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Type 'q()' to quit R. > x <- array(list(235.1 + ,1 + ,280.7 + ,1 + ,264.6 + ,2 + ,240.7 + ,0 + ,201.4 + ,1 + ,240.8 + ,0 + ,241.1 + ,-1 + ,223.8 + ,-3 + ,206.1 + ,-3 + ,174.7 + ,-3 + ,203.3 + ,-4 + ,220.5 + ,-8 + ,299.5 + ,-9 + ,347.4 + ,-13 + ,338.3 + ,-18 + ,327.7 + ,-11 + ,351.6 + ,-9 + ,396.6 + ,-10 + ,438.8 + ,-13 + ,395.6 + ,-11 + ,363.5 + ,-5 + ,378.8 + ,-15 + ,357 + ,-6 + ,369 + ,-6 + ,464.8 + ,-3 + ,479.1 + ,-1 + ,431.3 + ,-3 + ,366.5 + ,-4 + ,326.3 + ,-6 + ,355.1 + ,0 + ,331.6 + ,-4 + ,261.3 + ,-2 + ,249 + ,-2 + ,205.5 + ,-6 + ,235.6 + ,-7 + ,240.9 + ,-6 + ,264.9 + ,-6 + ,253.8 + ,-3 + ,232.3 + ,-2 + ,193.8 + ,-5 + ,177 + ,-11 + ,213.2 + ,-11 + ,207.2 + ,-11 + ,180.6 + ,-10 + ,188.6 + ,-14 + ,175.4 + ,-8 + ,199 + ,-9 + ,179.6 + ,-5 + ,225.8 + ,-1 + ,234 + ,-2 + ,200.2 + ,-5 + ,183.6 + ,-4 + ,178.2 + ,-6 + ,203.2 + ,-2 + ,208.5 + ,-2 + ,191.8 + ,-2 + ,172.8 + ,-2 + ,148 + ,2 + ,159.4 + ,1 + ,154.5 + ,-8 + ,213.2 + ,-1 + ,196.4 + ,1 + ,182.8 + ,-1 + ,176.4 + ,2 + ,153.6 + ,2 + ,173.2 + ,1 + ,171 + ,-1 + ,151.2 + ,-2 + ,161.9 + ,-2 + ,157.2 + ,-1 + ,201.7 + ,-8 + ,236.4 + ,-4 + ,356.1 + ,-6 + ,398.3 + ,-3 + ,403.7 + ,-3 + ,384.6 + ,-7 + ,365.8 + ,-9 + ,368.1 + ,-11 + ,367.9 + ,-13 + ,347 + ,-11 + ,343.3 + ,-9 + ,292.9 + ,-17 + ,311.5 + ,-22 + ,300.9 + ,-25 + ,366.9 + ,-20 + ,356.9 + ,-24 + ,329.7 + ,-24 + ,316.2 + ,-22 + ,269 + ,-19 + ,289.3 + ,-18 + ,266.2 + ,-17 + ,253.6 + ,-11 + ,233.8 + ,-11 + ,228.4 + ,-12 + ,253.6 + ,-10 + ,260.1 + ,-15 + ,306.6 + ,-15 + ,309.2 + ,-15 + ,309.5 + ,-13 + ,271 + ,-8 + ,279.9 + ,-13 + ,317.9 + ,-9 + ,298.4 + ,-7 + ,246.7 + ,-4 + ,227.3 + ,-4 + ,209.1 + ,-2) + ,dim=c(2 + ,106) + ,dimnames=list(c('Y' + ,'X') + ,1:106)) > y <- array(NA,dim=c(2,106),dimnames=list(c('Y','X'),1:106)) > 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 = 'Include Monthly 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 Y X M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 1 235.1 1 1 0 0 0 0 0 0 0 0 0 0 2 280.7 1 0 1 0 0 0 0 0 0 0 0 0 3 264.6 2 0 0 1 0 0 0 0 0 0 0 0 4 240.7 0 0 0 0 1 0 0 0 0 0 0 0 5 201.4 1 0 0 0 0 1 0 0 0 0 0 0 6 240.8 0 0 0 0 0 0 1 0 0 0 0 0 7 241.1 -1 0 0 0 0 0 0 1 0 0 0 0 8 223.8 -3 0 0 0 0 0 0 0 1 0 0 0 9 206.1 -3 0 0 0 0 0 0 0 0 1 0 0 10 174.7 -3 0 0 0 0 0 0 0 0 0 1 0 11 203.3 -4 0 0 0 0 0 0 0 0 0 0 1 12 220.5 -8 0 0 0 0 0 0 0 0 0 0 0 13 299.5 -9 1 0 0 0 0 0 0 0 0 0 0 14 347.4 -13 0 1 0 0 0 0 0 0 0 0 0 15 338.3 -18 0 0 1 0 0 0 0 0 0 0 0 16 327.7 -11 0 0 0 1 0 0 0 0 0 0 0 17 351.6 -9 0 0 0 0 1 0 0 0 0 0 0 18 396.6 -10 0 0 0 0 0 1 0 0 0 0 0 19 438.8 -13 0 0 0 0 0 0 1 0 0 0 0 20 395.6 -11 0 0 0 0 0 0 0 1 0 0 0 21 363.5 -5 0 0 0 0 0 0 0 0 1 0 0 22 378.8 -15 0 0 0 0 0 0 0 0 0 1 0 23 357.0 -6 0 0 0 0 0 0 0 0 0 0 1 24 369.0 -6 0 0 0 0 0 0 0 0 0 0 0 25 464.8 -3 1 0 0 0 0 0 0 0 0 0 0 26 479.1 -1 0 1 0 0 0 0 0 0 0 0 0 27 431.3 -3 0 0 1 0 0 0 0 0 0 0 0 28 366.5 -4 0 0 0 1 0 0 0 0 0 0 0 29 326.3 -6 0 0 0 0 1 0 0 0 0 0 0 30 355.1 0 0 0 0 0 0 1 0 0 0 0 0 31 331.6 -4 0 0 0 0 0 0 1 0 0 0 0 32 261.3 -2 0 0 0 0 0 0 0 1 0 0 0 33 249.0 -2 0 0 0 0 0 0 0 0 1 0 0 34 205.5 -6 0 0 0 0 0 0 0 0 0 1 0 35 235.6 -7 0 0 0 0 0 0 0 0 0 0 1 36 240.9 -6 0 0 0 0 0 0 0 0 0 0 0 37 264.9 -6 1 0 0 0 0 0 0 0 0 0 0 38 253.8 -3 0 1 0 0 0 0 0 0 0 0 0 39 232.3 -2 0 0 1 0 0 0 0 0 0 0 0 40 193.8 -5 0 0 0 1 0 0 0 0 0 0 0 41 177.0 -11 0 0 0 0 1 0 0 0 0 0 0 42 213.2 -11 0 0 0 0 0 1 0 0 0 0 0 43 207.2 -11 0 0 0 0 0 0 1 0 0 0 0 44 180.6 -10 0 0 0 0 0 0 0 1 0 0 0 45 188.6 -14 0 0 0 0 0 0 0 0 1 0 0 46 175.4 -8 0 0 0 0 0 0 0 0 0 1 0 47 199.0 -9 0 0 0 0 0 0 0 0 0 0 1 48 179.6 -5 0 0 0 0 0 0 0 0 0 0 0 49 225.8 -1 1 0 0 0 0 0 0 0 0 0 0 50 234.0 -2 0 1 0 0 0 0 0 0 0 0 0 51 200.2 -5 0 0 1 0 0 0 0 0 0 0 0 52 183.6 -4 0 0 0 1 0 0 0 0 0 0 0 53 178.2 -6 0 0 0 0 1 0 0 0 0 0 0 54 203.2 -2 0 0 0 0 0 1 0 0 0 0 0 55 208.5 -2 0 0 0 0 0 0 1 0 0 0 0 56 191.8 -2 0 0 0 0 0 0 0 1 0 0 0 57 172.8 -2 0 0 0 0 0 0 0 0 1 0 0 58 148.0 2 0 0 0 0 0 0 0 0 0 1 0 59 159.4 1 0 0 0 0 0 0 0 0 0 0 1 60 154.5 -8 0 0 0 0 0 0 0 0 0 0 0 61 213.2 -1 1 0 0 0 0 0 0 0 0 0 0 62 196.4 1 0 1 0 0 0 0 0 0 0 0 0 63 182.8 -1 0 0 1 0 0 0 0 0 0 0 0 64 176.4 2 0 0 0 1 0 0 0 0 0 0 0 65 153.6 2 0 0 0 0 1 0 0 0 0 0 0 66 173.2 1 0 0 0 0 0 1 0 0 0 0 0 67 171.0 -1 0 0 0 0 0 0 1 0 0 0 0 68 151.2 -2 0 0 0 0 0 0 0 1 0 0 0 69 161.9 -2 0 0 0 0 0 0 0 0 1 0 0 70 157.2 -1 0 0 0 0 0 0 0 0 0 1 0 71 201.7 -8 0 0 0 0 0 0 0 0 0 0 1 72 236.4 -4 0 0 0 0 0 0 0 0 0 0 0 73 356.1 -6 1 0 0 0 0 0 0 0 0 0 0 74 398.3 -3 0 1 0 0 0 0 0 0 0 0 0 75 403.7 -3 0 0 1 0 0 0 0 0 0 0 0 76 384.6 -7 0 0 0 1 0 0 0 0 0 0 0 77 365.8 -9 0 0 0 0 1 0 0 0 0 0 0 78 368.1 -11 0 0 0 0 0 1 0 0 0 0 0 79 367.9 -13 0 0 0 0 0 0 1 0 0 0 0 80 347.0 -11 0 0 0 0 0 0 0 1 0 0 0 81 343.3 -9 0 0 0 0 0 0 0 0 1 0 0 82 292.9 -17 0 0 0 0 0 0 0 0 0 1 0 83 311.5 -22 0 0 0 0 0 0 0 0 0 0 1 84 300.9 -25 0 0 0 0 0 0 0 0 0 0 0 85 366.9 -20 1 0 0 0 0 0 0 0 0 0 0 86 356.9 -24 0 1 0 0 0 0 0 0 0 0 0 87 329.7 -24 0 0 1 0 0 0 0 0 0 0 0 88 316.2 -22 0 0 0 1 0 0 0 0 0 0 0 89 269.0 -19 0 0 0 0 1 0 0 0 0 0 0 90 289.3 -18 0 0 0 0 0 1 0 0 0 0 0 91 266.2 -17 0 0 0 0 0 0 1 0 0 0 0 92 253.6 -11 0 0 0 0 0 0 0 1 0 0 0 93 233.8 -11 0 0 0 0 0 0 0 0 1 0 0 94 228.4 -12 0 0 0 0 0 0 0 0 0 1 0 95 253.6 -10 0 0 0 0 0 0 0 0 0 0 1 96 260.1 -15 0 0 0 0 0 0 0 0 0 0 0 97 306.6 -15 1 0 0 0 0 0 0 0 0 0 0 98 309.2 -15 0 1 0 0 0 0 0 0 0 0 0 99 309.5 -13 0 0 1 0 0 0 0 0 0 0 0 100 271.0 -8 0 0 0 1 0 0 0 0 0 0 0 101 279.9 -13 0 0 0 0 1 0 0 0 0 0 0 102 317.9 -9 0 0 0 0 0 1 0 0 0 0 0 103 298.4 -7 0 0 0 0 0 0 1 0 0 0 0 104 246.7 -4 0 0 0 0 0 0 0 1 0 0 0 105 227.3 -4 0 0 0 0 0 0 0 0 1 0 0 106 209.1 -2 0 0 0 0 0 0 0 0 0 1 0 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) X M1 M2 M3 M4 199.795 -4.721 72.385 86.565 64.213 42.643 M5 M6 M7 M8 M9 M10 19.350 52.885 45.197 21.006 11.404 -13.431 M11 1.982 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -94.08 -47.79 -14.90 27.84 188.02 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 199.795 27.784 7.191 1.60e-10 *** X -4.721 1.105 -4.271 4.69e-05 *** M1 72.385 35.426 2.043 0.0439 * M2 86.565 35.438 2.443 0.0165 * M3 64.213 35.357 1.816 0.0726 . M4 42.643 35.438 1.203 0.2319 M5 19.350 35.334 0.548 0.5853 M6 52.885 35.426 1.493 0.1389 M7 45.197 35.342 1.279 0.2041 M8 21.006 35.475 0.592 0.5552 M9 11.404 35.531 0.321 0.7490 M10 -13.431 35.405 -0.379 0.7053 M11 1.982 36.336 0.055 0.9566 --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 72.6 on 93 degrees of freedom Multiple R-squared: 0.2756, Adjusted R-squared: 0.1821 F-statistic: 2.948 on 12 and 93 DF, p-value: 0.001633 > 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,] 0.01534525 3.069049e-02 9.846548e-01 [2,] 0.07380011 1.476002e-01 9.261999e-01 [3,] 0.09524235 1.904847e-01 9.047577e-01 [4,] 0.14073458 2.814692e-01 8.592654e-01 [5,] 0.17360136 3.472027e-01 8.263986e-01 [6,] 0.28464715 5.692943e-01 7.153529e-01 [7,] 0.29034373 5.806875e-01 7.096563e-01 [8,] 0.38407819 7.681564e-01 6.159218e-01 [9,] 0.56659811 8.668038e-01 4.334019e-01 [10,] 0.86593801 2.681240e-01 1.340620e-01 [11,] 0.97787592 4.424816e-02 2.212408e-02 [12,] 0.99430840 1.138320e-02 5.691600e-03 [13,] 0.99570021 8.599577e-03 4.299788e-03 [14,] 0.99501369 9.972611e-03 4.986306e-03 [15,] 0.99640552 7.188961e-03 3.594481e-03 [16,] 0.99587090 8.258195e-03 4.129098e-03 [17,] 0.99395390 1.209219e-02 6.046097e-03 [18,] 0.99135145 1.729710e-02 8.648551e-03 [19,] 0.98742229 2.515543e-02 1.257771e-02 [20,] 0.98313037 3.373927e-02 1.686963e-02 [21,] 0.97768725 4.462551e-02 2.231275e-02 [22,] 0.97442630 5.114740e-02 2.557370e-02 [23,] 0.97400897 5.198206e-02 2.599103e-02 [24,] 0.96892197 6.215605e-02 3.107803e-02 [25,] 0.97301289 5.397422e-02 2.698711e-02 [26,] 0.98552560 2.894880e-02 1.447440e-02 [27,] 0.99200549 1.598901e-02 7.994507e-03 [28,] 0.99499653 1.000695e-02 5.003473e-03 [29,] 0.99639733 7.205339e-03 3.602670e-03 [30,] 0.99742040 5.159208e-03 2.579604e-03 [31,] 0.99672963 6.540737e-03 3.270369e-03 [32,] 0.99563235 8.735293e-03 4.367647e-03 [33,] 0.99435157 1.129685e-02 5.648427e-03 [34,] 0.99262733 1.474533e-02 7.372666e-03 [35,] 0.99126795 1.746410e-02 8.732049e-03 [36,] 0.99210820 1.578360e-02 7.891799e-03 [37,] 0.99215410 1.569180e-02 7.845902e-03 [38,] 0.99144898 1.710203e-02 8.551017e-03 [39,] 0.98950416 2.099169e-02 1.049584e-02 [40,] 0.98599364 2.801272e-02 1.400636e-02 [41,] 0.98078551 3.842898e-02 1.921449e-02 [42,] 0.97533342 4.933315e-02 2.466658e-02 [43,] 0.96546112 6.907775e-02 3.453888e-02 [44,] 0.95328849 9.342302e-02 4.671151e-02 [45,] 0.95394507 9.210985e-02 4.605493e-02 [46,] 0.94788752 1.042250e-01 5.211248e-02 [47,] 0.95066522 9.866955e-02 4.933478e-02 [48,] 0.96020769 7.958462e-02 3.979231e-02 [49,] 0.96071141 7.857718e-02 3.928859e-02 [50,] 0.96411712 7.176576e-02 3.588288e-02 [51,] 0.97449186 5.101627e-02 2.550814e-02 [52,] 0.98384265 3.231470e-02 1.615735e-02 [53,] 0.99120208 1.759584e-02 8.797919e-03 [54,] 0.99360490 1.279021e-02 6.395104e-03 [55,] 0.99391962 1.216077e-02 6.080385e-03 [56,] 0.99397748 1.204504e-02 6.022522e-03 [57,] 0.99157418 1.685164e-02 8.425820e-03 [58,] 0.98639922 2.720155e-02 1.360078e-02 [59,] 0.98488523 3.022955e-02 1.511477e-02 [60,] 0.99032030 1.935940e-02 9.679700e-03 [61,] 0.99487849 1.024301e-02 5.121507e-03 [62,] 0.99799743 4.005131e-03 2.002566e-03 [63,] 0.99810718 3.785632e-03 1.892816e-03 [64,] 0.99869337 2.613257e-03 1.306629e-03 [65,] 0.99936971 1.260576e-03 6.302880e-04 [66,] 0.99997081 5.838360e-05 2.919180e-05 [67,] 0.99997361 5.277255e-05 2.638628e-05 [68,] 0.99994323 1.135330e-04 5.676650e-05 [69,] 0.99984356 3.128796e-04 1.564398e-04 [70,] 0.99986565 2.686966e-04 1.343483e-04 [71,] 0.99979802 4.039578e-04 2.019789e-04 [72,] 0.99920610 1.587799e-03 7.938993e-04 [73,] 0.99938501 1.229973e-03 6.149865e-04 [74,] 0.99661096 6.778084e-03 3.389042e-03 [75,] 0.98919027 2.161945e-02 1.080973e-02 > postscript(file="/var/www/html/rcomp/tmp/1djed1291026816.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2djed1291026816.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$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/3obvg1291026816.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/4obvg1291026816.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/5obvg1291026816.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 = 106 Frequency = 1 1 2 3 4 5 6 -32.3588525 -0.9389979 10.0345859 -1.7380848 -13.0240646 -11.8801616 7 8 9 10 11 12 -8.6134949 -11.1646707 -19.2630303 -25.8282424 -17.3621000 -17.0653727 13 14 15 16 17 18 -15.1719435 -0.3373253 -10.6915961 33.3275151 89.9628444 96.7067474 19 20 21 22 23 24 132.4307959 122.8648565 128.6943515 121.6160484 126.8952818 140.8772455 25 26 27 28 29 30 178.4559111 188.0183839 153.1280404 105.1766788 78.8267717 102.4198384 31 32 33 34 35 36 67.7225778 31.0566384 28.3582788 -9.1921697 0.7739727 12.7772455 37 38 39 40 41 42 -35.6080162 -46.7242343 -41.1506505 -72.2446303 -94.0797738 -91.4145617 43 44 45 46 47 48 -89.7265859 -87.4138344 -88.6974304 -48.7347879 -45.2686455 -43.8014454 49 50 51 52 53 54 -51.1014707 -61.8029252 -87.4145778 -77.7233212 -69.2732283 -58.9227798 55 56 57 58 59 60 -45.9348040 -38.4433616 -47.8417212 -28.9216969 -37.6555545 -83.0653727 61 62 63 64 65 66 -63.7014707 -85.2389979 -85.9293414 -56.5954666 -56.1027555 -74.7588525 67 68 69 70 71 72 -78.7134949 -79.0433616 -58.7417212 -33.8856242 -37.8473364 17.7198637 73 74 75 76 77 78 55.5919838 97.7757657 125.5280404 109.1127515 104.1628444 63.4854383 79 80 81 82 83 84 61.5307959 74.2648565 89.6091151 26.2734302 5.8543362 -16.9276274 85 86 87 88 89 90 0.2936564 -42.7717254 -47.6194507 -30.1068850 -39.8502466 -48.3637254 91 92 93 94 95 96 -59.0544405 -19.1351435 -29.3335031 -14.6200243 4.6100454 -10.5145364 97 98 99 100 101 102 -36.3997981 -47.9799435 -15.8850506 -9.2085576 -0.6223920 22.7280565 103 104 105 106 20.3586505 7.0140202 -2.7843394 13.2930667 > postscript(file="/var/www/html/rcomp/tmp/6ykuj1291026816.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 = 106 Frequency = 1 lag(myerror, k = 1) myerror 0 -32.3588525 NA 1 -0.9389979 -32.3588525 2 10.0345859 -0.9389979 3 -1.7380848 10.0345859 4 -13.0240646 -1.7380848 5 -11.8801616 -13.0240646 6 -8.6134949 -11.8801616 7 -11.1646707 -8.6134949 8 -19.2630303 -11.1646707 9 -25.8282424 -19.2630303 10 -17.3621000 -25.8282424 11 -17.0653727 -17.3621000 12 -15.1719435 -17.0653727 13 -0.3373253 -15.1719435 14 -10.6915961 -0.3373253 15 33.3275151 -10.6915961 16 89.9628444 33.3275151 17 96.7067474 89.9628444 18 132.4307959 96.7067474 19 122.8648565 132.4307959 20 128.6943515 122.8648565 21 121.6160484 128.6943515 22 126.8952818 121.6160484 23 140.8772455 126.8952818 24 178.4559111 140.8772455 25 188.0183839 178.4559111 26 153.1280404 188.0183839 27 105.1766788 153.1280404 28 78.8267717 105.1766788 29 102.4198384 78.8267717 30 67.7225778 102.4198384 31 31.0566384 67.7225778 32 28.3582788 31.0566384 33 -9.1921697 28.3582788 34 0.7739727 -9.1921697 35 12.7772455 0.7739727 36 -35.6080162 12.7772455 37 -46.7242343 -35.6080162 38 -41.1506505 -46.7242343 39 -72.2446303 -41.1506505 40 -94.0797738 -72.2446303 41 -91.4145617 -94.0797738 42 -89.7265859 -91.4145617 43 -87.4138344 -89.7265859 44 -88.6974304 -87.4138344 45 -48.7347879 -88.6974304 46 -45.2686455 -48.7347879 47 -43.8014454 -45.2686455 48 -51.1014707 -43.8014454 49 -61.8029252 -51.1014707 50 -87.4145778 -61.8029252 51 -77.7233212 -87.4145778 52 -69.2732283 -77.7233212 53 -58.9227798 -69.2732283 54 -45.9348040 -58.9227798 55 -38.4433616 -45.9348040 56 -47.8417212 -38.4433616 57 -28.9216969 -47.8417212 58 -37.6555545 -28.9216969 59 -83.0653727 -37.6555545 60 -63.7014707 -83.0653727 61 -85.2389979 -63.7014707 62 -85.9293414 -85.2389979 63 -56.5954666 -85.9293414 64 -56.1027555 -56.5954666 65 -74.7588525 -56.1027555 66 -78.7134949 -74.7588525 67 -79.0433616 -78.7134949 68 -58.7417212 -79.0433616 69 -33.8856242 -58.7417212 70 -37.8473364 -33.8856242 71 17.7198637 -37.8473364 72 55.5919838 17.7198637 73 97.7757657 55.5919838 74 125.5280404 97.7757657 75 109.1127515 125.5280404 76 104.1628444 109.1127515 77 63.4854383 104.1628444 78 61.5307959 63.4854383 79 74.2648565 61.5307959 80 89.6091151 74.2648565 81 26.2734302 89.6091151 82 5.8543362 26.2734302 83 -16.9276274 5.8543362 84 0.2936564 -16.9276274 85 -42.7717254 0.2936564 86 -47.6194507 -42.7717254 87 -30.1068850 -47.6194507 88 -39.8502466 -30.1068850 89 -48.3637254 -39.8502466 90 -59.0544405 -48.3637254 91 -19.1351435 -59.0544405 92 -29.3335031 -19.1351435 93 -14.6200243 -29.3335031 94 4.6100454 -14.6200243 95 -10.5145364 4.6100454 96 -36.3997981 -10.5145364 97 -47.9799435 -36.3997981 98 -15.8850506 -47.9799435 99 -9.2085576 -15.8850506 100 -0.6223920 -9.2085576 101 22.7280565 -0.6223920 102 20.3586505 22.7280565 103 7.0140202 20.3586505 104 -2.7843394 7.0140202 105 13.2930667 -2.7843394 106 NA 13.2930667 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] -0.9389979 -32.3588525 [2,] 10.0345859 -0.9389979 [3,] -1.7380848 10.0345859 [4,] -13.0240646 -1.7380848 [5,] -11.8801616 -13.0240646 [6,] -8.6134949 -11.8801616 [7,] -11.1646707 -8.6134949 [8,] -19.2630303 -11.1646707 [9,] -25.8282424 -19.2630303 [10,] -17.3621000 -25.8282424 [11,] -17.0653727 -17.3621000 [12,] -15.1719435 -17.0653727 [13,] -0.3373253 -15.1719435 [14,] -10.6915961 -0.3373253 [15,] 33.3275151 -10.6915961 [16,] 89.9628444 33.3275151 [17,] 96.7067474 89.9628444 [18,] 132.4307959 96.7067474 [19,] 122.8648565 132.4307959 [20,] 128.6943515 122.8648565 [21,] 121.6160484 128.6943515 [22,] 126.8952818 121.6160484 [23,] 140.8772455 126.8952818 [24,] 178.4559111 140.8772455 [25,] 188.0183839 178.4559111 [26,] 153.1280404 188.0183839 [27,] 105.1766788 153.1280404 [28,] 78.8267717 105.1766788 [29,] 102.4198384 78.8267717 [30,] 67.7225778 102.4198384 [31,] 31.0566384 67.7225778 [32,] 28.3582788 31.0566384 [33,] -9.1921697 28.3582788 [34,] 0.7739727 -9.1921697 [35,] 12.7772455 0.7739727 [36,] -35.6080162 12.7772455 [37,] -46.7242343 -35.6080162 [38,] -41.1506505 -46.7242343 [39,] -72.2446303 -41.1506505 [40,] -94.0797738 -72.2446303 [41,] -91.4145617 -94.0797738 [42,] -89.7265859 -91.4145617 [43,] -87.4138344 -89.7265859 [44,] -88.6974304 -87.4138344 [45,] -48.7347879 -88.6974304 [46,] -45.2686455 -48.7347879 [47,] -43.8014454 -45.2686455 [48,] -51.1014707 -43.8014454 [49,] -61.8029252 -51.1014707 [50,] -87.4145778 -61.8029252 [51,] -77.7233212 -87.4145778 [52,] -69.2732283 -77.7233212 [53,] -58.9227798 -69.2732283 [54,] -45.9348040 -58.9227798 [55,] -38.4433616 -45.9348040 [56,] -47.8417212 -38.4433616 [57,] -28.9216969 -47.8417212 [58,] -37.6555545 -28.9216969 [59,] -83.0653727 -37.6555545 [60,] -63.7014707 -83.0653727 [61,] -85.2389979 -63.7014707 [62,] -85.9293414 -85.2389979 [63,] -56.5954666 -85.9293414 [64,] -56.1027555 -56.5954666 [65,] -74.7588525 -56.1027555 [66,] -78.7134949 -74.7588525 [67,] -79.0433616 -78.7134949 [68,] -58.7417212 -79.0433616 [69,] -33.8856242 -58.7417212 [70,] -37.8473364 -33.8856242 [71,] 17.7198637 -37.8473364 [72,] 55.5919838 17.7198637 [73,] 97.7757657 55.5919838 [74,] 125.5280404 97.7757657 [75,] 109.1127515 125.5280404 [76,] 104.1628444 109.1127515 [77,] 63.4854383 104.1628444 [78,] 61.5307959 63.4854383 [79,] 74.2648565 61.5307959 [80,] 89.6091151 74.2648565 [81,] 26.2734302 89.6091151 [82,] 5.8543362 26.2734302 [83,] -16.9276274 5.8543362 [84,] 0.2936564 -16.9276274 [85,] -42.7717254 0.2936564 [86,] -47.6194507 -42.7717254 [87,] -30.1068850 -47.6194507 [88,] -39.8502466 -30.1068850 [89,] -48.3637254 -39.8502466 [90,] -59.0544405 -48.3637254 [91,] -19.1351435 -59.0544405 [92,] -29.3335031 -19.1351435 [93,] -14.6200243 -29.3335031 [94,] 4.6100454 -14.6200243 [95,] -10.5145364 4.6100454 [96,] -36.3997981 -10.5145364 [97,] -47.9799435 -36.3997981 [98,] -15.8850506 -47.9799435 [99,] -9.2085576 -15.8850506 [100,] -0.6223920 -9.2085576 [101,] 22.7280565 -0.6223920 [102,] 20.3586505 22.7280565 [103,] 7.0140202 20.3586505 [104,] -2.7843394 7.0140202 [105,] 13.2930667 -2.7843394 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 -0.9389979 -32.3588525 2 10.0345859 -0.9389979 3 -1.7380848 10.0345859 4 -13.0240646 -1.7380848 5 -11.8801616 -13.0240646 6 -8.6134949 -11.8801616 7 -11.1646707 -8.6134949 8 -19.2630303 -11.1646707 9 -25.8282424 -19.2630303 10 -17.3621000 -25.8282424 11 -17.0653727 -17.3621000 12 -15.1719435 -17.0653727 13 -0.3373253 -15.1719435 14 -10.6915961 -0.3373253 15 33.3275151 -10.6915961 16 89.9628444 33.3275151 17 96.7067474 89.9628444 18 132.4307959 96.7067474 19 122.8648565 132.4307959 20 128.6943515 122.8648565 21 121.6160484 128.6943515 22 126.8952818 121.6160484 23 140.8772455 126.8952818 24 178.4559111 140.8772455 25 188.0183839 178.4559111 26 153.1280404 188.0183839 27 105.1766788 153.1280404 28 78.8267717 105.1766788 29 102.4198384 78.8267717 30 67.7225778 102.4198384 31 31.0566384 67.7225778 32 28.3582788 31.0566384 33 -9.1921697 28.3582788 34 0.7739727 -9.1921697 35 12.7772455 0.7739727 36 -35.6080162 12.7772455 37 -46.7242343 -35.6080162 38 -41.1506505 -46.7242343 39 -72.2446303 -41.1506505 40 -94.0797738 -72.2446303 41 -91.4145617 -94.0797738 42 -89.7265859 -91.4145617 43 -87.4138344 -89.7265859 44 -88.6974304 -87.4138344 45 -48.7347879 -88.6974304 46 -45.2686455 -48.7347879 47 -43.8014454 -45.2686455 48 -51.1014707 -43.8014454 49 -61.8029252 -51.1014707 50 -87.4145778 -61.8029252 51 -77.7233212 -87.4145778 52 -69.2732283 -77.7233212 53 -58.9227798 -69.2732283 54 -45.9348040 -58.9227798 55 -38.4433616 -45.9348040 56 -47.8417212 -38.4433616 57 -28.9216969 -47.8417212 58 -37.6555545 -28.9216969 59 -83.0653727 -37.6555545 60 -63.7014707 -83.0653727 61 -85.2389979 -63.7014707 62 -85.9293414 -85.2389979 63 -56.5954666 -85.9293414 64 -56.1027555 -56.5954666 65 -74.7588525 -56.1027555 66 -78.7134949 -74.7588525 67 -79.0433616 -78.7134949 68 -58.7417212 -79.0433616 69 -33.8856242 -58.7417212 70 -37.8473364 -33.8856242 71 17.7198637 -37.8473364 72 55.5919838 17.7198637 73 97.7757657 55.5919838 74 125.5280404 97.7757657 75 109.1127515 125.5280404 76 104.1628444 109.1127515 77 63.4854383 104.1628444 78 61.5307959 63.4854383 79 74.2648565 61.5307959 80 89.6091151 74.2648565 81 26.2734302 89.6091151 82 5.8543362 26.2734302 83 -16.9276274 5.8543362 84 0.2936564 -16.9276274 85 -42.7717254 0.2936564 86 -47.6194507 -42.7717254 87 -30.1068850 -47.6194507 88 -39.8502466 -30.1068850 89 -48.3637254 -39.8502466 90 -59.0544405 -48.3637254 91 -19.1351435 -59.0544405 92 -29.3335031 -19.1351435 93 -14.6200243 -29.3335031 94 4.6100454 -14.6200243 95 -10.5145364 4.6100454 96 -36.3997981 -10.5145364 97 -47.9799435 -36.3997981 98 -15.8850506 -47.9799435 99 -9.2085576 -15.8850506 100 -0.6223920 -9.2085576 101 22.7280565 -0.6223920 102 20.3586505 22.7280565 103 7.0140202 20.3586505 104 -2.7843394 7.0140202 105 13.2930667 -2.7843394 > 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/7ykuj1291026816.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/8rbtm1291026816.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/9rbtm1291026816.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/www/html/rcomp/tmp/102lt71291026816.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/11n39c1291026816.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/12yuqx1291026816.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/13nvnr1291026816.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/14qwmx1291026816.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/15jn301291026816.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/16ff1r1291026816.tab") + } > > try(system("convert tmp/1djed1291026816.ps tmp/1djed1291026816.png",intern=TRUE)) character(0) > try(system("convert tmp/2djed1291026816.ps tmp/2djed1291026816.png",intern=TRUE)) character(0) > try(system("convert tmp/3obvg1291026816.ps tmp/3obvg1291026816.png",intern=TRUE)) character(0) > try(system("convert tmp/4obvg1291026816.ps tmp/4obvg1291026816.png",intern=TRUE)) character(0) > try(system("convert tmp/5obvg1291026816.ps tmp/5obvg1291026816.png",intern=TRUE)) character(0) > try(system("convert tmp/6ykuj1291026816.ps tmp/6ykuj1291026816.png",intern=TRUE)) character(0) > try(system("convert tmp/7ykuj1291026816.ps tmp/7ykuj1291026816.png",intern=TRUE)) character(0) > try(system("convert tmp/8rbtm1291026816.ps tmp/8rbtm1291026816.png",intern=TRUE)) character(0) > try(system("convert tmp/9rbtm1291026816.ps tmp/9rbtm1291026816.png",intern=TRUE)) character(0) > try(system("convert tmp/102lt71291026816.ps tmp/102lt71291026816.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 3.134 1.674 7.497