Multiple Linear Regression - Estimated Regression Equation |
autoprod[t] = + 100.936662011173 -16.1842178770950crisis[t] + 7.6478358421271M1[t] + 13.3330785743844M2[t] + 28.7738768621974M3[t] + 9.11467515001035M4[t] + 7.13325121560109M5[t] + 27.0740495034140M6[t] -18.9073744309952M7[t] -21.4665761431823M8[t] + 25.5613574643079M9[t] + 25.9656256465963M10[t] + 17.9453128232982M11[t] + 0.0703128232981583t + 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) | 100.936662011173 | 6.456249 | 15.6339 | 0 | 0 |
crisis | -16.1842178770950 | 5.392988 | -3.001 | 0.003473 | 0.001736 |
M1 | 7.6478358421271 | 7.690489 | 0.9945 | 0.322639 | 0.161319 |
M2 | 13.3330785743844 | 7.688218 | 1.7342 | 0.086265 | 0.043132 |
M3 | 28.7738768621974 | 7.686693 | 3.7433 | 0.000318 | 0.000159 |
M4 | 9.11467515001035 | 7.685916 | 1.1859 | 0.238752 | 0.119376 |
M5 | 7.13325121560109 | 7.685887 | 0.9281 | 0.355812 | 0.177906 |
M6 | 27.0740495034140 | 7.686604 | 3.5222 | 0.000671 | 0.000336 |
M7 | -18.9073744309952 | 7.68807 | -2.4593 | 0.015811 | 0.007905 |
M8 | -21.4665761431823 | 7.690282 | -2.7914 | 0.006395 | 0.003198 |
M9 | 25.5613574643079 | 7.69182 | 3.3232 | 0.001283 | 0.000642 |
M10 | 25.9656256465963 | 7.909401 | 3.2829 | 0.001459 | 0.000729 |
M11 | 17.9453128232982 | 7.908312 | 2.2692 | 0.025621 | 0.012811 |
t | 0.0703128232981583 | 0.075797 | 0.9276 | 0.356045 | 0.178022 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.75620610559094 |
R-squared | 0.571847674133016 |
Adjusted R-squared | 0.510683056152018 |
F-TEST (value) | 9.34932143793777 |
F-TEST (DF numerator) | 13 |
F-TEST (DF denominator) | 91 |
p-value | 5.83000314691162e-12 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 15.8158969812649 |
Sum Squared Residuals | 22762.9763563004 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 128.7 | 108.654810676598 | 20.0451893234017 |
2 | 136.9 | 114.410366232154 | 22.4896337678461 |
3 | 156.9 | 129.921477343265 | 26.9785226567349 |
4 | 109.1 | 110.332588454376 | -1.23258845437614 |
5 | 122.3 | 108.421477343265 | 13.8785226567350 |
6 | 123.9 | 128.432588454376 | -4.53258845437615 |
7 | 90.9 | 82.521477343265 | 8.37852265673495 |
8 | 77.9 | 80.0325884543762 | -2.13258845437617 |
9 | 120.3 | 127.130834885164 | -6.83083488516444 |
10 | 118.9 | 127.605415890751 | -8.70541589075111 |
11 | 125.5 | 119.655415890751 | 5.84458410924892 |
12 | 98.9 | 101.780415890751 | -2.88041589075106 |
13 | 102.9 | 109.498564556176 | -6.5985645561763 |
14 | 105.9 | 115.254120111732 | -9.35412011173182 |
15 | 117.6 | 130.765231222843 | -13.1652312228429 |
16 | 113.6 | 111.176342333954 | 2.42365766604592 |
17 | 115.9 | 109.265231222843 | 6.63476877715704 |
18 | 118.9 | 129.276342333954 | -10.3763423339541 |
19 | 77.6 | 83.365231222843 | -5.76523122284295 |
20 | 81.2 | 80.876342333954 | 0.323657666045935 |
21 | 123.1 | 127.974588764742 | -4.87458876474241 |
22 | 136.6 | 128.449169770329 | 8.15083022967101 |
23 | 112.1 | 120.499169770329 | -8.399169770329 |
24 | 95.1 | 102.624169770329 | -7.52416977032899 |
25 | 96.3 | 110.342318435754 | -14.0423184357542 |
26 | 105.7 | 116.097873991310 | -10.3978739913097 |
27 | 115.8 | 131.608985102421 | -15.8089851024208 |
28 | 105.7 | 112.020096213532 | -6.32009621353197 |
29 | 105.7 | 110.108985102421 | -4.40898510242087 |
30 | 111.1 | 130.120096213532 | -19.0200962135320 |
31 | 82.4 | 84.2089851024209 | -1.80898510242084 |
32 | 60 | 81.720096213532 | -21.7200962135320 |
33 | 107.3 | 128.818342644320 | -21.5183426443203 |
34 | 99.3 | 129.292923649907 | -29.9929236499069 |
35 | 113.5 | 121.342923649907 | -7.84292364990689 |
36 | 108.9 | 103.467923649907 | 5.43207635009313 |
37 | 100.2 | 111.186072315332 | -10.9860723153321 |
38 | 103.9 | 116.941627870888 | -13.0416278708876 |
39 | 138.7 | 132.452738981999 | 6.24726101800124 |
40 | 120.2 | 112.863850093110 | 7.33614990689013 |
41 | 100.2 | 110.952738981999 | -10.7527389819988 |
42 | 143.2 | 130.96385009311 | 12.2361499068901 |
43 | 70.9 | 85.0527389819988 | -14.1527389819988 |
44 | 85.2 | 82.5638500931099 | 2.63614990689013 |
45 | 133 | 129.662096523898 | 3.33790347610179 |
46 | 136.6 | 130.136677529485 | 6.46332247051521 |
47 | 117.9 | 122.186677529485 | -4.28667752948478 |
48 | 106.3 | 104.311677529485 | 1.98832247051522 |
49 | 122.3 | 112.02982619491 | 10.2701738050900 |
50 | 125.5 | 117.785381750466 | 7.71461824953444 |
51 | 148.4 | 133.296492861577 | 15.1035071384234 |
52 | 126.3 | 113.707603972688 | 12.5923960273122 |
53 | 99.6 | 111.796492861577 | -12.1964928615767 |
54 | 140.4 | 131.807603972688 | 8.59239602731223 |
55 | 80.3 | 85.8964928615766 | -5.59649286157665 |
56 | 92.6 | 83.4076039726878 | 9.19239602731222 |
57 | 138.5 | 130.505850403476 | 7.9941495965239 |
58 | 110.9 | 130.980431409063 | -20.0804314090627 |
59 | 119.6 | 123.030431409063 | -3.4304314090627 |
60 | 105 | 105.155431409063 | -0.155431409062682 |
61 | 109 | 112.873580074488 | -3.87358007448792 |
62 | 129.4 | 118.629135630043 | 10.7708643699566 |
63 | 148.6 | 134.140246741155 | 14.4597532588454 |
64 | 101.4 | 114.551357852266 | -13.1513578522657 |
65 | 134.8 | 112.640246741155 | 22.1597532588454 |
66 | 143.7 | 132.651357852266 | 11.0486421477343 |
67 | 81.6 | 86.7402467411546 | -5.14024674115456 |
68 | 90.3 | 84.2513578522657 | 6.04864214773432 |
69 | 141.5 | 131.349604283054 | 10.150395716946 |
70 | 140.7 | 131.824185288641 | 8.8758147113594 |
71 | 140.2 | 123.874185288641 | 16.3258147113594 |
72 | 100.2 | 105.999185288641 | -5.79918528864058 |
73 | 125.7 | 113.717333954066 | 11.9826660459342 |
74 | 119.6 | 119.472889509621 | 0.127110490378640 |
75 | 134.7 | 134.984000620732 | -0.284000620732461 |
76 | 109 | 115.395111731844 | -6.39511173184358 |
77 | 116.3 | 113.484000620732 | 2.81599937926753 |
78 | 146.9 | 133.495111731844 | 13.4048882681564 |
79 | 97.4 | 87.5840006207325 | 9.81599937926755 |
80 | 89.4 | 85.0951117318436 | 4.30488826815643 |
81 | 132.1 | 116.009140285537 | 16.0908597144631 |
82 | 139.8 | 116.483721291124 | 23.3162787088765 |
83 | 129 | 108.533721291124 | 20.4662787088765 |
84 | 112.5 | 90.6587212911235 | 21.8412787088765 |
85 | 121.9 | 98.3768699565487 | 23.5231300434513 |
86 | 121.7 | 104.132425512104 | 17.5675744878957 |
87 | 123.1 | 119.643536623215 | 3.45646337678462 |
88 | 131.6 | 100.054647734326 | 31.5453522656735 |
89 | 119.3 | 98.1435366232154 | 21.1564633767846 |
90 | 132.5 | 118.154647734327 | 14.3453522656735 |
91 | 98.3 | 72.2435366232154 | 26.0564633767846 |
92 | 85.1 | 69.7546477343265 | 15.3453522656735 |
93 | 131.7 | 116.852894165115 | 14.8471058348851 |
94 | 129.3 | 117.327475170701 | 11.9725248292986 |
95 | 90.7 | 109.377475170701 | -18.6774751707014 |
96 | 78.6 | 91.5024751707014 | -12.9024751707014 |
97 | 68.9 | 99.2206238361266 | -30.3206238361266 |
98 | 79.1 | 104.976179391682 | -25.8761793916822 |
99 | 83.5 | 120.487290502793 | -36.9872905027933 |
100 | 74.1 | 100.898401613904 | -26.7984016139044 |
101 | 59.7 | 98.9872905027933 | -39.2872905027933 |
102 | 93.3 | 118.998401613904 | -25.6984016139044 |
103 | 61.3 | 73.0872905027933 | -11.7872905027933 |
104 | 56.6 | 70.5984016139044 | -13.9984016139044 |
105 | 98.5 | 117.696648044693 | -19.1966480446927 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
17 | 0.511977936851894 | 0.976044126296212 | 0.488022063148106 |
18 | 0.398160043751654 | 0.796320087503308 | 0.601839956248346 |
19 | 0.261021748351371 | 0.522043496702742 | 0.738978251648629 |
20 | 0.235721147094319 | 0.471442294188637 | 0.764278852905681 |
21 | 0.194157894416898 | 0.388315788833797 | 0.805842105583102 |
22 | 0.259566464923473 | 0.519132929846946 | 0.740433535076527 |
23 | 0.17934637481528 | 0.35869274963056 | 0.82065362518472 |
24 | 0.120929620203706 | 0.241859240407411 | 0.879070379796294 |
25 | 0.0802319399007964 | 0.160463879801593 | 0.919768060099204 |
26 | 0.0490249361654568 | 0.0980498723309136 | 0.950975063834543 |
27 | 0.0316013172908773 | 0.0632026345817547 | 0.968398682709123 |
28 | 0.0215983544681205 | 0.0431967089362411 | 0.97840164553188 |
29 | 0.0120390387566802 | 0.0240780775133603 | 0.98796096124332 |
30 | 0.00772755485686549 | 0.0154551097137310 | 0.992272445143135 |
31 | 0.00561251718461891 | 0.0112250343692378 | 0.994387482815381 |
32 | 0.00398748255609895 | 0.0079749651121979 | 0.996012517443901 |
33 | 0.00277299675724252 | 0.00554599351448505 | 0.997227003242757 |
34 | 0.00418882664602364 | 0.00837765329204728 | 0.995811173353976 |
35 | 0.00302180566395805 | 0.0060436113279161 | 0.996978194336042 |
36 | 0.00641541998078736 | 0.0128308399615747 | 0.993584580019213 |
37 | 0.00479385221552569 | 0.00958770443105138 | 0.995206147784474 |
38 | 0.00349952935211247 | 0.00699905870422494 | 0.996500470647887 |
39 | 0.00604983757862607 | 0.0120996751572521 | 0.993950162421374 |
40 | 0.0092427878078388 | 0.0184855756156776 | 0.990757212192161 |
41 | 0.00678455674851977 | 0.0135691134970395 | 0.99321544325148 |
42 | 0.0253135520388655 | 0.0506271040777309 | 0.974686447961135 |
43 | 0.0243300312112872 | 0.0486600624225745 | 0.975669968788713 |
44 | 0.0297140710777412 | 0.0594281421554823 | 0.970285928922259 |
45 | 0.0393542482195747 | 0.0787084964391495 | 0.960645751780425 |
46 | 0.049075491273728 | 0.098150982547456 | 0.950924508726272 |
47 | 0.0426683523208112 | 0.0853367046416225 | 0.957331647679189 |
48 | 0.0349622802794454 | 0.0699245605588907 | 0.965037719720555 |
49 | 0.0353869332731172 | 0.0707738665462345 | 0.964613066726883 |
50 | 0.0316007716330341 | 0.0632015432660683 | 0.968399228366966 |
51 | 0.0292538008984369 | 0.0585076017968738 | 0.970746199101563 |
52 | 0.0243717559849778 | 0.0487435119699557 | 0.975628244015022 |
53 | 0.0297582892148049 | 0.0595165784296098 | 0.970241710785195 |
54 | 0.0288860605662286 | 0.0577721211324571 | 0.971113939433771 |
55 | 0.0351054240677631 | 0.0702108481355262 | 0.964894575932237 |
56 | 0.0373425123300347 | 0.0746850246600693 | 0.962657487669965 |
57 | 0.0383946232955641 | 0.0767892465911282 | 0.961605376704436 |
58 | 0.118154256441907 | 0.236308512883814 | 0.881845743558093 |
59 | 0.134632021148489 | 0.269264042296978 | 0.865367978851511 |
60 | 0.131585459191288 | 0.263170918382575 | 0.868414540808712 |
61 | 0.153476216606896 | 0.306952433213791 | 0.846523783393105 |
62 | 0.135367849518512 | 0.270735699037024 | 0.864632150481488 |
63 | 0.110328634861046 | 0.220657269722093 | 0.889671365138954 |
64 | 0.224016513382009 | 0.448033026764017 | 0.775983486617991 |
65 | 0.22714736498283 | 0.45429472996566 | 0.77285263501717 |
66 | 0.227706659086239 | 0.455413318172478 | 0.772293340913761 |
67 | 0.516643423428261 | 0.966713153143478 | 0.483356576571739 |
68 | 0.683190859859989 | 0.633618280280023 | 0.316809140140012 |
69 | 0.697917224934721 | 0.604165550130558 | 0.302082775065279 |
70 | 0.70845440299411 | 0.583091194011781 | 0.291545597005890 |
71 | 0.687951167409098 | 0.624097665181805 | 0.312048832590902 |
72 | 0.700445028478821 | 0.599109943042358 | 0.299554971521179 |
73 | 0.654296918907246 | 0.691406162185508 | 0.345703081092754 |
74 | 0.583332473985036 | 0.833335052029928 | 0.416667526014964 |
75 | 0.539499059919288 | 0.921001880161424 | 0.460500940080712 |
76 | 0.544582627464642 | 0.910834745070715 | 0.455417372535358 |
77 | 0.463633597501245 | 0.927267195002489 | 0.536366402498755 |
78 | 0.441356812547053 | 0.882713625094106 | 0.558643187452947 |
79 | 0.365111474774241 | 0.730222949548481 | 0.63488852522576 |
80 | 0.283776129126659 | 0.567552258253319 | 0.716223870873341 |
81 | 0.720490034374283 | 0.559019931251434 | 0.279509965625717 |
82 | 0.919914755934544 | 0.160170488130911 | 0.0800852440654555 |
83 | 0.87144703433663 | 0.257105931326741 | 0.128552965663370 |
84 | 0.827600469350434 | 0.344799061299132 | 0.172399530649566 |
85 | 0.78204451682981 | 0.435910966340379 | 0.217955483170190 |
86 | 0.666033730403635 | 0.66793253919273 | 0.333966269596365 |
87 | 0.543593867034445 | 0.91281226593111 | 0.456406132965555 |
88 | 0.553140147426705 | 0.89371970514659 | 0.446859852573295 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 6 | 0.0833333333333333 | NOK |
5% type I error level | 16 | 0.222222222222222 | NOK |
10% type I error level | 32 | 0.444444444444444 | NOK |