x <- array(list(9
,5
,-1
,6
,24
,11
,5
,-4
,6
,29
,13
,9
,-6
,8
,29
,12
,10
,-9
,4
,25
,13
,14
,-13
,8
,16
,15
,19
,-13
,10
,18
,13
,18
,-10
,9
,13
,16
,16
,-12
,12
,22
,10
,8
,-9
,9
,15
,14
,10
,-15
,11
,20
,14
,12
,-14
,11
,19
,15
,13
,-18
,11
,18
,13
,15
,-13
,11
,13
,8
,3
,-2
,11
,17
,7
,2
,-1
,9
,17
,3
,-2
,5
,8
,13
,3
,1
,8
,6
,14
,4
,1
,6
,7
,13
,4
,-1
,7
,8
,17
,0
,-6
,15
,6
,17
,-4
,-13
,23
,5
,15
,-14
,-25
,43
,2
,9
,-18
,-26
,60
,3
,10
,-8
,-9
,36
,3
,9
,-1
,1
,28
,7
,14
,1
,3
,23
,8
,18
,2
,6
,23
,7
,18
,0
,2
,22
,7
,12
,1
,5
,22
,6
,16
,0
,5
,24
,6
,12
,-1
,0
,32
,7
,19
,-3
,-5
,27
,5
,13
,-3
,-4
,27
,5
,12
,-3
,-2
,27
,5
,13
,-4
,-1
,29
,4
,11
,-8
,-8
,38
,4
,10
,-9
,-16
,40
,4
,16
,-13
,-19
,45
,1
,12
,-18
,-28
,50
,-1
,6
,-11
,-11
,43
,3
,8
,-9
,-4
,44
,4
,6
,-10
,-9
,44
,3
,8
,-13
,-12
,49
,2
,8
,-11
,-10
,42
,1
,9
,-5
,-2
,36
,4
,13
,-15
,-13
,57
,3
,8
,-6
,0
,42
,5
,11
,-6
,0
,39
,6
,8
,-3
,4
,33
,6
,10
,-1
,7
,32
,6
,15
,-3
,5
,34
,6
,12
,-4
,2
,37
,6
,13
,-6
,-2
,38
,5
,12
,0
,6
,28
,6
,15
,-4
,-3
,31
,5
,13
,-2
,1
,28
,6
,13
,-2
,0
,30
,5
,16
,-6
,-7
,39
,7
,14
,-7
,-6
,38
,4
,12
,-6
,-4
,39
,5
,15
,-6
,-4
,38
,6
,14
,-3
,-2
,37
,6
,19
,-2
,2
,32
,5
,16
,-5
,-5
,32
,3
,16
,-11
,-15
,44
,2
,11
,-11
,-16
,43
,3
,13
,-11
,-18
,42
,3
,12
,-10
,-13
,38
,2
,11
,-14
,-23
,37
,0
,6
,-8
,-10
,35
,4
,9
,-9
,-10
,37
,4
,6
,-5
,-6
,33
,5
,15
,-1
,-3
,24
,6
,17
,-2
,-4
,24
,6
,13
,-5
,-7
,31
,5
,12
,-4
,-7
,25
,5
,13
,-6
,-7
,28
,3
,10
,-2
,-3
,24
,5
,14
,-2
,0
,25
,5
,13
,-2
,-5
,16
,5
,10
,-2
,-3
,17
,3
,11
,2
,3
,11
,6
,12
,1
,2
,12
,6
,7
,-8
,-7
,39
,4
,11
,-1
,-1
,19
,6
,9
,1
,0
,14
,5
,13
,-1
,-3
,15
,4
,12
,2
,4
,7
,5
,5
,2
,2
,12
,5
,13
,1
,3
,12
,4
,11
,-1
,0
,14
,3
,8
,-2
,-10
,9
,2
,8
,-2
,-10
,8
,3
,8
,-1
,-9
,4
,2
,8
,-8
,-22
,7
,-1
,0
,-4
,-16
,3
,0
,3
,-6
,-18
,5
,-2
,0
,-3
,-14
,0
,1
,-1
,-3
,-12
,-2
,-2
,-1
,-7
,-17
,6
,-2
,-4
,-9
,-23
,11
,-2
,1
,-11
,-28
,9
,-6
,-1
,-13
,-31
,17
,-4
,0
,-11
,-21
,21
,-2
,-1
,-9
,-19
,21
,0
,6
,-17
,-22
,41
,-5
,0
,-22
,-22
,57
,-4
,-3
,-25
,-25
,65
,-5
,-3
,-20
,-16
,68
,-1
,4
,-24
,-22
,73
,-2
,1
,-24
,-21
,71
,-4
,0
,-22
,-10
,71
,-1
,-4
,-19
,-7
,70
,1
,-2
,-18
,-5
,69
,1
,3
,-17
,-4
,65
,-2
,2
,-11
,7
,57
,1
,5
,-11
,6
,57
,1
,6
,-12
,3
,57
,3
,6
,-10
,10
,55
,3
,3
,-15
,0
,65
,1
,4
,-15
,-2
,65
,1
,7
,-15
,-1
,64
,0
,5
,-13
,2
,60
,2
,6
,-8
,8
,43
,2
,1
,-13
,-6
,47
,-1
,3
,-9
,-4
,40
,1
,6
,-7
,4
,31
,0
,0
,-4
,7
,27
,1
,3
,-4
,3
,24
,1
,4
,-2
,3
,23
,3
,7
,0
,8
,17
,2
,6
,-2
,3
,16
,0
,6
,-3
,-3
,15
,0
,6
,1
,4
,8
,3
,6
,-2
,-5
,5
,-2
,2
,-1
,-1
,6
,0
,2
,1
,5
,5
,1
,2
,-3
,0
,12
,-1
,3
,-4
,-6
,8
,-2
,-1
,-9
,-13
,17
,-1
,-4
,-9
,-15
,22
,-1
,4
,-7
,-8
,24
,1
,5
,-14
,-20
,36
,-2
,3
,-12
,-10
,31
,-5
,-1
,-16
,-22
,34
,-5
,-4)
,dim=c(5
,145)
,dimnames=list(c('Consumentenvertrouwen'
,'EcoSituatie'
,'Werkloosheid'
,'FinancieleSituatie'
,'Spaarvermogen')
,1:145))
y <- array(NA,dim=c(5,145),dimnames=list(c('Consumentenvertrouwen','EcoSituatie','Werkloosheid','FinancieleSituatie','Spaarvermogen'),1:145))
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 = '1'
par3 <- 'No Linear Trend'
par2 <- 'Do not include Seasonal 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$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_YOURPAGE.wasp/
#Source of accompanying publication: Office for Research, Development, and Education
#Technical description: Write here your technical program description (don't use hard returns!)
library(lattice)
library(lmtest)
n25 <- 25 #minimum number of obs. for Goldfeld-Quandt test
par1 <- as.numeric(par1)
x <- t(y)
k <- length(x[1,])
n <- length(x[,1])
x1 <- cbind(x[,par1], x[,1:k!=par1])
mycolnames <- c(colnames(x)[par1], colnames(x)[1:k!=par1])
colnames(x1) <- mycolnames #colnames(x)[par1]
x <- x1
if (par3 == 'First Differences'){
x2 <- array(0, dim=c(n-1,k), dimnames=list(1:(n-1), paste('(1-B)',colnames(x),sep='')))
for (i in 1:n-1) {
for (j in 1:k) {
x2[i,j] <- x[i+1,j] - x[i,j]
}
}
x <- x2
}
if (par2 == 'Include Monthly Dummies'){
x2 <- array(0, dim=c(n,11), dimnames=list(1:n, paste('M', seq(1:11), sep ='')))
for (i in 1:11){
x2[seq(i,n,12),i] <- 1
}
x <- cbind(x, x2)
}
if (par2 == 'Include Quarterly Dummies'){
x2 <- array(0, dim=c(n,3), dimnames=list(1:n, paste('Q', seq(1:3), sep ='')))
for (i in 1:3){
x2[seq(i,n,4),i] <- 1
}
x <- cbind(x, x2)
}
k <- length(x[1,])
if (par3 == 'Linear Trend'){
x <- cbind(x, c(1:n))
colnames(x)[k+1] <- 't'
}
x
k <- length(x[1,])
df <- as.data.frame(x)
(mylm <- lm(df))
(mysum <- summary(mylm))
if (n > n25) {
kp3 <- k + 3
nmkm3 <- n - k - 3
gqarr <- array(NA, dim=c(nmkm3-kp3+1,3))
numgqtests <- 0
numsignificant1 <- 0
numsignificant5 <- 0
numsignificant10 <- 0
for (mypoint in kp3:nmkm3) {
j <- 0
numgqtests <- numgqtests + 1
for (myalt in c('greater', 'two.sided', 'less')) {
j <- j + 1
gqarr[mypoint-kp3+1,j] <- gqtest(mylm, point=mypoint, alternative=myalt)$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/wessaorg/rcomp/tmp/1wnjf1352121631.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$resid)
grid()
dev.off()
postscript(file="/var/wessaorg/rcomp/tmp/2bvzv1352121631.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index')
grid()
dev.off()
postscript(file="/var/wessaorg/rcomp/tmp/31adf1352121631.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
grid()
dev.off()
postscript(file="/var/wessaorg/rcomp/tmp/4iax91352121631.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
dev.off()
postscript(file="/var/wessaorg/rcomp/tmp/54oj51352121631.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$resid))
postscript(file="/var/wessaorg/rcomp/tmp/6yv0b1352121631.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
dum <- cbind(lag(myerror,k=1),myerror)
dum
dum1 <- dum[2:length(myerror),]
dum1
z <- as.data.frame(dum1)
z
plot(z,main=paste('Residual Lag plot, lowess, and regression line'), ylab='values of Residuals', xlab='lagged values of Residuals')
lines(lowess(z))
abline(lm(z))
grid()
dev.off()
postscript(file="/var/wessaorg/rcomp/tmp/7f2a01352121631.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
grid()
dev.off()
postscript(file="/var/wessaorg/rcomp/tmp/8ecux1352121631.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
grid()
dev.off()
postscript(file="/var/wessaorg/rcomp/tmp/9e9zn1352121631.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
plot(mylm, las = 1, sub='Residual Diagnostics')
par(opar)
dev.off()
if (n > n25) {
postscript(file="/var/wessaorg/rcomp/tmp/10caxb1352121631.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
grid()
dev.off()
}
#Note: the /var/wessaorg/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
load(file="/var/wessaorg/rcomp/createtable")
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
a<-table.row.end(a)
myeq <- colnames(x)[1]
myeq <- paste(myeq, '[t] = ', sep='')
for (i in 1:k){
if (mysum$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/11v3fn1352121631.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/12ogtf1352121631.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/13p1yz1352121632.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/14cm631352121632.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/15zdix1352121632.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/16tfhx1352121632.tab")
}
try(system("convert tmp/1wnjf1352121631.ps tmp/1wnjf1352121631.png",intern=TRUE))
try(system("convert tmp/2bvzv1352121631.ps tmp/2bvzv1352121631.png",intern=TRUE))
try(system("convert tmp/31adf1352121631.ps tmp/31adf1352121631.png",intern=TRUE))
try(system("convert tmp/4iax91352121631.ps tmp/4iax91352121631.png",intern=TRUE))
try(system("convert tmp/54oj51352121631.ps tmp/54oj51352121631.png",intern=TRUE))
try(system("convert tmp/6yv0b1352121631.ps tmp/6yv0b1352121631.png",intern=TRUE))
try(system("convert tmp/7f2a01352121631.ps tmp/7f2a01352121631.png",intern=TRUE))
try(system("convert tmp/8ecux1352121631.ps tmp/8ecux1352121631.png",intern=TRUE))
try(system("convert tmp/9e9zn1352121631.ps tmp/9e9zn1352121631.png",intern=TRUE))
try(system("convert tmp/10caxb1352121631.ps tmp/10caxb1352121631.png",intern=TRUE))