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workshop 7

*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: Sun, 28 Nov 2010 15:24:05 +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/Nov/28/t1290957747sjj27dpqr1piskh.htm/, Retrieved Sun, 28 Nov 2010 16:22:38 +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/Nov/28/t1290957747sjj27dpqr1piskh.htm/},
    year = {2010},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2010},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
1 1 1 41 41 38 38 13 12 12 14 14 12 12 53 53 1 2 2 39 39 32 32 16 11 11 18 18 11 11 83 83 1 3 3 30 30 35 35 19 15 15 11 11 14 14 66 66 1 4 4 31 31 33 33 15 6 6 12 12 12 12 67 67 1 5 5 34 34 37 37 14 13 13 16 16 21 21 76 76 1 6 6 35 35 29 29 13 10 10 18 18 12 12 78 78 1 7 7 39 39 31 31 19 12 12 14 14 22 22 53 53 1 8 8 34 34 36 36 15 14 14 14 14 11 11 80 80 1 9 9 36 36 35 35 14 12 12 15 15 10 10 74 74 1 10 10 37 37 38 38 15 9 9 15 15 13 13 76 76 1 11 11 38 38 31 31 16 10 10 17 17 10 10 79 79 1 12 12 36 36 34 34 16 12 12 19 19 8 8 54 54 1 13 13 38 38 35 35 16 12 12 10 10 15 15 67 67 1 14 14 39 39 38 38 16 11 11 16 16 14 14 54 54 1 15 15 33 33 37 37 17 15 15 18 18 10 10 87 87 1 16 16 32 32 33 33 15 12 12 14 14 14 14 58 58 1 17 17 36 36 32 32 15 10 10 14 14 14 14 75 75 1 18 18 38 38 38 38 20 12 12 17 17 11 11 88 88 1 19 19 39 39 38 38 18 11 11 14 14 10 10 64 64 1 20 20 32 32 32 32 16 12 12 16 16 13 13 57 57 1 21 21 32 32 33 33 16 11 11 18 18 9.5 9.5 66 66 1 22 22 31 31 31 31 16 12 12 11 11 14 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 time21 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Learning[t] = + 4.02213192467067 + 2.51220871915707Pop[t] -0.0041632636006461t + 0.000172174548079445Pop_t[t] -0.0555568413104866Connected[t] + 0.142876235895839Connected_p[t] + 0.157004790836634Separate[t] -0.171050529312446Separate_p[t] + 0.561688749040414Software[t] -0.0423405001257738Software_p[t] + 0.129559018015446Happiness[t] -0.0990921264717531Happiness_p[t] + 0.0223866216094604Depression[t] -0.105904658670805Depression_p[t] -0.00941064469109043Belonging[t] + 0.0247479684327582Belonging_p[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)4.022131924670673.3275781.20870.2279190.11396
Pop2.512208719157074.2401550.59250.5540690.277034
t-0.00416326360064610.006372-0.65340.5141130.257057
Pop_t0.0001721745480794450.0071810.0240.9808910.490446
Connected-0.05555684131048660.052264-1.0630.2888130.144406
Connected_p0.1428762358958390.070032.04020.0423880.021194
Separate0.1570047908366340.0597982.62560.0091870.004594
Separate_p-0.1710505293124460.074474-2.29680.0224650.011232
Software0.5616887490404140.0822326.830600
Software_p-0.04234050012577380.109405-0.3870.6990840.349542
Happiness0.1295590180154460.0893821.44950.1484620.074231
Happiness_p-0.09909212647175310.117868-0.84070.4013220.200661
Depression0.02238662160946040.0622070.35990.7192470.359624
Depression_p-0.1059046586708050.084312-1.25610.2102580.105129
Belonging-0.009410644691090430.019054-0.49390.6218160.310908
Belonging_p0.02474796843275820.0246211.00520.3158010.1579


Multiple Linear Regression - Regression Statistics
Multiple R0.683693459674527
R-squared0.467436746801724
Adjusted R-squared0.435225259713119
F-TEST (value)14.5114922982577
F-TEST (DF numerator)15
F-TEST (DF denominator)248
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation1.84570008019649
Sum Squared Residuals844.838978937261


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
11316.0460838528529-3.04608385285288
21616.0978854720564-0.0978854720563963
31916.61871875636862.38128124363138
41512.26884458802932.73115541197067
51415.6143076175297-1.61430761752974
61315.0952278482479-2.09522784824792
71915.11063832808453.88936167191549
81516.9713242202552-1.97132422025521
91416.1392821471749-2.13928214717492
101514.40254902683560.597450973164355
111615.46104561611020.53895438388982
121616.1235117839571-0.123511783957133
131615.62067067091850.37932932908151
141615.20944768979100.790552310208976
151717.6741165821685-0.674116582168514
161515.1802222027614-0.180222202761411
171514.76159243630510.238407563694865
182016.42800219785453.57199780214553
191815.61600384710292.38399615289714
201615.3074180814340.692581918565983
211615.26131583146810.7386841685319
221615.15902031359790.840979686402122
231916.31832667718252.68167332281749
241614.88965935292741.11034064707260
251716.54098375244340.459016247556603
261717.0622567007993-0.0622567007993099
271615.00636954836510.99363045163488
281516.287354596739-1.28735459673899
291615.55287080604040.447129193959557
301414.3904425234722-0.390442523472174
311515.8770730400500-0.87707304004998
321212.4410863242391-0.441086324239124
331415.1632236724350-1.16322367243502
341615.90662985509380.0933701449062471
351415.6500827322888-1.65008273228881
361013.265086391234-3.26508639123401
371012.7277418177310-2.72774181773096
381415.8385839962544-1.83858399625441
391614.51740860014511.48259139985486
401614.78001356928661.21998643071338
411615.18584544673760.814154553262365
421415.5727609632611-1.57276096326112
432017.66916236156272.33083763843726
441414.1387756696789-0.138775669678926
451415.0696607461849-1.06966074618494
461115.6144856270065-4.61448562700649
471416.5709069707458-2.57090697074581
481515.1481882666103-0.148188266610254
491615.06149671851080.938503281489162
501416.0633090042108-2.06330900421076
511616.6187303550879-0.618730355087908
521414.1780196281422-0.178019628142175
531214.6837657036483-2.68376570364832
541615.65273467634940.347265323650556
55911.6694846725896-2.66948467258963
561412.57777434350911.42222565649092
571616.0036265752432-0.00362657524324481
581615.32268553084720.677314469152835
591515.3869151033687-0.386915103368735
601614.25342629665071.74657370334928
611211.53887566369250.4611243363075
621615.93448106905030.0655189309496733
631616.5909413491474-0.590941349147435
641414.2618668653366-0.261866865336586
651615.24002473894630.759975261053662
661716.17189889622650.828101103773525
671816.11730306441781.88269693558220
681814.69913511195783.30086488804221
691215.6722816230555-3.67228162305553
701615.36965607647770.630343923522344
711013.5866524120327-3.58665241203271
721414.195891330998-0.195891330997995
731816.54853435757361.45146564242638
741816.93223559619491.06776440380514
751615.82251880560930.177481194390746
761713.89498224431103.10501775568903
771616.1954946350854-0.195494635085433
781614.50384625714061.49615374285942
791315.0129915707566-2.01299157075665
801615.77143790597510.228562094024866
811615.56908839480520.430911605194758
821615.77002784063690.229972159363086
831515.8074459225013-0.807445922501296
841514.78765965784620.212340342153845
851614.35647861999501.64352138000496
861414.1571625912085-0.157162591208454
871615.30587517141970.69412482858025
881614.46961712212471.53038287787534
891514.27882744411280.7211725558872
901213.6023588239322-1.60235882393221
911716.62692436380830.373075636191658
921615.43188579041260.568114209587371
931515.2277147708315-0.227714770831518
941315.0813275746976-2.0813275746976
951615.04423723303750.955762766962496
961615.72952952739410.270470472605877
971614.14624948948471.85375051051534
981615.97021736677540.0297826332246363
991414.4087389652808-0.408738965280751
1001617.0669910224862-1.06699102248624
1011614.73222687926871.26777312073132
1022017.33020551365792.66979448634214
1031514.66572992513880.334270074861174
1041614.49821769694741.50178230305259
1051315.1210647666331-2.12106476663310
1061715.90440880021231.09559119978766
1071615.58144924545380.418550754546173
1081614.34814496419761.65185503580237
1091211.90531554876780.094684451232151
1101615.06094993674240.93905006325765
1111615.82292431418580.177075685814236
1121714.84557042888422.15442957111575
1131313.8834738038531-0.883473803853104
1141214.7379256798790-2.73792567987903
1151816.57954634297401.42045365702602
1161415.2281114767074-1.22811147670738
1171412.997601783371.00239821663001
1181314.8993115345838-1.89931153458377
1191615.65819550510370.341804494896255
1201314.0711360179465-1.07113601794654
1211615.55353296477610.44646703522391
1221315.953286738566-2.95328673856601
1231616.9658873937755-0.965887393775536
1241516.1569827481446-1.15698274814463
1251616.7580898664056-0.758089866405574
1261515.4110906664556-0.411090666455589
1271715.85229137592441.14770862407563
1281513.97600467624881.02399532375120
1291214.8005465356512-2.80054653565118
1301614.10601398122161.89398601877845
1311013.3359227827828-3.33592278278282
1321613.93818327066542.06181672933455
1331213.8537668978712-1.85376689787117
1341415.5185421206393-1.51854212063931
1351515.2365070835216-0.236507083521641
1361312.04406001145220.955939988547835
1371514.40118610941360.598813890586377
1381113.1320965306762-2.13209653067623
1391213.2328826440951-1.23288264409513
1401113.3171512856996-2.31715128569959
1411612.89308708187863.10691291812139
1421513.34818269269091.65181730730911
1431716.62514951259640.37485048740358
1441614.69206466204911.30793533795092
1451014.1015702832193-4.10157028321931
1461815.76904499025742.23095500974265
1471314.9873219097028-1.98732190970275
1481615.13184475647920.868155243520766
1491313.0275017473578-0.0275017473578213
1501013.1303945600366-3.13039456003662
1511516.0188472173771-1.01884721737712
1521613.86170861869592.13829138130414
1531612.01586208539183.98413791460823
1541412.66071546501811.33928453498189
1551012.6056861353773-2.60568613537734
1561716.36750357539150.63249642460849
1571311.61391676011681.38608323988323
1581513.85627200467181.1437279953282
1591615.06472645802260.935273541977356
1601212.4616481771048-0.461648177104788
1611312.62783046371590.372169536284084
1621312.7584271073090.241572892691002
1631211.56186916598640.438130834013596
1641716.02200116430780.977998835692165
1651514.20731811040660.792681889593414
1661012.6331863748027-2.63318637480265
1671414.3683314267263-0.368331426726333
1681113.7153437366674-2.71534373666737
1691314.8885990551029-1.88859905510292
1701615.24579793527780.754202064722216
1711210.28549915395901.71450084604098
1721615.51946387742460.480536122575433
1731212.8367523332627-0.836752333262726
174911.0531284391401-2.05312843914015
1751214.1163175907024-2.11631759070238
1761514.33703907052900.662960929471016
1771211.78859249769670.211407502303261
1781212.6880411523742-0.688041152374181
1791413.70497897590840.295021024091621
1801213.0681347026367-1.06813470263669
1811615.21287666098140.787123339018608
1821110.65543835721040.344561642789593
1831917.14638929041181.85361070958823
1841514.19419064063410.805809359365865
185814.6477265300753-6.64772653007528
1861615.25678747987640.743212520123645
1871714.19114571967042.80885428032959
1881211.26498995727910.735010042720903
1891111.4971440575779-0.497144057577914
1901111.2351280597453-0.235128059745261
1911415.2001378944469-1.20013789444691
1921615.46397608197750.536023918022513
193129.93687758322892.06312241677111
1941614.45759801375191.54240198624806
1951313.6527489527911-0.652748952791132
1961515.0215787178556-0.0215787178556023
1971612.73111478028603.26888521971396
1981615.24477170617040.75522829382964
1991412.47498152772441.52501847227564
2001614.76009329963581.23990670036416
2011613.86628866102482.13371133897524
2021413.73750994725160.262490052748416
2031112.9533618586172-1.95336185861718
2041214.5378169642539-2.53781696425391
2051512.67903169423822.32096830576176
2061514.64433937195840.355660628041642
2071614.48616132665701.51383867334304
2081615.52351119692530.47648880307465
2091113.2889439413281-2.28894394132806
2101513.60804914550051.39195085449946
2111214.1204962557417-2.12049625574171
2121216.0388683048002-4.03886830480018
2131514.66868323688610.331316763113950
2141511.82532690439473.17467309560533
2151614.59318204365951.40681795634047
2161412.73200213779121.26799786220875
2171714.60792322403512.39207677596492
2181413.20425622963980.79574377036023
2191312.05393707393230.946062926067694
2201515.4547445845594-0.454744584559391
2211314.0575639701153-1.05756397011527
2221414.0515537515291-0.0515537515290932
2231514.02336300349450.97663699650547
2241212.9139492925952-0.913949292595166
2251313.1823819391275-0.182381939127515
226811.8885006117870-3.88850061178705
2271414.1955491705540-0.195549170553975
2281412.86337075024671.13662924975327
2291112.3464306860680-1.34643068606797
2301212.7834452633280-0.783445263327967
2311310.66607158616872.3339284138313
2321013.6996524618582-3.69965246185824
2331611.58161543910624.41838456089384
2341815.20217171636732.79782828363267
2351313.3927306361125-0.392730636112459
2361112.6034082064065-1.60340820640646
237410.2801833291943-6.28018332919432
2381313.5153843221827-0.515384322182697
2391613.88765363063272.11234636936726
2401010.6255327401344-0.625532740134409
2411211.98685168009140.0131483199086112
2421213.7069303922495-1.70693039224951
243108.903144473420481.09685552657952
2441310.90488836442212.09511163557788
2451512.91569032845892.08430967154114
2461212.5990454991870-0.599045499186962
2471413.14649603337000.853503966630049
2481012.9835984954948-2.98359849549476
2491210.93683641274571.06316358725425
2501211.42404690839420.57595309160577
2511112.1229276563996-1.12292765639964
2521011.4263977997735-1.42639779977352
2531210.93943962805511.06056037194486
2541612.50836615236183.49163384763824
2551212.9982991105830-0.99829911058297
2561413.68713252142640.312867478573634
2571614.48747784698391.51252215301612
2581411.72894151443622.27105848556385
2591314.0536540515759-1.05365405157594
26048.08400355852552-4.08400355852552
2611513.80438982536241.19561017463758
2621115.3209721875729-4.32097218757294
2631111.1048724893516-0.104872489351615
2641412.79613327800321.20386672199677


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
190.998342410934830.003315178130339920.00165758906516996
200.9959061174629930.008187765074013510.00409388253700675
210.9908262820651730.01834743586965310.00917371793482656
220.984925087703940.03014982459211890.0150749122960595
230.9773700103639870.04525997927202580.0226299896360129
240.9685847877411850.06283042451763070.0314152122588153
250.950494221430680.09901155713864150.0495057785693208
260.9300800538382360.1398398923235280.0699199461617642
270.9013016563254890.1973966873490230.0986983436745114
280.9129317320350460.1741365359299090.0870682679649545
290.8806837015055070.2386325969889850.119316298494493
300.8772128846867020.2455742306265950.122787115313298
310.8436563490209630.3126873019580740.156343650979037
320.8323304580631740.3353390838736520.167669541936826
330.8122311193400630.3755377613198730.187768880659937
340.7624885774420330.4750228451159330.237511422557967
350.7444201901770960.5111596196458070.255579809822904
360.8132881432441340.3734237135117320.186711856755866
370.8531152440272310.2937695119455370.146884755972769
380.8343443045511980.3313113908976030.165655695448801
390.8560053337606730.2879893324786540.143994666239327
400.8394663186479170.3210673627041660.160533681352083
410.811148905162920.377702189674160.18885109483708
420.7849083372567120.4301833254865760.215091662743288
430.7912691506890590.4174616986218830.208730849310941
440.7511931188812670.4976137622374660.248806881118733
450.7146455311816930.5707089376366150.285354468818307
460.8660350194900090.2679299610199830.133964980509991
470.8718186551865920.2563626896268160.128181344813408
480.8477741800091910.3044516399816170.152225819990809
490.8380645787075460.3238708425849090.161935421292454
500.8217974879327150.3564050241345690.178202512067285
510.7876071993051780.4247856013896450.212392800694822
520.753308948662060.4933821026758790.246691051337939
530.7520812720111600.4958374559776790.247918727988840
540.7243456859672620.5513086280654770.275654314032738
550.729881422899990.5402371542000210.270118577100010
560.737144611966570.5257107760668610.262855388033431
570.6992661310633890.6014677378732220.300733868936611
580.6824616281470720.6350767437058560.317538371852928
590.6434532977718490.7130934044563020.356546702228151
600.6640825568737770.6718348862524470.335917443126223
610.6349177269625190.7301645460749630.365082273037481
620.5956361920866380.8087276158267240.404363807913362
630.5557219934830950.888556013033810.444278006516905
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650.4758415615447370.9516831230894750.524158438455263
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800.5865563254218810.8268873491562370.413443674578119
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840.4420128444701720.8840256889403440.557987155529828
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870.3576461169247770.7152922338495530.642353883075223
880.3398866492571360.6797732985142720.660113350742864
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900.2945789090786360.5891578181572720.705421090921364
910.2632402627409780.5264805254819560.736759737259022
920.235974293926130.471948587852260.76402570607387
930.2087682755073950.4175365510147910.791231724492604
940.2181970581684150.4363941163368310.781802941831585
950.1976039189393660.3952078378787320.802396081060634
960.1719764842612290.3439529685224590.828023515738771
970.1706978244635090.3413956489270190.82930217553649
980.1468973441803010.2937946883606020.853102655819699
990.1273083251028470.2546166502056930.872691674897153
1000.1149094355470710.2298188710941420.885090564452929
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1080.08438409511361730.1687681902272350.915615904886383
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1780.002105808883726110.004211617767452230.997894191116274
1790.001616452890686990.003232905781373980.998383547109313
1800.001391319348260930.002782638696521870.99860868065174
1810.001094176173045230.002188352346090450.998905823826955
1820.000793506734611830.001587013469223660.999206493265388
1830.0007847054731048980.001569410946209800.999215294526895
1840.0005798807103629250.001159761420725850.999420119289637
1850.01682086411471670.03364172822943330.983179135885283
1860.01437743826290830.02875487652581670.985622561737092
1870.01698938655710450.0339787731142090.983010613442896
1880.01337775973331790.02675551946663580.986622240266682
1890.01131635151616920.02263270303233840.988683648483831
1900.00896456676155360.01792913352310720.991035433238446
1910.007904796645028430.01580959329005690.992095203354972
1920.006102130213286630.01220426042657330.993897869786713
1930.005608552367255190.01121710473451040.994391447632745
1940.004873788056824670.009747576113649330.995126211943175
1950.003964896689821190.007929793379642380.996035103310179
1960.002897804204192760.005795608408385520.997102195795807
1970.003971742457702950.00794348491540590.996028257542297
1980.002898203853765860.005796407707531720.997101796146234
1990.002446588601850500.004893177203701010.99755341139815
2000.002053784380384950.00410756876076990.997946215619615
2010.001811492046148960.003622984092297930.998188507953851
2020.001389441103695500.002778882207391000.998610558896305
2030.001663395889690050.00332679177938010.99833660411031
2040.002645811590645350.005291623181290710.997354188409355
2050.002640136505073180.005280273010146350.997359863494927
2060.001880583872688390.003761167745376780.998119416127312
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2080.001078571817168860.002157143634337710.99892142818283
2090.001378861436946960.002757722873893920.998621138563053
2100.001036224283845470.002072448567690930.998963775716154
2110.001323842872877910.002647685745755830.998676157127122
2120.004032497523943840.008064995047887680.995967502476056
2130.002803906835009410.005607813670018830.99719609316499
2140.003704304240152920.007408608480305840.996295695759847
2150.002829670539017280.005659341078034550.997170329460983
2160.002030202005747600.004060404011495210.997969797994252
2170.002165603286302490.004331206572604970.997834396713698
2180.001679637059900340.003359274119800690.9983203629401
2190.001463459206152230.002926918412304460.998536540793848
2200.001007588085430300.002015176170860610.99899241191457
2210.0007379951617153590.001475990323430720.999262004838285
2220.0004748723775266690.0009497447550533390.999525127622473
2230.0003234869091066990.0006469738182133990.999676513090893
2240.0002187256122924670.0004374512245849340.999781274387707
2250.0001329043274539550.0002658086549079110.999867095672546
2260.0003450013167039710.0006900026334079430.999654998683296
2270.0002401043357682270.0004802086715364540.999759895664232
2280.0001499246117902210.0002998492235804430.99985007538821
2299.76700348352581e-050.0001953400696705160.999902329965165
2305.84420960566556e-050.0001168841921133110.999941557903943
2316.14139037689193e-050.0001228278075378390.999938586096231
2320.0002817367328122320.0005634734656244650.999718263267188
2330.001400861178321120.002801722356642250.99859913882168
2340.00228974094929830.00457948189859660.997710259050702
2350.001337847641138040.002675695282276080.998662152358862
2360.000873597338241570.001747194676483140.999126402661758
2370.01918091401295440.03836182802590880.980819085987046
2380.01165371117857170.02330742235714340.988346288821428
2390.007944134142832470.01588826828566490.992055865857168
2400.00453614482226410.00907228964452820.995463855177736
2410.003125833397266390.006251666794532770.996874166602734
2420.005117902687495960.01023580537499190.994882097312504
2430.002930621448106980.005861242896213950.997069378551893
2440.002124768061856010.004249536123712020.997875231938144
2450.001113814824422450.00222762964884490.998886185175577


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level620.273127753303965NOK
5% type I error level950.418502202643172NOK
10% type I error level1230.541850220264317NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/10dpd41290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/10dpd41290957822.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/1p7hb1290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/1p7hb1290957822.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/2hgye1290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/2hgye1290957822.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/3hgye1290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/3hgye1290957822.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/4hgye1290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/4hgye1290957822.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/5hgye1290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/5hgye1290957822.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/6s7fh1290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/6s7fh1290957822.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/73yw21290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/73yw21290957822.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/83yw21290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/83yw21290957822.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/9dpd41290957822.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957747sjj27dpqr1piskh/9dpd41290957822.ps (open in new window)


 
Parameters (Session):
par1 = 8 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;
 
Parameters (R input):
par1 = 8 ; 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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