x <- array(list(24
,14
,11
,12
,24
,26
,25
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,7
,8
,25
,23
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,8
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,9
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,9
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,34
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,9
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,21
,31
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,10
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,8
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,8
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,9
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,20
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,6
,25
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,21
,9
,13
,9
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,22
,9
,16
,9
,24
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,17
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,13
,6
,22
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,24
,10
,9
,6
,25
,29
,25
,16
,18
,16
,26
,24
,26
,11
,18
,5
,29
,18
,25
,8
,12
,7
,32
,25
,17
,9
,17
,9
,25
,21
,32
,16
,9
,6
,29
,26
,33
,11
,9
,6
,28
,22
,13
,16
,12
,5
,17
,22
,32
,12
,18
,12
,28
,22
,25
,12
,12
,7
,29
,23
,29
,14
,18
,10
,26
,30
,22
,9
,14
,9
,25
,23
,18
,10
,15
,8
,14
,17
,17
,9
,16
,5
,25
,23
,20
,10
,10
,8
,26
,23
,15
,12
,11
,8
,20
,25
,20
,14
,14
,10
,18
,24
,33
,14
,9
,6
,32
,24
,29
,10
,12
,8
,25
,23
,23
,14
,17
,7
,25
,21
,26
,16
,5
,4
,23
,24
,18
,9
,12
,8
,21
,24
,20
,10
,12
,8
,20
,28
,11
,6
,6
,4
,15
,16
,28
,8
,24
,20
,30
,20
,26
,13
,12
,8
,24
,29
,22
,10
,12
,8
,26
,27
,17
,8
,14
,6
,24
,22
,12
,7
,7
,4
,22
,28
,14
,15
,13
,8
,14
,16
,17
,9
,12
,9
,24
,25
,21
,10
,13
,6
,24
,24
,19
,12
,14
,7
,24
,28
,18
,13
,8
,9
,24
,24
,10
,10
,11
,5
,19
,23
,29
,11
,9
,5
,31
,30
,31
,8
,11
,8
,22
,24
,19
,9
,13
,8
,27
,21
,9
,13
,10
,6
,19
,25
,20
,11
,11
,8
,25
,25
,28
,8
,12
,7
,20
,22
,19
,9
,9
,7
,21
,23
,30
,9
,15
,9
,27
,26
,29
,15
,18
,11
,23
,23
,26
,9
,15
,6
,25
,25
,23
,10
,12
,8
,20
,21
,13
,14
,13
,6
,21
,25
,21
,12
,14
,9
,22
,24
,19
,12
,10
,8
,23
,29
,28
,11
,13
,6
,25
,22
,23
,14
,13
,10
,25
,27
,18
,6
,11
,8
,17
,26
,21
,12
,13
,8
,19
,22
,20
,8
,16
,10
,25
,24
,23
,14
,8
,5
,19
,27
,21
,11
,16
,7
,20
,24
,21
,10
,11
,5
,26
,24
,15
,14
,9
,8
,23
,29
,28
,12
,16
,14
,27
,22
,19
,10
,12
,7
,17
,21
,26
,14
,14
,8
,17
,24
,10
,5
,8
,6
,19
,24
,16
,11
,9
,5
,17
,23
,22
,10
,15
,6
,22
,20
,19
,9
,11
,10
,21
,27
,31
,10
,21
,12
,32
,26
,31
,16
,14
,9
,21
,25
,29
,13
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,12
,21
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,19
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,12
,7
,18
,21
,22
,10
,13
,8
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,19
,23
,10
,15
,10
,23
,21
,15
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,21
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,9
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,10
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,8
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,10
,21
,22
,23
,14
,11
,10
,20
,29
,25
,14
,11
,5
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,15
,21
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,10
,7
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,24
,9
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,14
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,17
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,13
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,7
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,19
,28
,8
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,12
,18
,24
,21
,8
,9
,11
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,20
,25
,7
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,11
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,17
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,6
,8
,11
,29
,23
,16
,8
,13
,5
,21
,24
,19
,6
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,8
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,14
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,11
,9
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,20
,19
,25
,14
,15
,9
,22
,24
,20
,11
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,4
,13
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,29
,11
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,4
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,22
,14
,11
,12
,7
,17
,16
,22
,14
,14
,11
,25
,19
,15
,8
,6
,6
,20
,25
,19
,20
,8
,7
,19
,25
,20
,11
,17
,8
,21
,23
,15
,8
,10
,4
,22
,24
,20
,11
,11
,8
,24
,26
,18
,10
,14
,9
,21
,26
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,14
,11
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,25
,22
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,24
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,25
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,16
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,8
,24
,24
,38
,11
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,7
,29
,29
,22
,9
,14
,6
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,12
,20
,11
,20
,13
,24
,20
,17
,9
,13
,6
,19
,21
,28
,14
,11
,8
,24
,24
,22
,13
,15
,10
,22
,22
,31
,16
,19
,16
,17
,20)
,dim=c(6
,159)
,dimnames=list(c('Intercept
twijfels'
,'over'
,'acties
verwachtingen'
,'ouders
kritiek'
,'ouders
persoonlijke'
,'normen
organisatie'
,'student
maand')
,1:159))
y <- array(NA,dim=c(6,159),dimnames=list(c('Intercept
twijfels','over','acties
verwachtingen','ouders
kritiek','ouders
persoonlijke','normen
organisatie','student
maand'),1:159))
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/fisher/rcomp/tmp/17u601352155286.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$resid)
grid()
dev.off()
postscript(file="/var/fisher/rcomp/tmp/2xomt1352155286.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index')
grid()
dev.off()
postscript(file="/var/fisher/rcomp/tmp/3aumc1352155286.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
grid()
dev.off()
postscript(file="/var/fisher/rcomp/tmp/4ihhb1352155286.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
dev.off()
postscript(file="/var/fisher/rcomp/tmp/566011352155286.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$resid))
postscript(file="/var/fisher/rcomp/tmp/6xe9q1352155286.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
dum <- cbind(lag(myerror,k=1),myerror)
dum
dum1 <- dum[2:length(myerror),]
dum1
z <- as.data.frame(dum1)
z
plot(z,main=paste('Residual Lag plot, lowess, and regression line'), ylab='values of Residuals', xlab='lagged values of Residuals')
lines(lowess(z))
abline(lm(z))
grid()
dev.off()
postscript(file="/var/fisher/rcomp/tmp/7gro91352155286.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
grid()
dev.off()
postscript(file="/var/fisher/rcomp/tmp/8yuhw1352155286.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
grid()
dev.off()
postscript(file="/var/fisher/rcomp/tmp/9r65p1352155286.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
plot(mylm, las = 1, sub='Residual Diagnostics')
par(opar)
dev.off()
if (n > n25) {
postscript(file="/var/fisher/rcomp/tmp/105cc41352155286.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
grid()
dev.off()
}
#Note: the /var/fisher/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
load(file="/var/fisher/rcomp/createtable")
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
a<-table.row.end(a)
myeq <- colnames(x)[1]
myeq <- paste(myeq, '[t] = ', sep='')
for (i in 1:k){
if (mysum$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/117fs21352155286.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/12apxh1352155286.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/137emb1352155286.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/14ix2s1352155287.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/15esi81352155287.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/16gyn51352155287.tab")
}
try(system("convert tmp/17u601352155286.ps tmp/17u601352155286.png",intern=TRUE))
try(system("convert tmp/2xomt1352155286.ps tmp/2xomt1352155286.png",intern=TRUE))
try(system("convert tmp/3aumc1352155286.ps tmp/3aumc1352155286.png",intern=TRUE))
try(system("convert tmp/4ihhb1352155286.ps tmp/4ihhb1352155286.png",intern=TRUE))
try(system("convert tmp/566011352155286.ps tmp/566011352155286.png",intern=TRUE))
try(system("convert tmp/6xe9q1352155286.ps tmp/6xe9q1352155286.png",intern=TRUE))
try(system("convert tmp/7gro91352155286.ps tmp/7gro91352155286.png",intern=TRUE))
try(system("convert tmp/8yuhw1352155286.ps tmp/8yuhw1352155286.png",intern=TRUE))
try(system("convert tmp/9r65p1352155286.ps tmp/9r65p1352155286.png",intern=TRUE))
try(system("convert tmp/105cc41352155286.ps tmp/105cc41352155286.png",intern=TRUE))