 0.0019589023 0.0009604513 97 0.0018039064 0.0019589023 98 0.0063051215 0.0018039064 99 0.0002901234 0.0063051215 100 0.0059182369 0.0002901234 101 0.0109339392 0.0059182369 102 -0.0031458792 0.0109339392 103 -0.0036394964 -0.0031458792 104 -0.0145203526 -0.0036394964 > plot(z,main=paste('Residual Lag plot, lowess, and regression line'), ylab='values of Residuals', xlab='lagged values of Residuals') > lines(lowess(z)) > abline(lm(z)) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/7d6w21290507380.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/8d6w21290507380.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/freestat/rcomp/tmp/9d6w21290507380.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/freestat/rcomp/tmp/10ogw51290507380.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/html/freestat/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/freestat/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$coefficients[i,1] > 0) myeq <- paste(myeq, '+', '') + myeq <- paste(myeq, mysum$coefficients[i,1], sep=' ') + if (rownames(mysum$coefficients)[i] != '(Intercept)') { + myeq <- paste(myeq, rownames(mysum$coefficients)[i], sep='') + if (rownames(mysum$coefficients)[i] != 't') myeq <- paste(myeq, '[t]', sep='') + } + } > myeq <- paste(myeq, ' + e[t]') > a<-table.row.start(a) > a<-table.element(a, myeq) > a<-table.row.end(a) > a<-table.end(a) > table.save(a,file="/var/www/html/freestat/rcomp/tmp/119gcb1290507380.tab") > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,hyperlink('http://www.xycoon.com/ols1.htm','Multiple Linear Regression - Ordinary Least Squares',''), 6, TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Variable',header=TRUE) > a<-table.element(a,'Parameter',header=TRUE) > a<-table.element(a,'S.D.',header=TRUE) > a<-table.element(a,'T-STAT
H0: parameter = 0',header=TRUE) > a<-table.element(a,'2-tail p-value',header=TRUE) > a<-table.element(a,'1-tail p-value',header=TRUE) > a<-table.row.end(a) > for (i in 1:k){ + a<-table.row.start(a) + a<-table.element(a,rownames(mysum$coefficients)[i],header=TRUE) + a<-table.element(a,mysum$coefficients[i,1]) + a<-table.element(a, round(mysum$coefficients[i,2],6)) + a<-table.element(a, round(mysum$coefficients[i,3],4)) + a<-table.element(a, round(mysum$coefficients[i,4],6)) + a<-table.element(a, round(mysum$coefficients[i,4]/2,6)) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/html/freestat/rcomp/tmp/12czby1290507380.tab") > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Regression Statistics', 2, TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Multiple R',1,TRUE) > a<-table.element(a, sqrt(mysum$r.squared)) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'R-squared',1,TRUE) > a<-table.element(a, mysum$r.squared) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Adjusted R-squared',1,TRUE) > a<-table.element(a, mysum$adj.r.squared) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'F-TEST (value)',1,TRUE) > a<-table.element(a, mysum$fstatistic[1]) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'F-TEST (DF numerator)',1,TRUE) > a<-table.element(a, mysum$fstatistic[2]) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'F-TEST (DF denominator)',1,TRUE) > a<-table.element(a, mysum$fstatistic[3]) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'p-value',1,TRUE) > a<-table.element(a, 1-pf(mysum$fstatistic[1],mysum$fstatistic[2],mysum$fstatistic[3])) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Residual Statistics', 2, TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Residual Standard Deviation',1,TRUE) > a<-table.element(a, mysum$sigma) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Sum Squared Residuals',1,TRUE) > a<-table.element(a, sum(myerror*myerror)) > a<-table.row.end(a) > a<-table.end(a) > table.save(a,file="/var/www/html/freestat/rcomp/tmp/138qq71290507380.tab") > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Actuals, Interpolation, and Residuals', 4, TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a, 'Time or Index', 1, TRUE) > a<-table.element(a, 'Actuals', 1, TRUE) > a<-table.element(a, 'Interpolation
Forecast', 1, TRUE) > a<-table.element(a, 'Residuals
Prediction Error', 1, TRUE) > a<-table.row.end(a) > for (i in 1:n) { + a<-table.row.start(a) + a<-table.element(a,i, 1, TRUE) + a<-table.element(a,x[i]) + a<-table.element(a,x[i]-mysum$resid[i]) + a<-table.element(a,mysum$resid[i]) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/html/freestat/rcomp/tmp/14ur7v1290507380.tab") > if (n > n25) { + a<-table.start() + a<-table.row.start(a) + a<-table.element(a,'Goldfeld-Quandt test for Heteroskedasticity',4,TRUE) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'p-values',header=TRUE) + a<-table.element(a,'Alternative Hypothesis',3,header=TRUE) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'breakpoint index',header=TRUE) + a<-table.element(a,'greater',header=TRUE) + a<-table.element(a,'2-sided',header=TRUE) + a<-table.element(a,'less',header=TRUE) + a<-table.row.end(a) + for (mypoint in kp3:nmkm3) { + a<-table.row.start(a) + a<-table.element(a,mypoint,header=TRUE) + a<-table.element(a,gqarr[mypoint-kp3+1,1]) + a<-table.element(a,gqarr[mypoint-kp3+1,2]) + a<-table.element(a,gqarr[mypoint-kp3+1,3]) + a<-table.row.end(a) + } + a<-table.end(a) + table.save(a,file="/var/www/html/freestat/rcomp/tmp/15fr6j1290507380.tab") + a<-table.start() + a<-table.row.start(a) + a<-table.element(a,'Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity',4,TRUE) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'Description',header=TRUE) + a<-table.element(a,'# significant tests',header=TRUE) + a<-table.element(a,'% significant tests',header=TRUE) + a<-table.element(a,'OK/NOK',header=TRUE) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'1% type I error level',header=TRUE) + a<-table.element(a,numsignificant1) + a<-table.element(a,numsignificant1/numgqtests) + if (numsignificant1/numgqtests < 0.01) dum <- 'OK' else dum <- 'NOK' + a<-table.element(a,dum) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'5% type I error level',header=TRUE) + a<-table.element(a,numsignificant5) + a<-table.element(a,numsignificant5/numgqtests) + if (numsignificant5/numgqtests < 0.05) dum <- 'OK' else dum <- 'NOK' + a<-table.element(a,dum) + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'10% type I error level',header=TRUE) + a<-table.element(a,numsignificant10) + a<-table.element(a,numsignificant10/numgqtests) + if (numsignificant10/numgqtests < 0.1) dum <- 'OK' else dum <- 'NOK' + a<-table.element(a,dum) + a<-table.row.end(a) + a<-table.end(a) + table.save(a,file="/var/www/html/freestat/rcomp/tmp/161amp1290507380.tab") + } > > try(system("convert tmp/1hxht1290507380.ps tmp/1hxht1290507380.png",intern=TRUE)) character(0) > try(system("convert tmp/2hxht1290507380.ps tmp/2hxht1290507380.png",intern=TRUE)) character(0) > try(system("convert tmp/3s6ge1290507380.ps tmp/3s6ge1290507380.png",intern=TRUE)) character(0) > try(system("convert tmp/4s6ge1290507380.ps tmp/4s6ge1290507380.png",intern=TRUE)) character(0) > try(system("convert tmp/5s6ge1290507380.ps tmp/5s6ge1290507380.png",intern=TRUE)) character(0) > try(system("convert tmp/62xfz1290507380.ps tmp/62xfz1290507380.png",intern=TRUE)) character(0) > try(system("convert tmp/7d6w21290507380.ps tmp/7d6w21290507380.png",intern=TRUE)) character(0) > try(system("convert tmp/8d6w21290507380.ps tmp/8d6w21290507380.png",intern=TRUE)) character(0) > try(system("convert tmp/9d6w21290507380.ps tmp/9d6w21290507380.png",intern=TRUE)) character(0) > try(system("convert tmp/10ogw51290507380.ps tmp/10ogw51290507380.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 4.542 2.574 6.013