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Type 'q()' to quit R. > x <- array(list(6,57,1,6,-11,3,57,3,6,-12,10,55,3,3,-10,0,65,1,4,-15,-2,65,1,7,-15,-1,64,0,5,-15,2,60,2,6,-13,8,43,2,1,-8,-6,47,-1,3,-13,-4,40,1,6,-9,4,31,0,0,-7,7,27,1,3,-4,3,24,1,4,-4,3,23,3,7,-2,8,17,2,6,0,3,16,0,6,-2,-3,15,0,6,-3,4,8,-3,6,1,-5,5,-2,2,-2,-1,6,0,2,-1,5,5,1,2,1,0,12,-1,3,-3,-6,8,-2,-1,-4,-13,17,-1,-4,-9,-15,22,-1,4,-9),dim=c(5,25),dimnames=list(c('Economische','werkloosheid','financiƫle','spaarvermogen','indicatorconsumentenvertrouwen'),1:25)) > y <- array(NA,dim=c(5,25),dimnames=list(c('Economische','werkloosheid','financiƫle','spaarvermogen','indicatorconsumentenvertrouwen'),1:25)) > for (i in 1:dim(x)[1]) + { + for (j in 1:dim(x)[2]) + { + y[i,j] <- as.numeric(x[i,j]) + } + } > par3 = 'No Linear Trend' > par2 = 'Do not include Seasonal Dummies' > par1 = '5' > #'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 > 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 indicatorconsumentenvertrouwen Economische werkloosheid financi\303\253le 1 -11 6 57 1 2 -12 3 57 3 3 -10 10 55 3 4 -15 0 65 1 5 -15 -2 65 1 6 -15 -1 64 0 7 -13 2 60 2 8 -8 8 43 2 9 -13 -6 47 -1 10 -9 -4 40 1 11 -7 4 31 0 12 -4 7 27 1 13 -4 3 24 1 14 -2 3 23 3 15 0 8 17 2 16 -2 3 16 0 17 -3 -3 15 0 18 1 4 8 -3 19 -2 -5 5 -2 20 -1 -1 6 0 21 1 5 5 1 22 -3 0 12 -1 23 -4 -6 8 -2 24 -9 -13 17 -1 25 -9 -15 22 -1 spaarvermogen 1 6 2 6 3 3 4 4 5 7 6 5 7 6 8 1 9 3 10 6 11 0 12 3 13 4 14 7 15 6 16 6 17 6 18 6 19 2 20 2 21 2 22 3 23 -1 24 -4 25 4 > k <- length(x[1,]) > df <- as.data.frame(x) > (mylm <- lm(df)) Call: lm(formula = df) Coefficients: (Intercept) Economische werkloosheid 0.1170 0.2788 -0.2569 `financi\303\253le` spaarvermogen 0.1245 0.2865 > (mysum <- summary(mylm)) Call: lm(formula = df) Residuals: Min 1Q Median 3Q Max -0.76871 -0.14552 0.01242 0.16573 0.57733 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.116961 0.150449 0.777 0.4460 Economische 0.278787 0.014199 19.634 1.54e-14 *** werkloosheid -0.256941 0.003963 -64.839 < 2e-16 *** `financi\303\253le` 0.124481 0.062588 1.989 0.0606 . spaarvermogen 0.286505 0.028565 10.030 3.01e-09 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 0.3434 on 20 degrees of freedom Multiple R-squared: 0.9965, Adjusted R-squared: 0.9958 F-statistic: 1421 on 4 and 20 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 + } > postscript(file="/var/wessaorg/rcomp/tmp/1y39k1322156677.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$resid) > grid() > dev.off() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/26nhs1322156677.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index') > grid() > dev.off() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/3khnz1322156677.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') > grid() > dev.off() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/4y07b1322156677.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/5vg0t1322156677.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 = 25 Frequency = 1 1 2 3 4 5 6 0.012423540 -0.400178209 -0.006050764 0.313679236 0.011737053 0.173500994 7 8 9 10 11 12 -0.226088666 0.165726096 -0.103065330 0.432299376 -0.266947948 -0.115067075 13 14 15 16 17 18 -0.057247459 0.577334521 0.052743277 -0.561302121 -0.145522644 0.477828713 19 20 21 22 23 24 0.237626794 0.130458880 0.076317197 -0.768708191 0.146750990 0.145758303 25 -0.304006564 > postscript(file="/var/wessaorg/rcomp/tmp/6zzv61322156677.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 = 25 Frequency = 1 lag(myerror, k = 1) myerror 0 0.012423540 NA 1 -0.400178209 0.012423540 2 -0.006050764 -0.400178209 3 0.313679236 -0.006050764 4 0.011737053 0.313679236 5 0.173500994 0.011737053 6 -0.226088666 0.173500994 7 0.165726096 -0.226088666 8 -0.103065330 0.165726096 9 0.432299376 -0.103065330 10 -0.266947948 0.432299376 11 -0.115067075 -0.266947948 12 -0.057247459 -0.115067075 13 0.577334521 -0.057247459 14 0.052743277 0.577334521 15 -0.561302121 0.052743277 16 -0.145522644 -0.561302121 17 0.477828713 -0.145522644 18 0.237626794 0.477828713 19 0.130458880 0.237626794 20 0.076317197 0.130458880 21 -0.768708191 0.076317197 22 0.146750990 -0.768708191 23 0.145758303 0.146750990 24 -0.304006564 0.145758303 25 NA -0.304006564 > dum1 <- dum[2:length(myerror),] > dum1 lag(myerror, k = 1) myerror [1,] -0.400178209 0.012423540 [2,] -0.006050764 -0.400178209 [3,] 0.313679236 -0.006050764 [4,] 0.011737053 0.313679236 [5,] 0.173500994 0.011737053 [6,] -0.226088666 0.173500994 [7,] 0.165726096 -0.226088666 [8,] -0.103065330 0.165726096 [9,] 0.432299376 -0.103065330 [10,] -0.266947948 0.432299376 [11,] -0.115067075 -0.266947948 [12,] -0.057247459 -0.115067075 [13,] 0.577334521 -0.057247459 [14,] 0.052743277 0.577334521 [15,] -0.561302121 0.052743277 [16,] -0.145522644 -0.561302121 [17,] 0.477828713 -0.145522644 [18,] 0.237626794 0.477828713 [19,] 0.130458880 0.237626794 [20,] 0.076317197 0.130458880 [21,] -0.768708191 0.076317197 [22,] 0.146750990 -0.768708191 [23,] 0.145758303 0.146750990 [24,] -0.304006564 0.145758303 > z <- as.data.frame(dum1) > z lag(myerror, k = 1) myerror 1 -0.400178209 0.012423540 2 -0.006050764 -0.400178209 3 0.313679236 -0.006050764 4 0.011737053 0.313679236 5 0.173500994 0.011737053 6 -0.226088666 0.173500994 7 0.165726096 -0.226088666 8 -0.103065330 0.165726096 9 0.432299376 -0.103065330 10 -0.266947948 0.432299376 11 -0.115067075 -0.266947948 12 -0.057247459 -0.115067075 13 0.577334521 -0.057247459 14 0.052743277 0.577334521 15 -0.561302121 0.052743277 16 -0.145522644 -0.561302121 17 0.477828713 -0.145522644 18 0.237626794 0.477828713 19 0.130458880 0.237626794 20 0.076317197 0.130458880 21 -0.768708191 0.076317197 22 0.146750990 -0.768708191 23 0.145758303 0.146750990 24 -0.304006564 0.145758303 > 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/wessaorg/rcomp/tmp/746tw1322156677.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/8ivah1322156677.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function') > grid() > dev.off() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/9zj151322156677.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0)) > plot(mylm, las = 1, sub='Residual Diagnostics') > par(opar) > dev.off() null device 1 > if (n > n25) { + postscript(file="/var/wessaorg/rcomp/tmp/107jyr1322156677.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) + plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint') + grid() + dev.off() + } > > #Note: the /var/wessaorg/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/wessaorg/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE) > a<-table.row.end(a) > myeq <- colnames(x)[1] > myeq <- paste(myeq, '[t] = ', sep='') > for (i in 1:k){ + if (mysum$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/wessaorg/rcomp/tmp/110lry1322156677.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/wessaorg/rcomp/tmp/12mzah1322156677.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/wessaorg/rcomp/tmp/13fbbf1322156677.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/wessaorg/rcomp/tmp/14a6me1322156677.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/wessaorg/rcomp/tmp/15dgav1322156677.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/wessaorg/rcomp/tmp/16blca1322156677.tab") + } > > try(system("convert tmp/1y39k1322156677.ps tmp/1y39k1322156677.png",intern=TRUE)) character(0) > try(system("convert tmp/26nhs1322156677.ps tmp/26nhs1322156677.png",intern=TRUE)) character(0) > try(system("convert tmp/3khnz1322156677.ps tmp/3khnz1322156677.png",intern=TRUE)) character(0) > try(system("convert tmp/4y07b1322156677.ps tmp/4y07b1322156677.png",intern=TRUE)) character(0) > try(system("convert tmp/5vg0t1322156677.ps tmp/5vg0t1322156677.png",intern=TRUE)) character(0) > try(system("convert tmp/6zzv61322156677.ps tmp/6zzv61322156677.png",intern=TRUE)) character(0) > try(system("convert tmp/746tw1322156677.ps tmp/746tw1322156677.png",intern=TRUE)) character(0) > try(system("convert tmp/8ivah1322156677.ps tmp/8ivah1322156677.png",intern=TRUE)) character(0) > try(system("convert tmp/9zj151322156677.ps tmp/9zj151322156677.png",intern=TRUE)) character(0) > try(system("convert tmp/107jyr1322156677.ps tmp/107jyr1322156677.png",intern=TRUE)) convert: unable to open image `tmp/107jyr1322156677.ps': No such file or directory @ blob.c/OpenBlob/2480. convert: missing an image filename `tmp/107jyr1322156677.png' @ convert.c/ConvertImageCommand/2838. character(0) Warning message: running command 'convert tmp/107jyr1322156677.ps tmp/107jyr1322156677.png' had status 1 > > > proc.time() user system elapsed 2.651 0.469 3.153