R version 2.15.2 (2012-10-26) -- "Trick or Treat"
Copyright (C) 2012 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
Platform: i686-pc-linux-gnu (32-bit)
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.
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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
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Type 'q()' to quit R.
> x <- array(list(6703,4533,3945,10,7,13,-12,6706,4542,3972,9,7,12,-12,6709,4582,4041,9,8,12,2,6715,4603,4095,9,7,10,2,6724,4652,4178,7,6,9,13,6743,4706,4236,7,6,8,0,6774,4722,4231,8,7,9,-2,6805,4769,4231,8,8,9,-11,6835,4852,4275,8,8,10,-4,6879,4933,4337,9,8,10,-8,6942,4975,4387,8,7,9,-3,7012,4992,4460,8,7,9,-1,7070,5044,4539,7,7,8,-11,7114,5086,4531,8,8,8,-17,7154,5129,4562,8,8,9,-8),dim=c(7,15),dimnames=list(c('Arbeidsleeftijd','Beroepsbevolking','Werkgelegenheid','Werkzoekenden','WZMannen','WZVrouwen','Consumentenvertrouwen'),1:15))
> y <- array(NA,dim=c(7,15),dimnames=list(c('Arbeidsleeftijd','Beroepsbevolking','Werkgelegenheid','Werkzoekenden','WZMannen','WZVrouwen','Consumentenvertrouwen'),1:15))
> 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 = '7'
> par3 <- 'No Linear Trend'
> par2 <- 'Do not include Seasonal Dummies'
> par1 <- '7'
> #'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, 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
Consumentenvertrouwen Arbeidsleeftijd Beroepsbevolking Werkgelegenheid
1 -12 6703 4533 3945
2 -12 6706 4542 3972
3 2 6709 4582 4041
4 2 6715 4603 4095
5 13 6724 4652 4178
6 0 6743 4706 4236
7 -2 6774 4722 4231
8 -11 6805 4769 4231
9 -4 6835 4852 4275
10 -8 6879 4933 4337
11 -3 6942 4975 4387
12 -1 7012 4992 4460
13 -11 7070 5044 4539
14 -17 7114 5086 4531
15 -8 7154 5129 4562
Werkzoekenden WZMannen WZVrouwen
1 10 7 13
2 9 7 12
3 9 8 12
4 9 7 10
5 7 6 9
6 7 6 8
7 8 7 9
8 8 8 9
9 8 8 10
10 9 8 10
11 8 7 9
12 8 7 9
13 7 7 8
14 8 8 8
15 8 8 9
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) Arbeidsleeftijd Beroepsbevolking Werkgelegenheid
286.24146 -0.11432 -0.09146 0.20953
Werkzoekenden WZMannen WZVrouwen
-1.04326 -2.57186 6.80724
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-7.8687 -3.4370 0.0219 3.9398 6.9853
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 286.24146 126.73939 2.259 0.0538 .
Arbeidsleeftijd -0.11432 0.04872 -2.347 0.0469 *
Beroepsbevolking -0.09146 0.07150 -1.279 0.2367
Werkgelegenheid 0.20953 0.10175 2.059 0.0734 .
Werkzoekenden -1.04326 4.35838 -0.239 0.8168
WZMannen -2.57186 3.24571 -0.792 0.4510
WZVrouwen 6.80724 3.74691 1.817 0.1068
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 5.856 on 8 degrees of freedom
Multiple R-squared: 0.6606, Adjusted R-squared: 0.406
F-statistic: 2.595 on 6 and 8 DF, p-value: 0.1063
> 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/1jvmg1353441342.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$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/wessaorg/rcomp/tmp/2dbir1353441342.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$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/39c211353441342.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/wessaorg/rcomp/tmp/4i0ya1353441342.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/wessaorg/rcomp/tmp/5hvu41353441342.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 = 15
Frequency = 1
1 2 3 4 5 6
-4.00587613 -2.73309926 3.38247030 5.71704595 6.98525644 -4.24940255
7 8 9 10 11 12
-3.38652691 -1.97218061 0.02186884 -3.48747143 5.27178362 1.53362555
13 14 15
-7.86866059 0.29411510 4.49705169
> postscript(file="/var/wessaorg/rcomp/tmp/6s0201353441342.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 = 15
Frequency = 1
lag(myerror, k = 1) myerror
0 -4.00587613 NA
1 -2.73309926 -4.00587613
2 3.38247030 -2.73309926
3 5.71704595 3.38247030
4 6.98525644 5.71704595
5 -4.24940255 6.98525644
6 -3.38652691 -4.24940255
7 -1.97218061 -3.38652691
8 0.02186884 -1.97218061
9 -3.48747143 0.02186884
10 5.27178362 -3.48747143
11 1.53362555 5.27178362
12 -7.86866059 1.53362555
13 0.29411510 -7.86866059
14 4.49705169 0.29411510
15 NA 4.49705169
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] -2.73309926 -4.00587613
[2,] 3.38247030 -2.73309926
[3,] 5.71704595 3.38247030
[4,] 6.98525644 5.71704595
[5,] -4.24940255 6.98525644
[6,] -3.38652691 -4.24940255
[7,] -1.97218061 -3.38652691
[8,] 0.02186884 -1.97218061
[9,] -3.48747143 0.02186884
[10,] 5.27178362 -3.48747143
[11,] 1.53362555 5.27178362
[12,] -7.86866059 1.53362555
[13,] 0.29411510 -7.86866059
[14,] 4.49705169 0.29411510
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 -2.73309926 -4.00587613
2 3.38247030 -2.73309926
3 5.71704595 3.38247030
4 6.98525644 5.71704595
5 -4.24940255 6.98525644
6 -3.38652691 -4.24940255
7 -1.97218061 -3.38652691
8 0.02186884 -1.97218061
9 -3.48747143 0.02186884
10 5.27178362 -3.48747143
11 1.53362555 5.27178362
12 -7.86866059 1.53362555
13 0.29411510 -7.86866059
14 4.49705169 0.29411510
> 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/7fhot1353441342.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/wessaorg/rcomp/tmp/863m81353441342.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/wessaorg/rcomp/tmp/9jnud1353441342.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/wessaorg/rcomp/tmp/10h51w1353441342.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
>
> #Note: the /var/wessaorg/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/wessaorg/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$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/11lqlc1353441342.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/12zwxi1353441342.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/13xgnn1353441342.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/14h6gp1353441342.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/1537hs1353441342.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/16yy001353441342.tab")
+ }
>
> try(system("convert tmp/1jvmg1353441342.ps tmp/1jvmg1353441342.png",intern=TRUE))
character(0)
> try(system("convert tmp/2dbir1353441342.ps tmp/2dbir1353441342.png",intern=TRUE))
character(0)
> try(system("convert tmp/39c211353441342.ps tmp/39c211353441342.png",intern=TRUE))
character(0)
> try(system("convert tmp/4i0ya1353441342.ps tmp/4i0ya1353441342.png",intern=TRUE))
character(0)
> try(system("convert tmp/5hvu41353441342.ps tmp/5hvu41353441342.png",intern=TRUE))
character(0)
> try(system("convert tmp/6s0201353441342.ps tmp/6s0201353441342.png",intern=TRUE))
character(0)
> try(system("convert tmp/7fhot1353441342.ps tmp/7fhot1353441342.png",intern=TRUE))
character(0)
> try(system("convert tmp/863m81353441342.ps tmp/863m81353441342.png",intern=TRUE))
character(0)
> try(system("convert tmp/9jnud1353441342.ps tmp/9jnud1353441342.png",intern=TRUE))
character(0)
> try(system("convert tmp/10h51w1353441342.ps tmp/10h51w1353441342.png",intern=TRUE))
convert: unable to open image `tmp/10h51w1353441342.ps': @ error/blob.c/OpenBlob/2587.
convert: missing an image filename `tmp/10h51w1353441342.png' @ error/convert.c/ConvertImageCommand/3011.
character(0)
attr(,"status")
[1] 1
Warning message:
running command 'convert tmp/10h51w1353441342.ps tmp/10h51w1353441342.png' had status 1
>
>
> proc.time()
user system elapsed
5.107 1.063 7.231