| Multiple Linear Regression - Estimated Regression Equation |
| y[t] = + 63.9736688660687 -14.0674255209321dummy[t] + 0.403238814946053y1[t] -8.55634213725512M1[t] -13.2326064261404M2[t] -8.61512575581727M3[t] -8.80825188673433M4[t] + 2.77686079729466M5[t] -9.53736803868769M6[t] -8.4140472610244M7[t] + 1.86847421219370M8[t] -22.5360482605337M9[t] -16.6756633737586M10[t] + 6.90440569704908M11[t] + 0.252377234387815t + 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) | 63.9736688660687 | 10.232592 | 6.252 | 0 | 0 |
| dummy | -14.0674255209321 | 2.782781 | -5.0552 | 3e-06 | 1e-06 |
| y1 | 0.403238814946053 | 0.095595 | 4.2182 | 6.4e-05 | 3.2e-05 |
| M1 | -8.55634213725512 | 2.740486 | -3.1222 | 0.002499 | 0.001249 |
| M2 | -13.2326064261404 | 2.805171 | -4.7172 | 1e-05 | 5e-06 |
| M3 | -8.61512575581727 | 3.07202 | -2.8044 | 0.006325 | 0.003163 |
| M4 | -8.80825188673433 | 3.014562 | -2.9219 | 0.004521 | 0.00226 |
| M5 | 2.77686079729466 | 3.000081 | 0.9256 | 0.35744 | 0.17872 |
| M6 | -9.53736803868769 | 2.735128 | -3.487 | 0.000796 | 0.000398 |
| M7 | -8.4140472610244 | 2.85943 | -2.9426 | 0.004258 | 0.002129 |
| M8 | 1.86847421219370 | 2.919454 | 0.64 | 0.523996 | 0.261998 |
| M9 | -22.5360482605337 | 2.736693 | -8.2348 | 0 | 0 |
| M10 | -16.6756633737586 | 3.437597 | -4.851 | 6e-06 | 3e-06 |
| M11 | 6.90440569704908 | 3.431645 | 2.012 | 0.047588 | 0.023794 |
| t | 0.252377234387815 | 0.046807 | 5.3919 | 1e-06 | 0 |
| Multiple Linear Regression - Regression Statistics | |
| Multiple R | 0.929128009262835 |
| R-squared | 0.863278857596718 |
| Adjusted R-squared | 0.839352657676144 |
| F-TEST (value) | 36.0809012907385 |
| F-TEST (DF numerator) | 14 |
| F-TEST (DF denominator) | 80 |
| p-value | 0 |
| Multiple Linear Regression - Residual Statistics | |
| Residual Standard Deviation | 5.27952370992904 |
| Sum Squared Residuals | 2229.86964829623 |
| Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
| Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
| 1 | 104.6 | 100.671155711181 | 3.9288442888192 |
| 2 | 91.6 | 93.424596952061 | -1.82459695206105 |
| 3 | 98.3 | 93.0523502624734 | 5.24764973752663 |
| 4 | 97.7 | 95.8133014260827 | 1.88669857391732 |
| 5 | 106.3 | 107.408848055532 | -1.10884805553186 |
| 6 | 102.3 | 98.8148502624734 | 3.48514973752663 |
| 7 | 106.6 | 98.5775930147402 | 8.02240698525974 |
| 8 | 108.1 | 110.846418626614 | -2.74641862661418 |
| 9 | 93.8 | 87.2991316106937 | 6.5008683893063 |
| 10 | 88.2 | 87.645578678128 | 0.554421321871909 |
| 11 | 108.9 | 109.219887619626 | -0.319887619625647 |
| 12 | 114.2 | 110.914902626348 | 3.28509737365229 |
| 13 | 102.5 | 104.748103442694 | -2.24810344269445 |
| 14 | 94.2 | 95.6063222533282 | -1.40632225332818 |
| 15 | 97.4 | 97.129297993987 | 0.270702006013113 |
| 16 | 98.5 | 98.478913305285 | 0.0210866947149881 |
| 17 | 106.5 | 110.759965920142 | -4.25996592014248 |
| 18 | 102.9 | 101.924024838116 | 0.975975161883644 |
| 19 | 97.1 | 101.848063116362 | -4.74806311636168 |
| 20 | 103.7 | 110.044176697280 | -6.34417669728047 |
| 21 | 93.4 | 88.5534076375849 | 4.84659236241516 |
| 22 | 85.8 | 90.5128099648035 | -4.71280996480347 |
| 23 | 108.6 | 111.280641276409 | -2.68064127640892 |
| 24 | 110.2 | 113.822457794518 | -3.62245779451765 |
| 25 | 101.2 | 106.163674995564 | -4.96367499556402 |
| 26 | 101.2 | 98.1106386065521 | 3.08936139344791 |
| 27 | 96.9 | 102.980496511263 | -6.08049651126304 |
| 28 | 99.4 | 101.305820710466 | -1.90582071046576 |
| 29 | 118.7 | 114.151407666248 | 4.54859233375229 |
| 30 | 108 | 109.872065193112 | -1.87206519311199 |
| 31 | 101.2 | 106.933107885240 | -5.73310788524032 |
| 32 | 119.9 | 114.725982651213 | 5.17401734878693 |
| 33 | 94.8 | 98.1144032523647 | -3.31440325236468 |
| 34 | 95.3 | 94.1058711183817 | 1.19412888161827 |
| 35 | 118 | 118.139936831050 | -0.139936831050195 |
| 36 | 115.9 | 120.641429467664 | -4.74142946766433 |
| 37 | 111.4 | 111.490663053410 | -0.0906630534103092 |
| 38 | 108.2 | 105.252201331656 | 2.94779866834439 |
| 39 | 108.8 | 108.831695028539 | -0.0316950285391993 |
| 40 | 109.5 | 109.132889420978 | 0.367110579022422 |
| 41 | 124.8 | 121.252646509857 | 3.54735349014337 |
| 42 | 115.3 | 115.360348776937 | -0.0603487769366968 |
| 43 | 109.5 | 112.905278047000 | -3.40527804700029 |
| 44 | 124.2 | 121.101391627919 | 3.0986083720809 |
| 45 | 92.9 | 102.876856969287 | -9.9768569692865 |
| 46 | 98.4 | 96.368244182638 | 2.03175581736200 |
| 47 | 120.9 | 122.418503970037 | -1.51850397003673 |
| 48 | 111.7 | 124.839348843662 | -13.1393488436617 |
| 49 | 116.1 | 112.825586843291 | 3.27441315670932 |
| 50 | 109.4 | 110.175950574556 | -0.77595057455584 |
| 51 | 111.7 | 112.344108419128 | -0.644108419128242 |
| 52 | 114.3 | 113.330808796975 | 0.96919120302508 |
| 53 | 133.7 | 126.216719634251 | 7.48328036574852 |
| 54 | 114.3 | 121.977701042610 | -7.67770104261034 |
| 55 | 126.5 | 115.530566044708 | 10.9694339552920 |
| 56 | 131 | 130.984978294656 | 0.0150217053442220 |
| 57 | 104 | 108.647407723573 | -4.64740772357345 |
| 58 | 108.9 | 103.872721841193 | 5.02727815880703 |
| 59 | 128.5 | 129.681038339624 | -1.18103833962408 |
| 60 | 132.4 | 130.932490649905 | 1.46750935009455 |
| 61 | 128 | 124.201157125328 | 3.79884287467225 |
| 62 | 116.4 | 118.003019285068 | -1.60301928506765 |
| 63 | 120.9 | 118.195306936404 | 2.70469306359561 |
| 64 | 118.6 | 120.069132707132 | -1.46913270713240 |
| 65 | 133.1 | 130.979173351173 | 2.12082664882673 |
| 66 | 121.1 | 124.764284566296 | -3.6642845662965 |
| 67 | 127.6 | 121.301116798995 | 6.29888320100503 |
| 68 | 135.4 | 134.457067803750 | 0.94293219624979 |
| 69 | 114.9 | 113.450185321990 | 1.44981467801015 |
| 70 | 114.3 | 111.296551736759 | 3.00344826324126 |
| 71 | 128.9 | 134.887054752987 | -5.98705475298655 |
| 72 | 138.9 | 134.122312988538 | 4.77768701146235 |
| 73 | 129.4 | 129.850736235131 | -0.450736235130868 |
| 74 | 115 | 121.596080438646 | -6.59608043864591 |
| 75 | 128 | 120.659299408134 | 7.3407005918663 |
| 76 | 127 | 125.960655105903 | 1.03934489409686 |
| 77 | 128.8 | 137.394906209374 | -8.5949062093739 |
| 78 | 137.9 | 126.058884474682 | 11.8411155253177 |
| 79 | 128.4 | 131.104055702742 | -2.70405570274243 |
| 80 | 135.9 | 137.808185668361 | -1.90818566836084 |
| 81 | 122.2 | 116.680331542117 | 5.51966845788334 |
| 82 | 113.1 | 117.268721898519 | -4.16872189851871 |
| 83 | 136.2 | 123.364269466773 | 12.8357305332270 |
| 84 | 138 | 126.027057629366 | 11.9729423706345 |
| 85 | 115.2 | 118.448922593401 | -3.24892259340111 |
| 86 | 111 | 104.831190558134 | 6.16880944186635 |
| 87 | 99.2 | 108.007445440071 | -8.80744544007117 |
| 88 | 102.4 | 103.308478527179 | -0.90847852717851 |
| 89 | 112.7 | 116.436332653423 | -3.73633265342269 |
| 90 | 105.5 | 108.527840845772 | -3.02784084577249 |
| 91 | 98.3 | 107.000219390212 | -8.70021939021202 |
| 92 | 116.4 | 114.631798630206 | 1.76820136979365 |
| 93 | 97.4 | 97.7782759423903 | -0.378275942390318 |
| 94 | 93.3 | 96.2295005795783 | -2.92950057957829 |
| 95 | 117.4 | 118.408667743495 | -1.00866774349490 |
| Goldfeld-Quandt test for Heteroskedasticity | |||
| p-values | Alternative Hypothesis | ||
| breakpoint index | greater | 2-sided | less |
| 18 | 0.000687394489422348 | 0.00137478897884470 | 0.999312605510578 |
| 19 | 0.136293464617780 | 0.272586929235561 | 0.86370653538222 |
| 20 | 0.100730628875767 | 0.201461257751534 | 0.899269371124233 |
| 21 | 0.0536173249067026 | 0.107234649813405 | 0.946382675093297 |
| 22 | 0.0252420767671698 | 0.0504841535343396 | 0.97475792323283 |
| 23 | 0.0113767220697915 | 0.0227534441395831 | 0.988623277930208 |
| 24 | 0.00577626761974871 | 0.0115525352394974 | 0.994223732380251 |
| 25 | 0.00238729593782835 | 0.00477459187565669 | 0.997612704062172 |
| 26 | 0.0248246362064822 | 0.0496492724129645 | 0.975175363793518 |
| 27 | 0.0136652788191595 | 0.0273305576383191 | 0.98633472118084 |
| 28 | 0.00749231167819276 | 0.0149846233563855 | 0.992507688321807 |
| 29 | 0.0549083645570806 | 0.109816729114161 | 0.94509163544292 |
| 30 | 0.0360181306213644 | 0.0720362612427287 | 0.963981869378636 |
| 31 | 0.0256774823533805 | 0.0513549647067609 | 0.97432251764662 |
| 32 | 0.0907920454767474 | 0.181584090953495 | 0.909207954523253 |
| 33 | 0.0630101299523772 | 0.126020259904754 | 0.936989870047623 |
| 34 | 0.0567297517668963 | 0.113459503533793 | 0.943270248233104 |
| 35 | 0.0507846522097389 | 0.101569304419478 | 0.949215347790261 |
| 36 | 0.0358179034406197 | 0.0716358068812393 | 0.96418209655938 |
| 37 | 0.0276051861952873 | 0.0552103723905747 | 0.972394813804713 |
| 38 | 0.0295802062216784 | 0.0591604124433569 | 0.970419793778322 |
| 39 | 0.0222116066062288 | 0.0444232132124576 | 0.977788393393771 |
| 40 | 0.0156769142270830 | 0.0313538284541660 | 0.984323085772917 |
| 41 | 0.0154430516623635 | 0.0308861033247269 | 0.984556948337637 |
| 42 | 0.00971401634533996 | 0.0194280326906799 | 0.99028598365466 |
| 43 | 0.00621197619461653 | 0.0124239523892331 | 0.993788023805383 |
| 44 | 0.0055949914719376 | 0.0111899829438752 | 0.994405008528062 |
| 45 | 0.0140938580574373 | 0.0281877161148745 | 0.985906141942563 |
| 46 | 0.00966835842429017 | 0.0193367168485803 | 0.99033164157571 |
| 47 | 0.00619532990378333 | 0.0123906598075667 | 0.993804670096217 |
| 48 | 0.0388916323624544 | 0.0777832647249087 | 0.961108367637546 |
| 49 | 0.0293736928962222 | 0.0587473857924443 | 0.970626307103778 |
| 50 | 0.019978374066901 | 0.039956748133802 | 0.9800216259331 |
| 51 | 0.0138965022997894 | 0.0277930045995789 | 0.98610349770021 |
| 52 | 0.00965175695168494 | 0.0193035139033699 | 0.990348243048315 |
| 53 | 0.0176406462531199 | 0.0352812925062397 | 0.98235935374688 |
| 54 | 0.0235341391428081 | 0.0470682782856162 | 0.976465860857192 |
| 55 | 0.0734051418714775 | 0.146810283742955 | 0.926594858128522 |
| 56 | 0.0575127837590879 | 0.115025567518176 | 0.942487216240912 |
| 57 | 0.0594654457026306 | 0.118930891405261 | 0.94053455429737 |
| 58 | 0.0535617629449351 | 0.107123525889870 | 0.946438237055065 |
| 59 | 0.0421129851583939 | 0.0842259703167877 | 0.957887014841606 |
| 60 | 0.0531610193175656 | 0.106322038635131 | 0.946838980682434 |
| 61 | 0.0436883663254936 | 0.0873767326509872 | 0.956311633674506 |
| 62 | 0.0311762028444302 | 0.0623524056888604 | 0.96882379715557 |
| 63 | 0.0213033738795522 | 0.0426067477591045 | 0.978696626120448 |
| 64 | 0.0148762056651547 | 0.0297524113303094 | 0.985123794334845 |
| 65 | 0.0108599070535188 | 0.0217198141070375 | 0.989140092946481 |
| 66 | 0.0162745707155353 | 0.0325491414310707 | 0.983725429284465 |
| 67 | 0.0205753345121873 | 0.0411506690243747 | 0.979424665487813 |
| 68 | 0.0129274979061789 | 0.0258549958123578 | 0.98707250209382 |
| 69 | 0.00947813703425877 | 0.0189562740685175 | 0.990521862965741 |
| 70 | 0.00576684435524568 | 0.0115336887104914 | 0.994233155644754 |
| 71 | 0.0324275742438275 | 0.064855148487655 | 0.967572425756173 |
| 72 | 0.0641183234857736 | 0.128236646971547 | 0.935881676514226 |
| 73 | 0.0480473306152563 | 0.0960946612305126 | 0.951952669384744 |
| 74 | 0.558544727836236 | 0.882910544327528 | 0.441455272163764 |
| 75 | 0.438923134905056 | 0.877846269810112 | 0.561076865094944 |
| 76 | 0.312049042513316 | 0.624098085026632 | 0.687950957486684 |
| 77 | 0.409014839002439 | 0.818029678004877 | 0.590985160997561 |
| Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
| Description | # significant tests | % significant tests | OK/NOK |
| 1% type I error level | 2 | 0.0333333333333333 | NOK |
| 5% type I error level | 29 | 0.483333333333333 | NOK |
| 10% type I error level | 42 | 0.7 | NOK |
