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Type 'q()' to quit R. > x <- array(list(31.53,1.70,48.86,58.68,2.00,38.94,1.64,50.81,60.54,2.78,31.51,1.49,50.30,60.45,3.19,29.54,1.77,48.45,57.82,2.69,25.20,2.12,45.71,55.26,2.50,22.90,1.92,43.66,51.77,2.35,23.95,1.69,47.58,54.47,2.39,28.26,2.76,49.54,56.68,2.46,25.52,2.53,45.53,55.51,2.64,16.74,2.08,40.51,50.76,2.32,23.14,2.27,35.74,42.83,1.88,35.50,4.23,34.58,39.69,2.89,29.61,4.07,37.96,41.33,3.66,29.84,3.33,36.90,42.01,3.23,33.62,5.63,34.74,41.57,4.06,43.46,5.85,51.34,60.96,4.32,59.89,8.79,62.91,89.33,5.88,69.32,6.76,63.04,93.46,7.85,74.90,6.95,69.86,88.24,8.03,96.91,8.85,122.81,179.03,11.56,61.67,3.89,110.11,167.82,8.52),dim=c(5,21),dimnames=list(c('Crudeoilnnected','Naturalgas','steamcoal','cokingcoal','LNG'),1:21)) > y <- array(NA,dim=c(5,21),dimnames=list(c('Crudeoilnnected','Naturalgas','steamcoal','cokingcoal','LNG'),1:21)) > 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 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 Crudeoilnnected Naturalgas steamcoal cokingcoal LNG 1 31.53 1.70 48.86 58.68 2.00 2 38.94 1.64 50.81 60.54 2.78 3 31.51 1.49 50.30 60.45 3.19 4 29.54 1.77 48.45 57.82 2.69 5 25.20 2.12 45.71 55.26 2.50 6 22.90 1.92 43.66 51.77 2.35 7 23.95 1.69 47.58 54.47 2.39 8 28.26 2.76 49.54 56.68 2.46 9 25.52 2.53 45.53 55.51 2.64 10 16.74 2.08 40.51 50.76 2.32 11 23.14 2.27 35.74 42.83 1.88 12 35.50 4.23 34.58 39.69 2.89 13 29.61 4.07 37.96 41.33 3.66 14 29.84 3.33 36.90 42.01 3.23 15 33.62 5.63 34.74 41.57 4.06 16 43.46 5.85 51.34 60.96 4.32 17 59.89 8.79 62.91 89.33 5.88 18 69.32 6.76 63.04 93.46 7.85 19 74.90 6.95 69.86 88.24 8.03 20 96.91 8.85 122.81 179.03 11.56 21 61.67 3.89 110.11 167.82 8.52 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) Naturalgas steamcoal cokingcoal LNG -4.8475 1.9439 0.8603 -0.4785 5.7066 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -7.221 -2.716 -1.404 2.593 9.991 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) -4.8475 6.7810 -0.715 0.4850 Naturalgas 1.9439 1.0847 1.792 0.0920 . steamcoal 0.8603 0.4618 1.863 0.0809 . cokingcoal -0.4785 0.2845 -1.682 0.1120 LNG 5.7066 1.7841 3.198 0.0056 ** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 5.172 on 16 degrees of freedom Multiple R-squared: 0.9506, Adjusted R-squared: 0.9382 F-statistic: 76.92 on 4 and 16 DF, p-value: 3.066e-10 > 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 + } > postscript(file="/var/www/html/rcomp/tmp/1hmfm1290537302.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2hmfm1290537302.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/rcomp/tmp/3hmfm1290537302.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/4sde71290537302.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/5sde71290537302.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 = 21 Frequency = 1 1 2 3 4 5 6 7 7.7030327 9.9909627 0.9085465 1.5806688 -1.2231681 -2.1846884 -2.9962877 8 9 10 11 12 13 14 -1.7944689 -2.2246215 -6.2578811 2.5929267 4.8747619 -7.2213208 -1.8617443 15 16 17 18 19 20 21 -5.6415023 -2.7160031 2.7174377 6.7159348 2.5346505 -1.4044525 -4.0927839 > postscript(file="/var/www/html/rcomp/tmp/62nea1290537302.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 = 21 Frequency = 1 lag(myerror, k = 1) myerror 0 7.7030327 NA 1 9.9909627 7.7030327 2 0.9085465 9.9909627 3 1.5806688 0.9085465 4 -1.2231681 1.5806688 5 -2.1846884 -1.2231681 6 -2.9962877 -2.1846884 7 -1.7944689 -2.9962877 8 -2.2246215 -1.7944689 9 -6.2578811 -2.2246215 10 2.5929267 -6.2578811 11 4.8747619 2.5929267 12 -7.2213208 4.8747619 13 -1.8617443 -7.2213208 14 -5.6415023 -1.8617443 15 -2.7160031 -5.6415023 16 2.7174377 -2.7160031 17 6.7159348 2.7174377 18 2.5346505 6.7159348 19 -1.4044525 2.5346505 20 -4.0927839 -1.4044525 21 NA -4.0927839 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] 9.9909627 7.7030327 [2,] 0.9085465 9.9909627 [3,] 1.5806688 0.9085465 [4,] -1.2231681 1.5806688 [5,] -2.1846884 -1.2231681 [6,] -2.9962877 -2.1846884 [7,] -1.7944689 -2.9962877 [8,] -2.2246215 -1.7944689 [9,] -6.2578811 -2.2246215 [10,] 2.5929267 -6.2578811 [11,] 4.8747619 2.5929267 [12,] -7.2213208 4.8747619 [13,] -1.8617443 -7.2213208 [14,] -5.6415023 -1.8617443 [15,] -2.7160031 -5.6415023 [16,] 2.7174377 -2.7160031 [17,] 6.7159348 2.7174377 [18,] 2.5346505 6.7159348 [19,] -1.4044525 2.5346505 [20,] -4.0927839 -1.4044525 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 9.9909627 7.7030327 2 0.9085465 9.9909627 3 1.5806688 0.9085465 4 -1.2231681 1.5806688 5 -2.1846884 -1.2231681 6 -2.9962877 -2.1846884 7 -1.7944689 -2.9962877 8 -2.2246215 -1.7944689 9 -6.2578811 -2.2246215 10 2.5929267 -6.2578811 11 4.8747619 2.5929267 12 -7.2213208 4.8747619 13 -1.8617443 -7.2213208 14 -5.6415023 -1.8617443 15 -2.7160031 -5.6415023 16 2.7174377 -2.7160031 17 6.7159348 2.7174377 18 2.5346505 6.7159348 19 -1.4044525 2.5346505 20 -4.0927839 -1.4044525 > 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/rcomp/tmp/7dwvd1290537302.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/8dwvd1290537302.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/9dwvd1290537302.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/rcomp/tmp/106nuf1290537302.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/rcomp/tmp/119ob31290537302.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/rcomp/tmp/12do9r1290537302.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/rcomp/tmp/139y7i1290537302.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/rcomp/tmp/14chno1290537302.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/rcomp/tmp/15yhmu1290537302.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/rcomp/tmp/16trj21290537302.tab") + } > > try(system("convert tmp/1hmfm1290537302.ps tmp/1hmfm1290537302.png",intern=TRUE)) character(0) > try(system("convert tmp/2hmfm1290537302.ps tmp/2hmfm1290537302.png",intern=TRUE)) character(0) > try(system("convert tmp/3hmfm1290537302.ps tmp/3hmfm1290537302.png",intern=TRUE)) character(0) > try(system("convert tmp/4sde71290537302.ps tmp/4sde71290537302.png",intern=TRUE)) character(0) > try(system("convert tmp/5sde71290537302.ps tmp/5sde71290537302.png",intern=TRUE)) character(0) > try(system("convert tmp/62nea1290537302.ps tmp/62nea1290537302.png",intern=TRUE)) character(0) > try(system("convert tmp/7dwvd1290537302.ps tmp/7dwvd1290537302.png",intern=TRUE)) character(0) > try(system("convert tmp/8dwvd1290537302.ps tmp/8dwvd1290537302.png",intern=TRUE)) character(0) > try(system("convert tmp/9dwvd1290537302.ps tmp/9dwvd1290537302.png",intern=TRUE)) character(0) > try(system("convert tmp/106nuf1290537302.ps tmp/106nuf1290537302.png",intern=TRUE)) convert: unable to open image `tmp/106nuf1290537302.ps': No such file or directory. convert: missing an image filename `tmp/106nuf1290537302.png'. character(0) > > > proc.time() user system elapsed 1.988 1.425 5.114