R version 2.8.0 (2008-10-20)
Copyright (C) 2008 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
Natural language support but running in an English locale
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> x <- array(list(378.205
+ ,0
+ ,377.632
+ ,376.974
+ ,370.861
+ ,0
+ ,378.205
+ ,377.632
+ ,369.167
+ ,0
+ ,370.861
+ ,378.205
+ ,371.551
+ ,0
+ ,369.167
+ ,370.861
+ ,382.842
+ ,0
+ ,371.551
+ ,369.167
+ ,381.903
+ ,0
+ ,382.842
+ ,371.551
+ ,384.502
+ ,0
+ ,381.903
+ ,382.842
+ ,392.058
+ ,0
+ ,384.502
+ ,381.903
+ ,384.359
+ ,0
+ ,392.058
+ ,384.502
+ ,388.884
+ ,0
+ ,384.359
+ ,392.058
+ ,386.586
+ ,0
+ ,388.884
+ ,384.359
+ ,387.495
+ ,0
+ ,386.586
+ ,388.884
+ ,385.705
+ ,0
+ ,387.495
+ ,386.586
+ ,378.67
+ ,0
+ ,385.705
+ ,387.495
+ ,377.367
+ ,0
+ ,378.67
+ ,385.705
+ ,376.911
+ ,0
+ ,377.367
+ ,378.67
+ ,389.827
+ ,0
+ ,376.911
+ ,377.367
+ ,387.82
+ ,0
+ ,389.827
+ ,376.911
+ ,387.267
+ ,0
+ ,387.82
+ ,389.827
+ ,380.575
+ ,0
+ ,387.267
+ ,387.82
+ ,372.402
+ ,0
+ ,380.575
+ ,387.267
+ ,376.74
+ ,0
+ ,372.402
+ ,380.575
+ ,377.795
+ ,0
+ ,376.74
+ ,372.402
+ ,376.126
+ ,0
+ ,377.795
+ ,376.74
+ ,370.804
+ ,0
+ ,376.126
+ ,377.795
+ ,367.98
+ ,0
+ ,370.804
+ ,376.126
+ ,367.866
+ ,0
+ ,367.98
+ ,370.804
+ ,366.121
+ ,0
+ ,367.866
+ ,367.98
+ ,379.421
+ ,0
+ ,366.121
+ ,367.866
+ ,378.519
+ ,0
+ ,379.421
+ ,366.121
+ ,372.423
+ ,0
+ ,378.519
+ ,379.421
+ ,355.072
+ ,0
+ ,372.423
+ ,378.519
+ ,344.693
+ ,0
+ ,355.072
+ ,372.423
+ ,342.892
+ ,0
+ ,344.693
+ ,355.072
+ ,344.178
+ ,0
+ ,342.892
+ ,344.693
+ ,337.606
+ ,0
+ ,344.178
+ ,342.892
+ ,327.103
+ ,0
+ ,337.606
+ ,344.178
+ ,323.953
+ ,0
+ ,327.103
+ ,337.606
+ ,316.532
+ ,0
+ ,323.953
+ ,327.103
+ ,306.307
+ ,0
+ ,316.532
+ ,323.953
+ ,327.225
+ ,0
+ ,306.307
+ ,316.532
+ ,329.573
+ ,0
+ ,327.225
+ ,306.307
+ ,313.761
+ ,0
+ ,329.573
+ ,327.225
+ ,307.836
+ ,0
+ ,313.761
+ ,329.573
+ ,300.074
+ ,0
+ ,307.836
+ ,313.761
+ ,304.198
+ ,0
+ ,300.074
+ ,307.836
+ ,306.122
+ ,0
+ ,304.198
+ ,300.074
+ ,300.414
+ ,0
+ ,306.122
+ ,304.198
+ ,292.133
+ ,0
+ ,300.414
+ ,306.122
+ ,290.616
+ ,0
+ ,292.133
+ ,300.414
+ ,280.244
+ ,1
+ ,290.616
+ ,292.133
+ ,285.179
+ ,1
+ ,280.244
+ ,290.616
+ ,305.486
+ ,1
+ ,285.179
+ ,280.244
+ ,305.957
+ ,1
+ ,305.486
+ ,285.179
+ ,293.886
+ ,1
+ ,305.957
+ ,305.486
+ ,289.441
+ ,1
+ ,293.886
+ ,305.957
+ ,288.776
+ ,1
+ ,289.441
+ ,293.886
+ ,299.149
+ ,1
+ ,288.776
+ ,289.441
+ ,306.532
+ ,1
+ ,299.149
+ ,288.776
+ ,309.914
+ ,1
+ ,306.532
+ ,299.149
+ ,313.468
+ ,1
+ ,309.914
+ ,306.532
+ ,314.901
+ ,1
+ ,313.468
+ ,309.914
+ ,309.16
+ ,1
+ ,314.901
+ ,313.468
+ ,316.15
+ ,1
+ ,309.16
+ ,314.901
+ ,336.544
+ ,1
+ ,316.15
+ ,309.16
+ ,339.196
+ ,1
+ ,336.544
+ ,316.15
+ ,326.738
+ ,1
+ ,339.196
+ ,336.544
+ ,320.838
+ ,1
+ ,326.738
+ ,339.196
+ ,318.62
+ ,1
+ ,320.838
+ ,326.738
+ ,331.533
+ ,1
+ ,318.62
+ ,320.838
+ ,335.378
+ ,1
+ ,331.533
+ ,318.62)
+ ,dim=c(4
+ ,71)
+ ,dimnames=list(c('Maandelijksewerkloosheid'
+ ,'x'
+ ,'y-1'
+ ,'y-2')
+ ,1:71))
> y <- array(NA,dim=c(4,71),dimnames=list(c('Maandelijksewerkloosheid','x','y-1','y-2'),1:71))
> 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 = '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
Maandelijksewerkloosheid x y-1 y-2 M1 M2 M3 M4 M5 M6 M7 M8 M9 M10
1 378.205 0 377.632 376.974 1 0 0 0 0 0 0 0 0 0
2 370.861 0 378.205 377.632 0 1 0 0 0 0 0 0 0 0
3 369.167 0 370.861 378.205 0 0 1 0 0 0 0 0 0 0
4 371.551 0 369.167 370.861 0 0 0 1 0 0 0 0 0 0
5 382.842 0 371.551 369.167 0 0 0 0 1 0 0 0 0 0
6 381.903 0 382.842 371.551 0 0 0 0 0 1 0 0 0 0
7 384.502 0 381.903 382.842 0 0 0 0 0 0 1 0 0 0
8 392.058 0 384.502 381.903 0 0 0 0 0 0 0 1 0 0
9 384.359 0 392.058 384.502 0 0 0 0 0 0 0 0 1 0
10 388.884 0 384.359 392.058 0 0 0 0 0 0 0 0 0 1
11 386.586 0 388.884 384.359 0 0 0 0 0 0 0 0 0 0
12 387.495 0 386.586 388.884 0 0 0 0 0 0 0 0 0 0
13 385.705 0 387.495 386.586 1 0 0 0 0 0 0 0 0 0
14 378.670 0 385.705 387.495 0 1 0 0 0 0 0 0 0 0
15 377.367 0 378.670 385.705 0 0 1 0 0 0 0 0 0 0
16 376.911 0 377.367 378.670 0 0 0 1 0 0 0 0 0 0
17 389.827 0 376.911 377.367 0 0 0 0 1 0 0 0 0 0
18 387.820 0 389.827 376.911 0 0 0 0 0 1 0 0 0 0
19 387.267 0 387.820 389.827 0 0 0 0 0 0 1 0 0 0
20 380.575 0 387.267 387.820 0 0 0 0 0 0 0 1 0 0
21 372.402 0 380.575 387.267 0 0 0 0 0 0 0 0 1 0
22 376.740 0 372.402 380.575 0 0 0 0 0 0 0 0 0 1
23 377.795 0 376.740 372.402 0 0 0 0 0 0 0 0 0 0
24 376.126 0 377.795 376.740 0 0 0 0 0 0 0 0 0 0
25 370.804 0 376.126 377.795 1 0 0 0 0 0 0 0 0 0
26 367.980 0 370.804 376.126 0 1 0 0 0 0 0 0 0 0
27 367.866 0 367.980 370.804 0 0 1 0 0 0 0 0 0 0
28 366.121 0 367.866 367.980 0 0 0 1 0 0 0 0 0 0
29 379.421 0 366.121 367.866 0 0 0 0 1 0 0 0 0 0
30 378.519 0 379.421 366.121 0 0 0 0 0 1 0 0 0 0
31 372.423 0 378.519 379.421 0 0 0 0 0 0 1 0 0 0
32 355.072 0 372.423 378.519 0 0 0 0 0 0 0 1 0 0
33 344.693 0 355.072 372.423 0 0 0 0 0 0 0 0 1 0
34 342.892 0 344.693 355.072 0 0 0 0 0 0 0 0 0 1
35 344.178 0 342.892 344.693 0 0 0 0 0 0 0 0 0 0
36 337.606 0 344.178 342.892 0 0 0 0 0 0 0 0 0 0
37 327.103 0 337.606 344.178 1 0 0 0 0 0 0 0 0 0
38 323.953 0 327.103 337.606 0 1 0 0 0 0 0 0 0 0
39 316.532 0 323.953 327.103 0 0 1 0 0 0 0 0 0 0
40 306.307 0 316.532 323.953 0 0 0 1 0 0 0 0 0 0
41 327.225 0 306.307 316.532 0 0 0 0 1 0 0 0 0 0
42 329.573 0 327.225 306.307 0 0 0 0 0 1 0 0 0 0
43 313.761 0 329.573 327.225 0 0 0 0 0 0 1 0 0 0
44 307.836 0 313.761 329.573 0 0 0 0 0 0 0 1 0 0
45 300.074 0 307.836 313.761 0 0 0 0 0 0 0 0 1 0
46 304.198 0 300.074 307.836 0 0 0 0 0 0 0 0 0 1
47 306.122 0 304.198 300.074 0 0 0 0 0 0 0 0 0 0
48 300.414 0 306.122 304.198 0 0 0 0 0 0 0 0 0 0
49 292.133 0 300.414 306.122 1 0 0 0 0 0 0 0 0 0
50 290.616 0 292.133 300.414 0 1 0 0 0 0 0 0 0 0
51 280.244 1 290.616 292.133 0 0 1 0 0 0 0 0 0 0
52 285.179 1 280.244 290.616 0 0 0 1 0 0 0 0 0 0
53 305.486 1 285.179 280.244 0 0 0 0 1 0 0 0 0 0
54 305.957 1 305.486 285.179 0 0 0 0 0 1 0 0 0 0
55 293.886 1 305.957 305.486 0 0 0 0 0 0 1 0 0 0
56 289.441 1 293.886 305.957 0 0 0 0 0 0 0 1 0 0
57 288.776 1 289.441 293.886 0 0 0 0 0 0 0 0 1 0
58 299.149 1 288.776 289.441 0 0 0 0 0 0 0 0 0 1
59 306.532 1 299.149 288.776 0 0 0 0 0 0 0 0 0 0
60 309.914 1 306.532 299.149 0 0 0 0 0 0 0 0 0 0
61 313.468 1 309.914 306.532 1 0 0 0 0 0 0 0 0 0
62 314.901 1 313.468 309.914 0 1 0 0 0 0 0 0 0 0
63 309.160 1 314.901 313.468 0 0 1 0 0 0 0 0 0 0
64 316.150 1 309.160 314.901 0 0 0 1 0 0 0 0 0 0
65 336.544 1 316.150 309.160 0 0 0 0 1 0 0 0 0 0
66 339.196 1 336.544 316.150 0 0 0 0 0 1 0 0 0 0
67 326.738 1 339.196 336.544 0 0 0 0 0 0 1 0 0 0
68 320.838 1 326.738 339.196 0 0 0 0 0 0 0 1 0 0
69 318.620 1 320.838 326.738 0 0 0 0 0 0 0 0 1 0
70 331.533 1 318.620 320.838 0 0 0 0 0 0 0 0 0 1
71 335.378 1 331.533 318.620 0 0 0 0 0 0 0 0 0 0
M11 t
1 0 1
2 0 2
3 0 3
4 0 4
5 0 5
6 0 6
7 0 7
8 0 8
9 0 9
10 0 10
11 1 11
12 0 12
13 0 13
14 0 14
15 0 15
16 0 16
17 0 17
18 0 18
19 0 19
20 0 20
21 0 21
22 0 22
23 1 23
24 0 24
25 0 25
26 0 26
27 0 27
28 0 28
29 0 29
30 0 30
31 0 31
32 0 32
33 0 33
34 0 34
35 1 35
36 0 36
37 0 37
38 0 38
39 0 39
40 0 40
41 0 41
42 0 42
43 0 43
44 0 44
45 0 45
46 0 46
47 1 47
48 0 48
49 0 49
50 0 50
51 0 51
52 0 52
53 0 53
54 0 54
55 0 55
56 0 56
57 0 57
58 0 58
59 1 59
60 0 60
61 0 61
62 0 62
63 0 63
64 0 64
65 0 65
66 0 66
67 0 67
68 0 68
69 0 69
70 0 70
71 1 71
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) x `y-1` `y-2` M1 M2
6.06645 6.51401 1.04112 -0.05671 -1.78757 -1.38928
M3 M4 M5 M6 M7 M8
-3.46313 1.39315 17.44776 0.64796 -5.98306 -3.61234
M9 M10 M11 t
-4.38508 7.56500 3.54606 -0.11219
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-10.0618 -1.9588 0.3919 2.2153 11.8480
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 6.06645 12.97594 0.468 0.6420
x 6.51401 2.26913 2.871 0.0058 **
`y-1` 1.04112 0.13598 7.656 3.17e-10 ***
`y-2` -0.05671 0.13901 -0.408 0.6849
M1 -1.78757 2.90107 -0.616 0.5403
M2 -1.38928 2.95834 -0.470 0.6405
M3 -3.46313 3.01557 -1.148 0.2558
M4 1.39315 3.05292 0.456 0.6499
M5 17.44776 2.90074 6.015 1.52e-07 ***
M6 0.64796 3.41789 0.190 0.8503
M7 -5.98306 2.91027 -2.056 0.0446 *
M8 -3.61234 3.19846 -1.129 0.2636
M9 -4.38508 3.06796 -1.429 0.1586
M10 7.56500 3.08814 2.450 0.0175 *
M11 3.54606 2.89520 1.225 0.2259
t -0.11219 0.06722 -1.669 0.1008
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 4.711 on 55 degrees of freedom
Multiple R-squared: 0.9859, Adjusted R-squared: 0.9821
F-statistic: 256.9 on 15 and 55 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,] 0.07422085 0.1484417043 0.9257791479
[2,] 0.46457813 0.9291562544 0.5354218728
[3,] 0.56520314 0.8695937158 0.4347968579
[4,] 0.48652475 0.9730494928 0.5134752536
[5,] 0.39220441 0.7844088117 0.6077955941
[6,] 0.31252646 0.6250529299 0.6874735350
[7,] 0.23967074 0.4793414806 0.7603292597
[8,] 0.25269654 0.5053930791 0.7473034604
[9,] 0.30914514 0.6182902752 0.6908548624
[10,] 0.25367523 0.5073504600 0.7463247700
[11,] 0.19008788 0.3801757618 0.8099121191
[12,] 0.13526082 0.2705216352 0.8647391824
[13,] 0.48804592 0.9760918427 0.5119540786
[14,] 0.88790264 0.2241947132 0.1120973566
[15,] 0.84833265 0.3033347087 0.1516673543
[16,] 0.84914274 0.3017145151 0.1508572576
[17,] 0.81672292 0.3665541609 0.1832770805
[18,] 0.77841907 0.4431618550 0.2215809275
[19,] 0.77418674 0.4516265164 0.2258132582
[20,] 0.77770305 0.4445939099 0.2222969549
[21,] 0.77728165 0.4454367040 0.2227183520
[22,] 0.97726365 0.0454726957 0.0227363479
[23,] 0.99082961 0.0183407892 0.0091703946
[24,] 0.99224255 0.0155149047 0.0077574524
[25,] 0.99267122 0.0146575561 0.0073287781
[26,] 0.99617594 0.0076481258 0.0038240629
[27,] 0.99197537 0.0160492656 0.0080246328
[28,] 0.98337809 0.0332438273 0.0166219136
[29,] 0.99798929 0.0040214112 0.0020107056
[30,] 0.99972249 0.0005550125 0.0002775062
[31,] 0.99879368 0.0024126429 0.0012063214
[32,] 0.99536777 0.0092644652 0.0046322326
[33,] 0.98540928 0.0291814321 0.0145907161
[34,] 0.95386535 0.0922693072 0.0461346536
> postscript(file="/var/www/html/freestat/rcomp/tmp/1j90y1291055358.ps",horizontal=F,onefile=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$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/2t0hj1291055358.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$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/3t0hj1291055358.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/4t0hj1291055358.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/5t0hj1291055358.ps",horizontal=F,onefile=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 = 71
Frequency = 1
1 2 3 4 5 6
2.2578507 -5.9315047 2.2389895 1.2260664 -6.0034436 -1.6505047
7 8 9 10 11 12
9.3096294 11.8479772 -2.6853760 -1.5542100 -4.8687501 2.3475980
13 14 15 16 17 18
1.3806632 -4.0252999 4.0804824 -0.1619937 -2.7875594 -1.3554925
19 20 21 22 23 24
7.6567085 -0.8319118 -1.1841906 -0.5545472 -0.3482793 0.7886007
25 26 27 28 29 30
-0.8361857 1.4998745 6.2102141 -0.3203412 -1.1524791 0.9116992
31 32 33 34 35 36
3.2522435 -10.0618037 -1.8371696 -5.6543011 1.0492767 -3.3054872
37 38 39 40 41 42
-4.9935799 2.1324524 -0.4186213 -7.8402270 7.3599180 4.2619665
43 44 45 46 47 48
-6.0650966 2.3466521 0.7414910 0.7727326 2.0941074 -1.7248788
49 50 51 52 53 54
-2.0543147 4.4403550 -9.1498573 1.7534797 0.3919478 -3.0871499
55 56 57 58 59 60
-7.7536877 -1.8632010 2.2999398 1.2753101 1.9522235 1.8941672
61 62 63 64 65 66
4.2455663 1.8841226 -2.9612074 5.3430158 2.1916162 0.9194815
67 68 69 70 71
-6.3997972 -1.4377128 2.6653054 5.7150156 0.1214218
> postscript(file="/var/www/html/freestat/rcomp/tmp/6mszm1291055358.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> dum <- cbind(lag(myerror,k=1),myerror)
> dum
Time Series:
Start = 0
End = 71
Frequency = 1
lag(myerror, k = 1) myerror
0 2.2578507 NA
1 -5.9315047 2.2578507
2 2.2389895 -5.9315047
3 1.2260664 2.2389895
4 -6.0034436 1.2260664
5 -1.6505047 -6.0034436
6 9.3096294 -1.6505047
7 11.8479772 9.3096294
8 -2.6853760 11.8479772
9 -1.5542100 -2.6853760
10 -4.8687501 -1.5542100
11 2.3475980 -4.8687501
12 1.3806632 2.3475980
13 -4.0252999 1.3806632
14 4.0804824 -4.0252999
15 -0.1619937 4.0804824
16 -2.7875594 -0.1619937
17 -1.3554925 -2.7875594
18 7.6567085 -1.3554925
19 -0.8319118 7.6567085
20 -1.1841906 -0.8319118
21 -0.5545472 -1.1841906
22 -0.3482793 -0.5545472
23 0.7886007 -0.3482793
24 -0.8361857 0.7886007
25 1.4998745 -0.8361857
26 6.2102141 1.4998745
27 -0.3203412 6.2102141
28 -1.1524791 -0.3203412
29 0.9116992 -1.1524791
30 3.2522435 0.9116992
31 -10.0618037 3.2522435
32 -1.8371696 -10.0618037
33 -5.6543011 -1.8371696
34 1.0492767 -5.6543011
35 -3.3054872 1.0492767
36 -4.9935799 -3.3054872
37 2.1324524 -4.9935799
38 -0.4186213 2.1324524
39 -7.8402270 -0.4186213
40 7.3599180 -7.8402270
41 4.2619665 7.3599180
42 -6.0650966 4.2619665
43 2.3466521 -6.0650966
44 0.7414910 2.3466521
45 0.7727326 0.7414910
46 2.0941074 0.7727326
47 -1.7248788 2.0941074
48 -2.0543147 -1.7248788
49 4.4403550 -2.0543147
50 -9.1498573 4.4403550
51 1.7534797 -9.1498573
52 0.3919478 1.7534797
53 -3.0871499 0.3919478
54 -7.7536877 -3.0871499
55 -1.8632010 -7.7536877
56 2.2999398 -1.8632010
57 1.2753101 2.2999398
58 1.9522235 1.2753101
59 1.8941672 1.9522235
60 4.2455663 1.8941672
61 1.8841226 4.2455663
62 -2.9612074 1.8841226
63 5.3430158 -2.9612074
64 2.1916162 5.3430158
65 0.9194815 2.1916162
66 -6.3997972 0.9194815
67 -1.4377128 -6.3997972
68 2.6653054 -1.4377128
69 5.7150156 2.6653054
70 0.1214218 5.7150156
71 NA 0.1214218
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] -5.9315047 2.2578507
[2,] 2.2389895 -5.9315047
[3,] 1.2260664 2.2389895
[4,] -6.0034436 1.2260664
[5,] -1.6505047 -6.0034436
[6,] 9.3096294 -1.6505047
[7,] 11.8479772 9.3096294
[8,] -2.6853760 11.8479772
[9,] -1.5542100 -2.6853760
[10,] -4.8687501 -1.5542100
[11,] 2.3475980 -4.8687501
[12,] 1.3806632 2.3475980
[13,] -4.0252999 1.3806632
[14,] 4.0804824 -4.0252999
[15,] -0.1619937 4.0804824
[16,] -2.7875594 -0.1619937
[17,] -1.3554925 -2.7875594
[18,] 7.6567085 -1.3554925
[19,] -0.8319118 7.6567085
[20,] -1.1841906 -0.8319118
[21,] -0.5545472 -1.1841906
[22,] -0.3482793 -0.5545472
[23,] 0.7886007 -0.3482793
[24,] -0.8361857 0.7886007
[25,] 1.4998745 -0.8361857
[26,] 6.2102141 1.4998745
[27,] -0.3203412 6.2102141
[28,] -1.1524791 -0.3203412
[29,] 0.9116992 -1.1524791
[30,] 3.2522435 0.9116992
[31,] -10.0618037 3.2522435
[32,] -1.8371696 -10.0618037
[33,] -5.6543011 -1.8371696
[34,] 1.0492767 -5.6543011
[35,] -3.3054872 1.0492767
[36,] -4.9935799 -3.3054872
[37,] 2.1324524 -4.9935799
[38,] -0.4186213 2.1324524
[39,] -7.8402270 -0.4186213
[40,] 7.3599180 -7.8402270
[41,] 4.2619665 7.3599180
[42,] -6.0650966 4.2619665
[43,] 2.3466521 -6.0650966
[44,] 0.7414910 2.3466521
[45,] 0.7727326 0.7414910
[46,] 2.0941074 0.7727326
[47,] -1.7248788 2.0941074
[48,] -2.0543147 -1.7248788
[49,] 4.4403550 -2.0543147
[50,] -9.1498573 4.4403550
[51,] 1.7534797 -9.1498573
[52,] 0.3919478 1.7534797
[53,] -3.0871499 0.3919478
[54,] -7.7536877 -3.0871499
[55,] -1.8632010 -7.7536877
[56,] 2.2999398 -1.8632010
[57,] 1.2753101 2.2999398
[58,] 1.9522235 1.2753101
[59,] 1.8941672 1.9522235
[60,] 4.2455663 1.8941672
[61,] 1.8841226 4.2455663
[62,] -2.9612074 1.8841226
[63,] 5.3430158 -2.9612074
[64,] 2.1916162 5.3430158
[65,] 0.9194815 2.1916162
[66,] -6.3997972 0.9194815
[67,] -1.4377128 -6.3997972
[68,] 2.6653054 -1.4377128
[69,] 5.7150156 2.6653054
[70,] 0.1214218 5.7150156
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 -5.9315047 2.2578507
2 2.2389895 -5.9315047
3 1.2260664 2.2389895
4 -6.0034436 1.2260664
5 -1.6505047 -6.0034436
6 9.3096294 -1.6505047
7 11.8479772 9.3096294
8 -2.6853760 11.8479772
9 -1.5542100 -2.6853760
10 -4.8687501 -1.5542100
11 2.3475980 -4.8687501
12 1.3806632 2.3475980
13 -4.0252999 1.3806632
14 4.0804824 -4.0252999
15 -0.1619937 4.0804824
16 -2.7875594 -0.1619937
17 -1.3554925 -2.7875594
18 7.6567085 -1.3554925
19 -0.8319118 7.6567085
20 -1.1841906 -0.8319118
21 -0.5545472 -1.1841906
22 -0.3482793 -0.5545472
23 0.7886007 -0.3482793
24 -0.8361857 0.7886007
25 1.4998745 -0.8361857
26 6.2102141 1.4998745
27 -0.3203412 6.2102141
28 -1.1524791 -0.3203412
29 0.9116992 -1.1524791
30 3.2522435 0.9116992
31 -10.0618037 3.2522435
32 -1.8371696 -10.0618037
33 -5.6543011 -1.8371696
34 1.0492767 -5.6543011
35 -3.3054872 1.0492767
36 -4.9935799 -3.3054872
37 2.1324524 -4.9935799
38 -0.4186213 2.1324524
39 -7.8402270 -0.4186213
40 7.3599180 -7.8402270
41 4.2619665 7.3599180
42 -6.0650966 4.2619665
43 2.3466521 -6.0650966
44 0.7414910 2.3466521
45 0.7727326 0.7414910
46 2.0941074 0.7727326
47 -1.7248788 2.0941074
48 -2.0543147 -1.7248788
49 4.4403550 -2.0543147
50 -9.1498573 4.4403550
51 1.7534797 -9.1498573
52 0.3919478 1.7534797
53 -3.0871499 0.3919478
54 -7.7536877 -3.0871499
55 -1.8632010 -7.7536877
56 2.2999398 -1.8632010
57 1.2753101 2.2999398
58 1.9522235 1.2753101
59 1.8941672 1.9522235
60 4.2455663 1.8941672
61 1.8841226 4.2455663
62 -2.9612074 1.8841226
63 5.3430158 -2.9612074
64 2.1916162 5.3430158
65 0.9194815 2.1916162
66 -6.3997972 0.9194815
67 -1.4377128 -6.3997972
68 2.6653054 -1.4377128
69 5.7150156 2.6653054
70 0.1214218 5.7150156
> 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/7fjgp1291055358.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/8fjgp1291055358.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/9fjgp1291055358.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/www/html/freestat/rcomp/tmp/10qafs1291055358.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
null device
1
>
> #Note: the /var/www/html/freestat/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/freestat/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$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/11bavx1291055358.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/12wtcl1291055358.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/133c9x1291055358.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/14w38i1291055358.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/15h4p61291055358.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/16l4nu1291055358.tab")
+ }
>
> try(system("convert tmp/1j90y1291055358.ps tmp/1j90y1291055358.png",intern=TRUE))
character(0)
> try(system("convert tmp/2t0hj1291055358.ps tmp/2t0hj1291055358.png",intern=TRUE))
character(0)
> try(system("convert tmp/3t0hj1291055358.ps tmp/3t0hj1291055358.png",intern=TRUE))
character(0)
> try(system("convert tmp/4t0hj1291055358.ps tmp/4t0hj1291055358.png",intern=TRUE))
character(0)
> try(system("convert tmp/5t0hj1291055358.ps tmp/5t0hj1291055358.png",intern=TRUE))
character(0)
> try(system("convert tmp/6mszm1291055358.ps tmp/6mszm1291055358.png",intern=TRUE))
character(0)
> try(system("convert tmp/7fjgp1291055358.ps tmp/7fjgp1291055358.png",intern=TRUE))
character(0)
> try(system("convert tmp/8fjgp1291055358.ps tmp/8fjgp1291055358.png",intern=TRUE))
character(0)
> try(system("convert tmp/9fjgp1291055358.ps tmp/9fjgp1291055358.png",intern=TRUE))
character(0)
> try(system("convert tmp/10qafs1291055358.ps tmp/10qafs1291055358.png",intern=TRUE))
character(0)
>
>
> proc.time()
user system elapsed
3.977 2.495 4.404