Multiple Linear Regression - Estimated Regression Equation |
Y[t] = + 0.772647651071932 + 0.0700411042991505X[t] -0.000190631685312515M1[t] + 0.00240989211865488M2[t] + 0.00406895727169555M3[t] -0.0260309794167778M4[t] -0.00934246972346833M5[t] -0.00996982849640152M6[t] + 0.0146382701539164M7[t] + 0.0301313224239747M8[t] + 0.0241132248770421M9[t] + 0.0308083018096797M10[t] + 0.0113569242639656M11[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) | 0.772647651071932 | 0.039191 | 19.7151 | 0 | 0 |
X | 0.0700411042991505 | 0.023839 | 2.9381 | 0.005147 | 0.002573 |
M1 | -0.000190631685312515 | 0.052114 | -0.0037 | 0.997097 | 0.498549 |
M2 | 0.00240989211865488 | 0.052392 | 0.046 | 0.963512 | 0.481756 |
M3 | 0.00406895727169555 | 0.052072 | 0.0781 | 0.938055 | 0.469028 |
M4 | -0.0260309794167778 | 0.051335 | -0.5071 | 0.614523 | 0.307262 |
M5 | -0.00934246972346833 | 0.051348 | -0.1819 | 0.856426 | 0.428213 |
M6 | -0.00996982849640152 | 0.051366 | -0.1941 | 0.846958 | 0.423479 |
M7 | 0.0146382701539164 | 0.051369 | 0.285 | 0.776953 | 0.388476 |
M8 | 0.0301313224239747 | 0.051406 | 0.5861 | 0.560642 | 0.280321 |
M9 | 0.0241132248770421 | 0.051312 | 0.4699 | 0.640621 | 0.32031 |
M10 | 0.0308083018096797 | 0.051299 | 0.6006 | 0.551082 | 0.275541 |
M11 | 0.0113569242639656 | 0.051301 | 0.2214 | 0.825779 | 0.41289 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.478529492155792 |
R-squared | 0.228990474862880 |
Adjusted R-squared | 0.0278575552618919 |
F-TEST (value) | 1.13850321129508 |
F-TEST (DF numerator) | 12 |
F-TEST (DF denominator) | 46 |
p-value | 0.354332486664713 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.0764656629349064 |
Sum Squared Residuals | 0.268961889971437 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 0.7461 | 0.80936868135227 | -0.0632686813522695 |
2 | 0.7775 | 0.808116944419786 | -0.0306169444197858 |
3 | 0.779 | 0.776716608343627 | 0.00228339165637259 |
4 | 0.7744 | 0.75025880907871 | 0.02414119092129 |
5 | 0.7905 | 0.785228046994098 | 0.00527195300590231 |
6 | 0.7719 | 0.788172784540421 | -0.0162727845404211 |
7 | 0.7811 | 0.81271084208644 | -0.0316108420864399 |
8 | 0.7557 | 0.791922602329538 | -0.0362226023295382 |
9 | 0.7637 | 0.80040301337253 | -0.0367030133725297 |
10 | 0.7595 | 0.84323930012353 | -0.0837393001235291 |
11 | 0.7471 | 0.83079203300773 | -0.08369203300773 |
12 | 0.7615 | 0.869164292796161 | -0.107664292796161 |
13 | 0.7487 | 0.790107377670005 | -0.0414073776700053 |
14 | 0.7389 | 0.746901019262328 | -0.00800101926232827 |
15 | 0.7337 | 0.77321455312867 | -0.0395145531286699 |
16 | 0.751 | 0.785489484541183 | -0.0344894845411826 |
17 | 0.7382 | 0.766807236563421 | -0.0286072365634211 |
18 | 0.7159 | 0.773183988220403 | -0.057283988220403 |
19 | 0.7542 | 0.818804418160466 | -0.064604418160466 |
20 | 0.7636 | 0.823721263681353 | -0.0601212636813526 |
21 | 0.7433 | 0.810699055704505 | -0.0673990557045049 |
22 | 0.7658 | 0.83819634061399 | -0.0723963406139903 |
23 | 0.7627 | 0.81510282564472 | -0.0524028256447202 |
24 | 0.748 | 0.745121497082366 | 0.00287850291763425 |
25 | 0.7692 | 0.741358769077797 | 0.0278412309222034 |
26 | 0.785 | 0.788925681841819 | -0.00392568184181853 |
27 | 0.7913 | 0.811316913867408 | -0.0200169138674078 |
28 | 0.772 | 0.755932138526941 | 0.0160678614730589 |
29 | 0.788 | 0.790481129816534 | -0.00248112981653392 |
30 | 0.807 | 0.79657771705632 | 0.0104222829436808 |
31 | 0.8268 | 0.806757348221012 | 0.0200426517789878 |
32 | 0.8244 | 0.828624140982293 | -0.00422414098229306 |
33 | 0.8487 | 0.808317658158334 | 0.0403823418416663 |
34 | 0.8572 | 0.81431232404798 | 0.04288767595202 |
35 | 0.8214 | 0.790098151409924 | 0.0313018485900764 |
36 | 0.8827 | 0.80164466825178 | 0.0810553317482199 |
37 | 0.9216 | 0.797671816934314 | 0.123928183065686 |
38 | 0.8865 | 0.843347619882258 | 0.0431523801177415 |
39 | 0.8816 | 0.795627706504398 | 0.085972293495602 |
40 | 0.8884 | 0.771761428098549 | 0.116638571901451 |
41 | 0.9466 | 0.77514212797502 | 0.17145787202498 |
42 | 0.918 | 0.789363483313507 | 0.128636516686493 |
43 | 0.9337 | 0.798072251287917 | 0.135627748712083 |
44 | 0.9559 | 0.836818950185294 | 0.119081049814706 |
45 | 0.9626 | 0.861548897425688 | 0.101051102574312 |
46 | 0.9434 | 0.854445876811393 | 0.0889541231886068 |
47 | 0.8639 | 0.78302399987571 | 0.0808760001242906 |
48 | 0.7996 | 0.775869541869693 | 0.0237304581303072 |
49 | 0.668 | 0.715093354965615 | -0.0470933549656151 |
50 | 0.6572 | 0.657808734593809 | -0.00060873459380887 |
51 | 0.6928 | 0.721524218155897 | -0.0287242181558969 |
52 | 0.6438 | 0.766158139754617 | -0.122358139754617 |
53 | 0.6454 | 0.791041458650927 | -0.145641458650927 |
54 | 0.6873 | 0.75280202686935 | -0.0655020268693501 |
55 | 0.7265 | 0.785955140244164 | -0.0594551402441644 |
56 | 0.7912 | 0.809713042821522 | -0.0185130428215224 |
57 | 0.8114 | 0.848731375338944 | -0.0373313753389436 |
58 | 0.8281 | 0.803806158403107 | 0.0242938415968925 |
59 | 0.8393 | 0.815382990061917 | 0.0239170099380832 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
16 | 0.0335973880111620 | 0.0671947760223240 | 0.966402611988838 |
17 | 0.0183222105214037 | 0.0366444210428075 | 0.981677789478596 |
18 | 0.0110959883845923 | 0.0221919767691846 | 0.988904011615408 |
19 | 0.00476679846746194 | 0.00953359693492388 | 0.995233201532538 |
20 | 0.00151447342514872 | 0.00302894685029744 | 0.998485526574851 |
21 | 0.000572182650164849 | 0.00114436530032970 | 0.999427817349835 |
22 | 0.000206083350186539 | 0.000412166700373079 | 0.999793916649814 |
23 | 8.30191698789731e-05 | 0.000166038339757946 | 0.99991698083012 |
24 | 2.56769367998686e-05 | 5.13538735997372e-05 | 0.9999743230632 |
25 | 1.12358654741466e-05 | 2.24717309482932e-05 | 0.999988764134526 |
26 | 4.21186873817185e-06 | 8.4237374763437e-06 | 0.999995788131262 |
27 | 2.03887384487026e-06 | 4.07774768974053e-06 | 0.999997961126155 |
28 | 5.16425638641425e-07 | 1.03285127728285e-06 | 0.999999483574361 |
29 | 1.52754195348215e-07 | 3.0550839069643e-07 | 0.999999847245805 |
30 | 2.9254657857638e-07 | 5.8509315715276e-07 | 0.999999707453421 |
31 | 4.17141620585397e-07 | 8.34283241170794e-07 | 0.99999958285838 |
32 | 4.94532215011616e-07 | 9.8906443002323e-07 | 0.999999505467785 |
33 | 2.32009284874381e-06 | 4.64018569748761e-06 | 0.999997679907151 |
34 | 6.70097181141657e-06 | 1.34019436228331e-05 | 0.999993299028189 |
35 | 5.17694808816737e-06 | 1.03538961763347e-05 | 0.999994823051912 |
36 | 2.11031267868055e-05 | 4.22062535736111e-05 | 0.999978896873213 |
37 | 0.000229366867670294 | 0.000458733735340589 | 0.99977063313233 |
38 | 0.000357652211756362 | 0.000715304423512724 | 0.999642347788244 |
39 | 0.000322287981371040 | 0.000644575962742079 | 0.99967771201863 |
40 | 0.00134317553741778 | 0.00268635107483556 | 0.998656824462582 |
41 | 0.126793939227939 | 0.253587878455878 | 0.873206060772061 |
42 | 0.153447792911637 | 0.306895585823275 | 0.846552207088363 |
43 | 0.333380267350408 | 0.666760534700815 | 0.666619732649592 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 22 | 0.785714285714286 | NOK |
5% type I error level | 24 | 0.857142857142857 | NOK |
10% type I error level | 25 | 0.892857142857143 | NOK |