x <- array(list(13 ,38 ,14 ,16 ,32 ,18 ,19 ,35 ,11 ,15 ,33 ,12 ,14 ,37 ,16 ,13 ,29 ,18 ,19 ,31 ,14 ,15 ,36 ,14 ,14 ,35 ,15 ,15 ,38 ,15 ,16 ,31 ,17 ,16 ,34 ,19 ,16 ,35 ,10 ,16 ,38 ,16 ,17 ,37 ,18 ,15 ,33 ,14 ,15 ,32 ,14 ,20 ,38 ,17 ,18 ,38 ,14 ,16 ,32 ,16 ,16 ,33 ,18 ,16 ,31 ,11 ,19 ,38 ,14 ,16 ,39 ,12 ,17 ,32 ,17 ,17 ,32 ,9 ,16 ,35 ,16 ,15 ,37 ,14 ,16 ,33 ,15 ,14 ,33 ,11 ,15 ,31 ,16 ,12 ,32 ,13 ,14 ,31 ,17 ,16 ,37 ,15 ,14 ,30 ,14 ,10 ,33 ,16 ,10 ,31 ,9 ,14 ,33 ,15 ,16 ,31 ,17 ,16 ,33 ,13 ,16 ,32 ,15 ,14 ,33 ,16 ,20 ,32 ,16 ,14 ,33 ,12 ,14 ,28 ,15 ,11 ,35 ,11 ,14 ,39 ,15 ,15 ,34 ,15 ,16 ,38 ,17 ,14 ,32 ,13 ,16 ,38 ,16 ,14 ,30 ,14 ,12 ,33 ,11 ,16 ,38 ,12 ,9 ,32 ,12 ,14 ,35 ,15 ,16 ,34 ,16 ,16 ,34 ,15 ,15 ,36 ,12 ,16 ,34 ,12 ,12 ,28 ,8 ,16 ,34 ,13 ,16 ,35 ,11 ,14 ,35 ,14 ,16 ,31 ,15 ,17 ,34 ,9 ,18 ,37 ,10 ,18 ,35 ,11 ,12 ,27 ,12 ,16 ,40 ,15 ,10 ,37 ,15 ,14 ,36 ,14 ,18 ,38 ,16 ,18 ,39 ,15 ,16 ,41 ,15 ,17 ,27 ,13 ,16 ,30 ,12 ,16 ,37 ,17 ,13 ,31 ,13 ,16 ,31 ,15 ,16 ,27 ,13 ,16 ,36 ,15 ,15 ,37 ,15 ,15 ,33 ,16 ,16 ,34 ,15 ,14 ,31 ,14 ,16 ,39 ,15 ,16 ,34 ,14 ,15 ,32 ,13 ,12 ,33 ,7 ,17 ,36 ,17 ,16 ,32 ,13 ,15 ,41 ,15 ,13 ,28 ,14 ,16 ,30 ,13 ,16 ,36 ,16 ,16 ,35 ,12 ,16 ,31 ,14 ,14 ,34 ,17 ,16 ,36 ,15 ,16 ,36 ,17 ,20 ,35 ,12 ,15 ,37 ,16 ,16 ,28 ,11 ,13 ,39 ,15 ,17 ,32 ,9 ,16 ,35 ,16 ,16 ,39 ,15 ,12 ,35 ,10 ,16 ,42 ,10 ,16 ,34 ,15 ,17 ,33 ,11 ,13 ,41 ,13 ,12 ,33 ,14 ,18 ,34 ,18 ,14 ,32 ,16 ,14 ,40 ,14 ,13 ,40 ,14 ,16 ,35 ,14 ,13 ,36 ,14 ,16 ,37 ,12 ,13 ,27 ,14 ,16 ,39 ,15 ,15 ,38 ,15 ,16 ,31 ,15 ,15 ,33 ,13 ,17 ,32 ,17 ,15 ,39 ,17 ,12 ,36 ,19 ,16 ,33 ,15 ,10 ,33 ,13 ,16 ,32 ,9 ,12 ,37 ,15 ,14 ,30 ,15 ,15 ,38 ,15 ,13 ,29 ,16 ,15 ,22 ,11 ,11 ,35 ,14 ,12 ,35 ,11 ,11 ,34 ,15 ,16 ,35 ,13 ,15 ,34 ,15 ,17 ,37 ,16 ,16 ,35 ,14 ,10 ,23 ,15 ,18 ,31 ,16 ,13 ,27 ,16 ,16 ,36 ,11 ,13 ,31 ,12 ,10 ,32 ,9 ,15 ,39 ,16 ,16 ,37 ,13 ,16 ,38 ,16 ,14 ,39 ,12 ,10 ,31 ,13 ,17 ,32 ,13 ,13 ,37 ,14 ,15 ,36 ,19 ,16 ,32 ,13 ,12 ,38 ,12 ,13 ,36 ,13 ,13 ,26 ,10 ,12 ,26 ,14 ,17 ,33 ,16 ,15 ,39 ,10 ,10 ,30 ,11 ,14 ,33 ,14 ,11 ,25 ,12 ,13 ,38 ,9 ,16 ,37 ,9 ,12 ,31 ,11 ,16 ,37 ,16 ,12 ,35 ,9 ,9 ,25 ,13 ,12 ,28 ,16 ,15 ,35 ,13 ,12 ,33 ,9 ,12 ,30 ,12 ,14 ,31 ,16 ,12 ,37 ,11 ,16 ,36 ,14 ,11 ,30 ,13 ,19 ,36 ,15 ,15 ,32 ,14 ,8 ,28 ,16 ,16 ,36 ,13 ,17 ,34 ,14 ,12 ,31 ,15 ,11 ,28 ,13 ,11 ,36 ,11 ,14 ,36 ,11 ,16 ,40 ,14 ,12 ,33 ,15 ,16 ,37 ,11 ,13 ,32 ,15 ,15 ,38 ,12 ,16 ,31 ,14 ,16 ,37 ,14 ,14 ,33 ,8 ,16 ,32 ,13 ,16 ,30 ,9 ,14 ,30 ,15 ,11 ,31 ,17 ,12 ,32 ,13 ,15 ,34 ,15 ,15 ,36 ,15 ,16 ,37 ,14 ,16 ,36 ,16 ,11 ,33 ,13 ,15 ,33 ,16 ,12 ,33 ,9 ,12 ,44 ,16 ,15 ,39 ,11 ,15 ,32 ,10 ,16 ,35 ,11 ,14 ,25 ,15 ,17 ,35 ,17 ,14 ,34 ,14 ,13 ,35 ,8 ,15 ,39 ,15 ,13 ,33 ,11 ,14 ,36 ,16 ,15 ,32 ,10 ,12 ,32 ,15 ,13 ,36 ,9 ,8 ,36 ,16 ,14 ,32 ,19 ,14 ,34 ,12 ,11 ,33 ,8 ,12 ,35 ,11 ,13 ,30 ,14 ,10 ,38 ,9 ,16 ,34 ,15 ,18 ,33 ,13 ,13 ,32 ,16 ,11 ,31 ,11 ,4 ,30 ,12 ,13 ,27 ,13 ,16 ,31 ,10 ,10 ,30 ,11 ,12 ,32 ,12 ,12 ,35 ,8 ,10 ,28 ,12 ,13 ,33 ,12 ,15 ,31 ,15 ,12 ,35 ,11 ,14 ,35 ,13 ,10 ,32 ,14 ,12 ,21 ,10 ,12 ,20 ,12 ,11 ,34 ,15 ,10 ,32 ,13 ,12 ,34 ,13 ,16 ,32 ,13 ,12 ,33 ,12 ,14 ,33 ,12 ,16 ,37 ,9 ,14 ,32 ,9 ,13 ,34 ,15 ,4 ,30 ,10 ,15 ,30 ,14 ,11 ,38 ,15 ,11 ,36 ,7 ,14 ,32 ,14) ,dim=c(3 ,264) ,dimnames=list(c('Doorzettingsvermogen' ,'Zelfstandig' ,'Stressbestendig') ,1:264)) y <- array(NA,dim=c(3,264),dimnames=list(c('Doorzettingsvermogen','Zelfstandig','Stressbestendig'),1:264)) for (i in 1:dim(x)[1]) { for (j in 1:dim(x)[2]) { y[i,j] <- as.numeric(x[i,j]) } } par20 = '' par19 = '' par18 = '' par17 = '' par16 = '' par15 = '' par14 = '' par13 = '' par12 = '' par11 = '' par10 = '' par9 = '' par8 = '' par7 = '' par6 = '' par5 = '' par4 = '' par3 = 'No Linear Trend' par2 = 'Do not include Seasonal Dummies' par1 = '1' 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)$p.value } if (gqarr[mypoint-kp3+1,2] < 0.01) numsignificant1 <- numsignificant1 + 1 if (gqarr[mypoint-kp3+1,2] < 0.05) numsignificant5 <- numsignificant5 + 1 if (gqarr[mypoint-kp3+1,2] < 0.10) numsignificant10 <- numsignificant10 + 1 } gqarr } postscript(file="/var/fisher/rcomp/tmp/1fn081351948990.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) plot(x[,1], type='l', main='Actuals and Interpolation', ylab='value of Actuals and Interpolation (dots)', xlab='time or index') points(x[,1]-mysum$resid) grid() dev.off() postscript(file="/var/fisher/rcomp/tmp/2qcyn1351948990.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index') grid() dev.off() postscript(file="/var/fisher/rcomp/tmp/3zd311351948990.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals') grid() dev.off() postscript(file="/var/fisher/rcomp/tmp/48ojq1351948990.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals') dev.off() postscript(file="/var/fisher/rcomp/tmp/5h0my1351948990.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) qqnorm(mysum$resid, main='Residual Normal Q-Q Plot') qqline(mysum$resid) grid() dev.off() (myerror <- as.ts(mysum$resid)) postscript(file="/var/fisher/rcomp/tmp/6ampp1351948990.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) 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() postscript(file="/var/fisher/rcomp/tmp/7zokq1351948990.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() postscript(file="/var/fisher/rcomp/tmp/8owyj1351948990.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() postscript(file="/var/fisher/rcomp/tmp/93uys1351948990.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() if (n > n25) { postscript(file="/var/fisher/rcomp/tmp/101b0r1351948990.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/fisher/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab load(file="/var/fisher/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$coefficients)[i] != 't') myeq <- paste(myeq, '[t]', sep='') } } myeq <- paste(myeq, ' + e[t]') a<-table.row.start(a) a<-table.element(a, myeq) a<-table.row.end(a) a<-table.end(a) table.save(a,file="/var/fisher/rcomp/tmp/11lpz51351948990.tab") a<-table.start() a<-table.row.start(a) a<-table.element(a,hyperlink('http://www.xycoon.com/ols1.htm','Multiple Linear Regression - Ordinary Least Squares',''), 6, TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Variable',header=TRUE) a<-table.element(a,'Parameter',header=TRUE) a<-table.element(a,'S.D.',header=TRUE) a<-table.element(a,'T-STAT
H0: parameter = 0',header=TRUE) a<-table.element(a,'2-tail p-value',header=TRUE) a<-table.element(a,'1-tail p-value',header=TRUE) a<-table.row.end(a) for (i in 1:k){ a<-table.row.start(a) a<-table.element(a,rownames(mysum$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$coefficients[i,4]/2,6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file="/var/fisher/rcomp/tmp/127vhm1351948991.tab") a<-table.start() a<-table.row.start(a) a<-table.element(a, 'Multiple Linear Regression - Regression Statistics', 2, TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a, 'Multiple R',1,TRUE) a<-table.element(a, sqrt(mysum$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$sigma) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a, 'Sum Squared Residuals',1,TRUE) a<-table.element(a, sum(myerror*myerror)) a<-table.row.end(a) a<-table.end(a) table.save(a,file="/var/fisher/rcomp/tmp/1344z11351948991.tab") a<-table.start() a<-table.row.start(a) a<-table.element(a, 'Multiple Linear Regression - Actuals, Interpolation, and Residuals', 4, TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a, 'Time or Index', 1, TRUE) a<-table.element(a, 'Actuals', 1, TRUE) a<-table.element(a, 'Interpolation
Forecast', 1, TRUE) a<-table.element(a, 'Residuals
Prediction Error', 1, TRUE) a<-table.row.end(a) for (i in 1:n) { a<-table.row.start(a) a<-table.element(a,i, 1, TRUE) a<-table.element(a,x[i]) a<-table.element(a,x[i]-mysum$resid[i]) a<-table.element(a,mysum$resid[i]) a<-table.row.end(a) } a<-table.end(a) table.save(a,file="/var/fisher/rcomp/tmp/14djuw1351948991.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/fisher/rcomp/tmp/15skp31351948991.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/fisher/rcomp/tmp/160n4j1351948991.tab") } try(system("convert tmp/1fn081351948990.ps tmp/1fn081351948990.png",intern=TRUE)) try(system("convert tmp/2qcyn1351948990.ps tmp/2qcyn1351948990.png",intern=TRUE)) try(system("convert tmp/3zd311351948990.ps tmp/3zd311351948990.png",intern=TRUE)) try(system("convert tmp/48ojq1351948990.ps tmp/48ojq1351948990.png",intern=TRUE)) try(system("convert tmp/5h0my1351948990.ps tmp/5h0my1351948990.png",intern=TRUE)) try(system("convert tmp/6ampp1351948990.ps tmp/6ampp1351948990.png",intern=TRUE)) try(system("convert tmp/7zokq1351948990.ps tmp/7zokq1351948990.png",intern=TRUE)) try(system("convert tmp/8owyj1351948990.ps tmp/8owyj1351948990.png",intern=TRUE)) try(system("convert tmp/93uys1351948990.ps tmp/93uys1351948990.png",intern=TRUE)) try(system("convert tmp/101b0r1351948990.ps tmp/101b0r1351948990.png",intern=TRUE))