Multiple Linear Regression - Estimated Regression Equation |
wlh[t] = + 630954.108333333 -68434.1805555556dummies[t] -19507.8361111112M1[t] -34718.4361111111M2[t] -50175.4361111111M3[t] -47526.8361111111M4[t] -31895M5[t] -36192.8000000000M6[t] -44924.800M7[t] -49893.2M8[t] -61049M9[t] -59008.4M10[t] -7771M11[t] + 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) | 630954.108333333 | 8652.025238 | 72.9256 | 0 | 0 |
dummies | -68434.1805555556 | 4806.680688 | -14.2373 | 0 | 0 |
M1 | -19507.8361111112 | 11576.020022 | -1.6852 | 0.098581 | 0.04929 |
M2 | -34718.4361111111 | 11576.020022 | -2.9992 | 0.004319 | 0.002159 |
M3 | -50175.4361111111 | 11576.020022 | -4.3344 | 7.7e-05 | 3.8e-05 |
M4 | -47526.8361111111 | 11576.020022 | -4.1056 | 0.00016 | 8e-05 |
M5 | -31895 | 11536.03365 | -2.7648 | 0.008111 | 0.004056 |
M6 | -36192.8000000000 | 11536.03365 | -3.1374 | 0.002941 | 0.00147 |
M7 | -44924.800 | 11536.03365 | -3.8943 | 0.00031 | 0.000155 |
M8 | -49893.2 | 11536.03365 | -4.325 | 7.9e-05 | 3.9e-05 |
M9 | -61049 | 11536.03365 | -5.292 | 3e-06 | 2e-06 |
M10 | -59008.4 | 11536.03365 | -5.1151 | 6e-06 | 3e-06 |
M11 | -7771 | 11536.03365 | -0.6736 | 0.503847 | 0.251924 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.923043008017838 |
R-squared | 0.852008394650618 |
Adjusted R-squared | 0.814223303923116 |
F-TEST (value) | 22.5487984346822 |
F-TEST (DF numerator) | 12 |
F-TEST (DF denominator) | 47 |
p-value | 1.55431223447522e-15 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 18240.0707498689 |
Sum Squared Residuals | 15636908505.1306 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 612613 | 611446.272222223 | 1166.7277777775 |
2 | 611324 | 596235.672222222 | 15088.3277777778 |
3 | 594167 | 580778.672222222 | 13388.3277777778 |
4 | 595454 | 583427.272222222 | 12026.7277777778 |
5 | 590865 | 599059.108333333 | -8194.10833333333 |
6 | 589379 | 594761.308333333 | -5382.30833333328 |
7 | 584428 | 586029.308333333 | -1601.30833333331 |
8 | 573100 | 581060.908333333 | -7960.90833333338 |
9 | 567456 | 569905.108333333 | -2449.10833333343 |
10 | 569028 | 571945.708333333 | -2917.70833333334 |
11 | 620735 | 623183.108333333 | -2448.1083333333 |
12 | 628884 | 630954.108333333 | -2070.10833333331 |
13 | 628232 | 611446.272222222 | 16785.7277777779 |
14 | 612117 | 596235.672222222 | 15881.3277777778 |
15 | 595404 | 580778.672222222 | 14625.3277777778 |
16 | 597141 | 583427.272222222 | 13713.7277777778 |
17 | 593408 | 599059.108333333 | -5651.10833333331 |
18 | 590072 | 594761.308333333 | -4689.30833333333 |
19 | 579799 | 586029.308333333 | -6230.30833333334 |
20 | 574205 | 581060.908333333 | -6855.90833333332 |
21 | 572775 | 569905.108333333 | 2869.89166666669 |
22 | 572942 | 571945.708333333 | 996.29166666667 |
23 | 619567 | 623183.108333333 | -3616.10833333333 |
24 | 625809 | 630954.108333333 | -5145.10833333333 |
25 | 619916 | 611446.272222222 | 8469.72777777785 |
26 | 587625 | 596235.672222222 | -8610.67222222224 |
27 | 565742 | 580778.672222222 | -15036.6722222222 |
28 | 557274 | 583427.272222222 | -26153.2722222222 |
29 | 560576 | 530624.927777778 | 29951.0722222222 |
30 | 548854 | 526327.127777778 | 22526.8722222222 |
31 | 531673 | 517595.127777778 | 14077.8722222222 |
32 | 525919 | 512626.727777778 | 13292.2722222222 |
33 | 511038 | 501470.927777778 | 9567.07222222224 |
34 | 498662 | 503511.527777778 | -4849.52777777778 |
35 | 555362 | 554748.927777778 | 613.072222222213 |
36 | 564591 | 562519.927777778 | 2071.07222222221 |
37 | 541657 | 543012.091666667 | -1355.09166666660 |
38 | 527070 | 527801.491666667 | -731.491666666687 |
39 | 509846 | 512344.491666667 | -2498.49166666668 |
40 | 514258 | 514993.091666667 | -735.091666666687 |
41 | 516922 | 530624.927777778 | -13702.9277777778 |
42 | 507561 | 526327.127777778 | -18766.1277777778 |
43 | 492622 | 517595.127777778 | -24973.1277777778 |
44 | 490243 | 512626.727777778 | -22383.7277777778 |
45 | 469357 | 501470.927777778 | -32113.9277777778 |
46 | 477580 | 503511.527777778 | -25931.5277777778 |
47 | 528379 | 554748.927777778 | -26369.9277777778 |
48 | 533590 | 562519.927777778 | -28929.9277777778 |
49 | 517945 | 543012.091666667 | -25067.0916666666 |
50 | 506174 | 527801.491666667 | -21627.4916666667 |
51 | 501866 | 512344.491666667 | -10478.4916666667 |
52 | 516141 | 514993.091666667 | 1147.90833333331 |
53 | 528222 | 530624.927777778 | -2402.92777777778 |
54 | 532638 | 526327.127777778 | 6310.87222222221 |
55 | 536322 | 517595.127777778 | 18726.8722222222 |
56 | 536535 | 512626.727777778 | 23908.2722222222 |
57 | 523597 | 501470.927777778 | 22126.0722222223 |
58 | 536214 | 503511.527777778 | 32702.4722222222 |
59 | 586570 | 554748.927777778 | 31821.0722222222 |
60 | 596594 | 562519.927777778 | 34074.0722222222 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
16 | 0.0409428612015161 | 0.0818857224030322 | 0.959057138798484 |
17 | 0.0107415186502737 | 0.0214830373005474 | 0.989258481349726 |
18 | 0.00243677737761075 | 0.00487355475522149 | 0.99756322262239 |
19 | 0.000630162961181439 | 0.00126032592236288 | 0.999369837038819 |
20 | 0.000126545195588692 | 0.000253090391177385 | 0.999873454804411 |
21 | 3.34314424506887e-05 | 6.68628849013774e-05 | 0.99996656855755 |
22 | 7.30020390743716e-06 | 1.46004078148743e-05 | 0.999992699796093 |
23 | 1.25468483444977e-06 | 2.50936966889954e-06 | 0.999998745315166 |
24 | 2.3206049933155e-07 | 4.641209986631e-07 | 0.9999997679395 |
25 | 4.49171302414181e-08 | 8.98342604828362e-08 | 0.99999995508287 |
26 | 1.09875315597915e-05 | 2.19750631195831e-05 | 0.99998901246844 |
27 | 0.000202502317809450 | 0.000405004635618899 | 0.99979749768219 |
28 | 0.00281339008131855 | 0.00562678016263711 | 0.997186609918681 |
29 | 0.00194603633018517 | 0.00389207266037034 | 0.998053963669815 |
30 | 0.00121322048090854 | 0.00242644096181707 | 0.998786779519091 |
31 | 0.000728674619243659 | 0.00145734923848732 | 0.999271325380756 |
32 | 0.000333886285413937 | 0.000667772570827875 | 0.999666113714586 |
33 | 0.000216804746093083 | 0.000433609492186166 | 0.999783195253907 |
34 | 0.000245286015568489 | 0.000490572031136978 | 0.999754713984431 |
35 | 0.000126174751877545 | 0.000252349503755089 | 0.999873825248123 |
36 | 5.35033894459416e-05 | 0.000107006778891883 | 0.999946496610554 |
37 | 6.49755310017573e-05 | 0.000129951062003515 | 0.999935024468998 |
38 | 4.93115351426147e-05 | 9.86230702852294e-05 | 0.999950688464857 |
39 | 2.50118885175406e-05 | 5.00237770350811e-05 | 0.999974988111482 |
40 | 8.62411300601944e-06 | 1.72482260120389e-05 | 0.999991375886994 |
41 | 6.43377505467588e-06 | 1.28675501093518e-05 | 0.999993566224945 |
42 | 6.61857254881832e-06 | 1.32371450976366e-05 | 0.999993381427451 |
43 | 1.39640575415495e-05 | 2.79281150830989e-05 | 0.999986035942458 |
44 | 2.0647713826158e-05 | 4.1295427652316e-05 | 0.999979352286174 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 27 | 0.93103448275862 | NOK |
5% type I error level | 28 | 0.96551724137931 | NOK |
10% type I error level | 29 | 1 | NOK |