Multiple Linear Regression - Estimated Regression Equation |
Y[t] = + 4631.31499317083 -0.0601286484348822X[t] -217.697070655946M1[t] -171.152424772174M2[t] -88.8065967430589M3[t] -7.2881058426518M4[t] -53.1668728563952M5[t] + 60.4791439189899M6[t] + 95.079829363615M7[t] -35.4023754623143M8[t] -72.7180483006568M9[t] -51.051837586295M10[t] + 32.5249358282749M11[t] -7.51276375132147t + 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) | 4631.31499317083 | 1380.136138 | 3.3557 | 0.001595 | 0.000797 |
X | -0.0601286484348822 | 0.130735 | -0.4599 | 0.647736 | 0.323868 |
M1 | -217.697070655946 | 562.582197 | -0.387 | 0.70057 | 0.350285 |
M2 | -171.152424772174 | 561.439817 | -0.3048 | 0.761859 | 0.380929 |
M3 | -88.8065967430589 | 566.524246 | -0.1568 | 0.876122 | 0.438061 |
M4 | -7.2881058426518 | 587.798332 | -0.0124 | 0.990161 | 0.49508 |
M5 | -53.1668728563952 | 572.844379 | -0.0928 | 0.926456 | 0.463228 |
M6 | 60.4791439189899 | 562.567538 | 0.1075 | 0.914855 | 0.457428 |
M7 | 95.079829363615 | 561.594902 | 0.1693 | 0.8663 | 0.43315 |
M8 | -35.4023754623143 | 557.946298 | -0.0635 | 0.949682 | 0.474841 |
M9 | -72.7180483006568 | 557.621901 | -0.1304 | 0.896813 | 0.448406 |
M10 | -51.051837586295 | 560.624488 | -0.0911 | 0.927838 | 0.463919 |
M11 | 32.5249358282749 | 559.201149 | 0.0582 | 0.953871 | 0.476935 |
t | -7.51276375132147 | 27.799471 | -0.2702 | 0.788178 | 0.394089 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.409740584844696 |
R-squared | 0.167887346868874 |
Adjusted R-squared | -0.0672749246681839 |
F-TEST (value) | 0.713921267095847 |
F-TEST (DF numerator) | 13 |
F-TEST (DF denominator) | 46 |
p-value | 0.740144560883919 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 881.049552609896 |
Sum Squared Residuals | 35707422.4510885 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 2849.27 | 3752.38649297954 | -903.116492979536 |
2 | 2921.44 | 3806.27015127539 | -884.830151275392 |
3 | 2981.85 | 3894.21126091199 | -912.361260911992 |
4 | 3080.58 | 3964.84978374872 | -884.269783748724 |
5 | 3106.22 | 3905.86628867921 | -799.646288679215 |
6 | 3119.31 | 4006.58796334414 | -887.27796334414 |
7 | 3061.26 | 4030.30868072509 | -969.048680725088 |
8 | 3097.31 | 3853.16996201673 | -755.85996201673 |
9 | 3161.69 | 3808.76242596611 | -647.07242596611 |
10 | 3257.16 | 3816.60236484349 | -559.442364843488 |
11 | 3277.01 | 3861.82037785964 | -584.810377859641 |
12 | 3295.32 | 3785.10420273477 | -489.784202734767 |
13 | 3363.99 | 3532.41557599276 | -168.425575992759 |
14 | 3494.17 | 3524.48698369757 | -30.3169836975661 |
15 | 3667.03 | 3555.30587732103 | 111.724122678974 |
16 | 3813.06 | 3606.04181752581 | 207.018182474188 |
17 | 3917.96 | 3555.35607594032 | 362.603924059683 |
18 | 3895.51 | 3594.20537136575 | 301.304628634253 |
19 | 3801.06 | 3557.61705436651 | 243.442945633489 |
20 | 3570.12 | 3533.6260032218 | 36.4939967782032 |
21 | 3701.61 | 3435.76409871257 | 265.845901287433 |
22 | 3862.27 | 3462.60469049537 | 399.665309504633 |
23 | 3970.1 | 3580.8790113599 | 389.220988640097 |
24 | 4138.52 | 3551.84485444389 | 586.67514555611 |
25 | 4199.75 | 3284.90573802281 | 914.844261977185 |
26 | 4290.89 | 3344.56174656843 | 946.32825343157 |
27 | 4443.91 | 3402.91956117507 | 1040.99043882493 |
28 | 4502.64 | 3430.68635767773 | 1071.95364232227 |
29 | 4356.98 | 3402.54885925531 | 954.431140744687 |
30 | 4591.27 | 3494.0708507097 | 1097.1991492903 |
31 | 4696.96 | 3535.22887613677 | 1161.73112386323 |
32 | 4621.4 | 3410.70272480893 | 1210.69727519107 |
33 | 4562.84 | 3373.02959738302 | 1189.81040261698 |
34 | 4202.52 | 3381.83159463535 | 820.68840536465 |
35 | 4296.49 | 3412.49847473026 | 883.991525269736 |
36 | 4435.23 | 3336.74435798035 | 1098.48564201965 |
37 | 4105.18 | 3071.60910101232 | 1033.57089898768 |
38 | 4116.68 | 3107.69467937146 | 1008.98532062854 |
39 | 3844.49 | 3083.37560238013 | 761.114397619867 |
40 | 3720.98 | 3112.04432860932 | 608.935671390683 |
41 | 3674.4 | 3061.05794378165 | 613.342056218353 |
42 | 3857.62 | 3258.82725702047 | 598.792742979528 |
43 | 3801.06 | 3294.51357543996 | 506.546424560037 |
44 | 3504.37 | 3159.52503928446 | 344.844960715543 |
45 | 3032.6 | 3067.37535637654 | -34.7753563765403 |
46 | 3047.03 | 3147.61018796952 | -100.580187969516 |
47 | 2962.34 | 3199.38222366507 | -237.042223665072 |
48 | 2197.82 | 3089.53516325258 | -891.715163252577 |
49 | 2014.45 | 2891.32309199257 | -876.873091992573 |
50 | 1862.83 | 2902.99643908715 | -1040.16643908715 |
51 | 1905.41 | 2906.87769821178 | -1001.46769821178 |
52 | 1810.99 | 2814.62771243842 | -1003.63771243842 |
53 | 1670.07 | 2800.80083234351 | -1130.73083234351 |
54 | 1864.44 | 2974.45855755994 | -1110.01855755994 |
55 | 2052.02 | 2994.69181333167 | -942.671813331672 |
56 | 2029.6 | 2865.77627066809 | -836.176270668088 |
57 | 2070.83 | 2844.63852156177 | -773.808521561767 |
58 | 2293.41 | 2853.74116205628 | -560.331162056278 |
59 | 2443.27 | 2894.62991238512 | -451.35991238512 |
60 | 2513.17 | 2816.83142158842 | -303.661421588418 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
17 | 0.000488768515828888 | 0.000977537031657775 | 0.999511231484171 |
18 | 5.3221383395391e-05 | 0.000106442766790782 | 0.999946778616605 |
19 | 2.19248023966544e-05 | 4.38496047933089e-05 | 0.999978075197603 |
20 | 2.32176408237918e-05 | 4.64352816475837e-05 | 0.999976782359176 |
21 | 9.07265228488631e-06 | 1.81453045697726e-05 | 0.999990927347715 |
22 | 1.53370269669279e-06 | 3.06740539338559e-06 | 0.999998466297303 |
23 | 7.78308941575227e-07 | 1.55661788315045e-06 | 0.999999221691058 |
24 | 3.91318480141808e-06 | 7.82636960283616e-06 | 0.999996086815199 |
25 | 2.23679678373037e-06 | 4.47359356746073e-06 | 0.999997763203216 |
26 | 9.04963288439733e-07 | 1.80992657687947e-06 | 0.999999095036712 |
27 | 2.36807659732578e-07 | 4.73615319465157e-07 | 0.99999976319234 |
28 | 4.35901401632557e-08 | 8.71802803265114e-08 | 0.99999995640986 |
29 | 3.95505502647736e-08 | 7.91011005295471e-08 | 0.99999996044945 |
30 | 9.07559482674129e-09 | 1.81511896534826e-08 | 0.999999990924405 |
31 | 9.0771130791594e-09 | 1.81542261583188e-08 | 0.999999990922887 |
32 | 6.16052438348609e-09 | 1.23210487669722e-08 | 0.999999993839476 |
33 | 1.20528537405724e-09 | 2.41057074811448e-09 | 0.999999998794715 |
34 | 4.95503983617461e-08 | 9.91007967234921e-08 | 0.999999950449602 |
35 | 2.14635864996637e-07 | 4.29271729993275e-07 | 0.999999785364135 |
36 | 1.75790866556913e-07 | 3.51581733113827e-07 | 0.999999824209133 |
37 | 5.90826699221808e-06 | 1.18165339844362e-05 | 0.999994091733008 |
38 | 6.02460258359048e-05 | 0.000120492051671810 | 0.999939753974164 |
39 | 0.00125789819497254 | 0.00251579638994507 | 0.998742101805028 |
40 | 0.00862799624636901 | 0.0172559924927380 | 0.991372003753631 |
41 | 0.0328857795216561 | 0.0657715590433122 | 0.967114220478344 |
42 | 0.0923351507943564 | 0.184670301588713 | 0.907664849205644 |
43 | 0.17571125481271 | 0.35142250962542 | 0.82428874518729 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 23 | 0.851851851851852 | NOK |
5% type I error level | 24 | 0.888888888888889 | NOK |
10% type I error level | 25 | 0.925925925925926 | NOK |