| Multiple Linear Regression - Estimated Regression Equation |
| Gzhdsidx[t] = + 14.1235749185668 + 1.14362276058632Vr_crisis[t] + 3.74368892508143NA_crisis[t] -0.354213179741224M1[t] -0.811778693901559M2[t] -0.795396053881653M3[t] -0.679013413861747M4[t] -0.579297440508507M5[t] -0.338295840119437M6[t] -0.338579866766198M7[t] -0.178863893412958M8[t] -0.199147920059719M9[t] -0.13943194670648M10[t] -0.09971597335324M11[t] -0.0997159733532392t + e[t] |
| Multiple Linear Regression - Ordinary Least Squares | |||||
| Variable | Parameter | S.D. | T-STAT H0: parameter = 0 | 2-tail p-value | 1-tail p-value |
| (Intercept) | 14.1235749185668 | 0.878121 | 16.0839 | 0 | 0 |
| Vr_crisis | 1.14362276058632 | 0.762734 | 1.4994 | 0.140065 | 0.070032 |
| NA_crisis | 3.74368892508143 | 1.19191 | 3.1409 | 0.002828 | 0.001414 |
| M1 | -0.354213179741224 | 0.944799 | -0.3749 | 0.709314 | 0.354657 |
| M2 | -0.811778693901559 | 0.965996 | -0.8404 | 0.404711 | 0.202355 |
| M3 | -0.795396053881653 | 0.960251 | -0.8283 | 0.411425 | 0.205713 |
| M4 | -0.679013413861747 | 0.955328 | -0.7108 | 0.480533 | 0.240266 |
| M5 | -0.579297440508507 | 0.95124 | -0.609 | 0.545287 | 0.272643 |
| M6 | -0.338295840119437 | 0.999318 | -0.3385 | 0.736384 | 0.368192 |
| M7 | -0.338579866766198 | 0.994807 | -0.3403 | 0.735021 | 0.36751 |
| M8 | -0.178863893412958 | 0.991101 | -0.1805 | 0.857513 | 0.428757 |
| M9 | -0.199147920059719 | 0.988209 | -0.2015 | 0.841106 | 0.420553 |
| M10 | -0.13943194670648 | 0.986138 | -0.1414 | 0.888129 | 0.444064 |
| M11 | -0.09971597335324 | 0.984894 | -0.1012 | 0.919761 | 0.45988 |
| t | -0.0997159733532392 | 0.028596 | -3.4871 | 0.001027 | 0.000514 |
| Multiple Linear Regression - Regression Statistics | |
| Multiple R | 0.473575913072725 |
| R-squared | 0.224274145442665 |
| Adjusted R-squared | 0.00707090616661099 |
| F-TEST (value) | 1.03255433109644 |
| F-TEST (DF numerator) | 14 |
| F-TEST (DF denominator) | 50 |
| p-value | 0.438381636751226 |
| Multiple Linear Regression - Residual Statistics | |
| Residual Standard Deviation | 1.55659732147622 |
| Sum Squared Residuals | 121.149761061346 |
| Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
| Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
| 1 | 12.1 | 13.6696457654723 | -1.56964576547231 |
| 2 | 12 | 13.1123642779587 | -1.11236427795874 |
| 3 | 11.8 | 13.0290309446254 | -1.22903094462541 |
| 4 | 12.7 | 13.0456976112921 | -0.345697611292075 |
| 5 | 12.3 | 13.0456976112921 | -0.745697611292073 |
| 6 | 11.9 | 13.1869832383279 | -1.28698323832790 |
| 7 | 12 | 13.0869832383279 | -1.08698323832790 |
| 8 | 12.3 | 13.1469832383279 | -0.846983238327904 |
| 9 | 12.8 | 13.0269832383279 | -0.226983238327904 |
| 10 | 12.4 | 12.9869832383279 | -0.586983238327904 |
| 11 | 12.3 | 12.9269832383279 | -0.626983238327904 |
| 12 | 12.7 | 12.9269832383279 | -0.226983238327906 |
| 13 | 12.7 | 12.4730540852334 | 0.226945914766557 |
| 14 | 12.9 | 11.9157725977199 | 0.984227402280131 |
| 15 | 13 | 11.8324392643865 | 1.16756073561346 |
| 16 | 12.2 | 11.8491059310532 | 0.350894068946797 |
| 17 | 12.3 | 11.8491059310532 | 0.450894068946797 |
| 18 | 12.8 | 11.9903915580890 | 0.809608441910967 |
| 19 | 12.8 | 11.8903915580890 | 0.909608441910967 |
| 20 | 12.8 | 11.9503915580890 | 0.849608441910966 |
| 21 | 12.2 | 11.8303915580890 | 0.369608441910965 |
| 22 | 12.6 | 11.7903915580890 | 0.809608441910965 |
| 23 | 12.8 | 11.7303915580890 | 1.06960844191097 |
| 24 | 12.5 | 11.7303915580890 | 0.769608441910964 |
| 25 | 12.4 | 11.2764624049946 | 1.12353759500543 |
| 26 | 12.3 | 11.8628036780673 | 0.437196321932684 |
| 27 | 11.9 | 11.7794703447340 | 0.120529655266017 |
| 28 | 11.7 | 11.7961370114007 | -0.096137011400651 |
| 29 | 12 | 11.7961370114007 | 0.203862988599348 |
| 30 | 12.1 | 11.9374226384365 | 0.162577361563518 |
| 31 | 11.7 | 11.8374226384365 | -0.137422638436483 |
| 32 | 11.8 | 11.8974226384365 | -0.0974226384364817 |
| 33 | 11.8 | 11.7774226384365 | 0.0225773615635184 |
| 34 | 11.8 | 11.7374226384365 | 0.0625773615635187 |
| 35 | 11.3 | 11.6774226384365 | -0.377422638436482 |
| 36 | 11.3 | 11.6774226384365 | -0.377422638436483 |
| 37 | 11.3 | 11.2234934853420 | 0.0765065146579809 |
| 38 | 11.2 | 13.2662781623236 | -2.06627816232356 |
| 39 | 11.4 | 13.1829448289902 | -1.78294482899023 |
| 40 | 12.2 | 13.1996114956569 | -0.999611495656894 |
| 41 | 12.9 | 13.1996114956569 | -0.299611495656894 |
| 42 | 13.1 | 13.3408971226927 | -0.240897122692725 |
| 43 | 13.5 | 13.2408971226927 | 0.259102877307275 |
| 44 | 13.6 | 13.3008971226927 | 0.299102877307274 |
| 45 | 14.4 | 13.1808971226927 | 1.21910287730728 |
| 46 | 14.1 | 13.1408971226927 | 0.959102877307275 |
| 47 | 15.1 | 13.0808971226927 | 2.01910287730727 |
| 48 | 15.8 | 13.0808971226927 | 2.71910287730727 |
| 49 | 15.9 | 12.6269679695983 | 3.27303203040174 |
| 50 | 15.4 | 12.0696864820847 | 3.33031351791531 |
| 51 | 15.5 | 11.9863531487514 | 3.51364685124864 |
| 52 | 14.8 | 12.0030198154180 | 2.79698018458198 |
| 53 | 13.2 | 12.0030198154180 | 1.19698018458198 |
| 54 | 12.7 | 12.1443054424539 | 0.555694557546145 |
| 55 | 12.1 | 12.0443054424539 | 0.0556945575461452 |
| 56 | 11.9 | 12.1043054424539 | -0.204305442453855 |
| 57 | 10.6 | 11.9843054424539 | -1.38430544245385 |
| 58 | 10.7 | 11.9443054424539 | -1.24430544245385 |
| 59 | 9.8 | 11.8843054424539 | -2.08430544245385 |
| 60 | 9 | 11.8843054424539 | -2.88430544245386 |
| 61 | 8.3 | 11.4303762893594 | -3.13037628935939 |
| 62 | 9.3 | 10.8730948018458 | -1.57309480184582 |
| 63 | 9 | 10.7897614685125 | -1.78976146851249 |
| 64 | 9.1 | 10.8064281351792 | -1.70642813517915 |
| 65 | 10 | 10.8064281351792 | -0.806428135179155 |
| Goldfeld-Quandt test for Heteroskedasticity | |||
| p-values | Alternative Hypothesis | ||
| breakpoint index | greater | 2-sided | less |
| 18 | 0.0525114110838033 | 0.105022822167607 | 0.947488588916197 |
| 19 | 0.0151861755346312 | 0.0303723510692624 | 0.984813824465369 |
| 20 | 0.00376422202248959 | 0.00752844404497918 | 0.99623577797751 |
| 21 | 0.00291113803924841 | 0.00582227607849683 | 0.997088861960752 |
| 22 | 0.000776476688011299 | 0.00155295337602260 | 0.999223523311989 |
| 23 | 0.000186390806718766 | 0.000372781613437532 | 0.999813609193281 |
| 24 | 6.18628731656522e-05 | 0.000123725746331304 | 0.999938137126834 |
| 25 | 1.94693720460980e-05 | 3.89387440921959e-05 | 0.999980530627954 |
| 26 | 4.11468038336778e-06 | 8.22936076673556e-06 | 0.999995885319617 |
| 27 | 9.14167094156606e-07 | 1.82833418831321e-06 | 0.999999085832906 |
| 28 | 2.20229721397927e-07 | 4.40459442795853e-07 | 0.999999779770279 |
| 29 | 4.17067864395790e-08 | 8.34135728791579e-08 | 0.999999958293214 |
| 30 | 7.55283373741456e-09 | 1.51056674748291e-08 | 0.999999992447166 |
| 31 | 1.48242957741428e-09 | 2.96485915482856e-09 | 0.99999999851757 |
| 32 | 2.80690555070802e-10 | 5.61381110141605e-10 | 0.99999999971931 |
| 33 | 4.62643356937396e-11 | 9.25286713874791e-11 | 0.999999999953736 |
| 34 | 7.15441217555591e-12 | 1.43088243511118e-11 | 0.999999999992846 |
| 35 | 3.17719617874822e-12 | 6.35439235749644e-12 | 0.999999999996823 |
| 36 | 1.23674037443182e-12 | 2.47348074886365e-12 | 0.999999999998763 |
| 37 | 3.53246745482788e-13 | 7.06493490965576e-13 | 0.999999999999647 |
| 38 | 2.97632862910995e-13 | 5.95265725821989e-13 | 0.999999999999702 |
| 39 | 7.76944712071632e-13 | 1.55388942414326e-12 | 0.999999999999223 |
| 40 | 1.70443753469765e-11 | 3.40887506939529e-11 | 0.999999999982956 |
| 41 | 3.87611781565107e-09 | 7.75223563130213e-09 | 0.999999996123882 |
| 42 | 1.43117096916203e-07 | 2.86234193832406e-07 | 0.999999856882903 |
| 43 | 6.05289451548266e-06 | 1.21057890309653e-05 | 0.999993947105485 |
| 44 | 0.000268634524988981 | 0.000537269049977961 | 0.99973136547501 |
| 45 | 0.00150038037376636 | 0.00300076074753272 | 0.998499619626234 |
| 46 | 0.00850590214025706 | 0.0170118042805141 | 0.991494097859743 |
| 47 | 0.0134729816392295 | 0.0269459632784589 | 0.98652701836077 |
| Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
| Description | # significant tests | % significant tests | OK/NOK |
| 1% type I error level | 26 | 0.866666666666667 | NOK |
| 5% type I error level | 29 | 0.966666666666667 | NOK |
| 10% type I error level | 29 | 0.966666666666667 | NOK |
