Multiple Linear Regression - Estimated Regression Equation |
Y[t] = + 95.9882710311442 + 0.0112456275625973X[t] + 0.355621378278568M1[t] + 0.281404269153141M2[t] + 0.174446779390013M3[t] -1.62886313825417M4[t] + 0.502574320639195M5[t] + 0.315918698325612M6[t] + 0.359135015305834M7[t] + 0.290375545247334M8[t] + 0.172803055667315M9[t] -1.28073177452812M10[t] + 0.310383374592550M11[t] + 0.191057566869932t + 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) | 95.9882710311442 | 0.540531 | 177.5813 | 0 | 0 |
X | 0.0112456275625973 | 0.001895 | 5.9349 | 0 | 0 |
M1 | 0.355621378278568 | 0.510941 | 0.696 | 0.489923 | 0.244961 |
M2 | 0.281404269153141 | 0.511393 | 0.5503 | 0.584797 | 0.292398 |
M3 | 0.174446779390013 | 0.512072 | 0.3407 | 0.734904 | 0.367452 |
M4 | -1.62886313825417 | 0.510748 | -3.1892 | 0.002569 | 0.001284 |
M5 | 0.502574320639195 | 0.509681 | 0.9861 | 0.329263 | 0.164632 |
M6 | 0.315918698325612 | 0.507863 | 0.6221 | 0.536977 | 0.268488 |
M7 | 0.359135015305834 | 0.506874 | 0.7085 | 0.482192 | 0.241096 |
M8 | 0.290375545247334 | 0.506595 | 0.5732 | 0.569307 | 0.284654 |
M9 | 0.172803055667315 | 0.507326 | 0.3406 | 0.734944 | 0.367472 |
M10 | -1.28073177452812 | 0.507632 | -2.523 | 0.015158 | 0.007579 |
M11 | 0.310383374592550 | 0.506564 | 0.6127 | 0.543077 | 0.271539 |
t | 0.191057566869932 | 0.006825 | 27.993 | 0 | 0 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.983059435402643 |
R-squared | 0.966405853534163 |
Adjusted R-squared | 0.956911855619905 |
F-TEST (value) | 101.791243505837 |
F-TEST (DF numerator) | 13 |
F-TEST (DF denominator) | 46 |
p-value | 0 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.799905919004726 |
Sum Squared Residuals | 29.4330760459046 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 98.71 | 98.260029244395 | 0.449970755604924 |
2 | 98.54 | 98.2824064306138 | 0.257593569386186 |
3 | 98.2 | 98.2844134265137 | -0.0844134265136707 |
4 | 96.92 | 96.791364727903 | 0.128635272097050 |
5 | 99.06 | 99.1577177011604 | -0.0977177011603769 |
6 | 99.65 | 99.3555444397934 | 0.2944555602066 |
7 | 99.82 | 99.5808218215935 | 0.23917817840651 |
8 | 99.99 | 99.6187777116854 | 0.371222288314563 |
9 | 100.33 | 99.838455947289 | 0.49154405271089 |
10 | 99.31 | 98.6310822590203 | 0.678917740979667 |
11 | 101.1 | 100.543704254737 | 0.556295745262929 |
12 | 101.1 | 100.417631070477 | 0.682368929523104 |
13 | 100.93 | 100.869846744100 | 0.0601532559004348 |
14 | 100.85 | 100.910216934418 | -0.0602169344184278 |
15 | 100.93 | 101.058417088632 | -0.12841708863202 |
16 | 99.6 | 99.6294684671281 | -0.0294684671281111 |
17 | 101.88 | 101.918226610204 | -0.0382266102036215 |
18 | 101.81 | 101.958614562960 | -0.148614562960275 |
19 | 102.38 | 102.409929058769 | -0.0299290587685652 |
20 | 102.74 | 102.589579856149 | 0.150420143850757 |
21 | 102.82 | 102.62370523697 | 0.196294763029932 |
22 | 101.72 | 101.493926378883 | 0.226073621116796 |
23 | 103.47 | 103.250234151480 | 0.219765848520165 |
24 | 102.98 | 102.870009784305 | 0.109990215695044 |
25 | 102.68 | 103.331221959978 | -0.651221959977714 |
26 | 102.9 | 103.47280279836 | -0.572802798359934 |
27 | 103.03 | 103.654739835261 | -0.624739835261341 |
28 | 101.29 | 101.853560941435 | -0.563560941435444 |
29 | 103.69 | 104.298633307631 | -0.608633307631066 |
30 | 103.68 | 104.403121337495 | -0.723121337494523 |
31 | 104.2 | 104.783588379658 | -0.583588379658447 |
32 | 104.08 | 104.909260164739 | -0.829260164738662 |
33 | 104.16 | 105.065962885992 | -0.905962885991797 |
34 | 103.05 | 103.947429655468 | -0.897429655467536 |
35 | 104.66 | 105.625018035126 | -0.965018035125986 |
36 | 104.46 | 105.679999454624 | -1.21999945462363 |
37 | 104.95 | 106.400985626992 | -1.45098562699238 |
38 | 105.85 | 106.764105328358 | -0.914105328357773 |
39 | 106.23 | 106.799849206945 | -0.569849206945402 |
40 | 104.86 | 105.323668949679 | -0.463668949678577 |
41 | 107.44 | 107.836215081250 | -0.396215081249775 |
42 | 108.23 | 108.082398018402 | 0.14760198159804 |
43 | 108.45 | 108.472986125372 | -0.0229861253722201 |
44 | 109.39 | 108.994504000656 | 0.395495999344144 |
45 | 110.15 | 109.336759576692 | 0.81324042330816 |
46 | 109.13 | 108.147378892523 | 0.982621107476772 |
47 | 110.28 | 109.357149165578 | 0.922850834422376 |
48 | 110.17 | 108.779001753301 | 1.39099824669896 |
49 | 109.99 | 108.397916424535 | 1.59208357546473 |
50 | 109.26 | 107.97046850825 | 1.28953149174995 |
51 | 109.11 | 107.702580442648 | 1.40741955735243 |
52 | 107.06 | 106.131936913855 | 0.928063086145082 |
53 | 109.53 | 108.389207299755 | 1.14079270024484 |
54 | 108.92 | 108.490321641350 | 0.429678358650158 |
55 | 109.24 | 108.842674614607 | 0.397325385392722 |
56 | 109.12 | 109.207878266771 | -0.0878782667708028 |
57 | 109 | 109.595116353057 | -0.595116353057185 |
58 | 107.23 | 108.220182814106 | -0.9901828141057 |
59 | 109.49 | 110.223894393079 | -0.733894393079484 |
60 | 109.04 | 110.003357937293 | -0.963357937293478 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
17 | 0.00185688852709852 | 0.00371377705419704 | 0.998143111472901 |
18 | 0.000202733529975828 | 0.000405467059951656 | 0.999797266470024 |
19 | 6.0573593497185e-05 | 0.00012114718699437 | 0.999939426406503 |
20 | 1.57929101545725e-05 | 3.15858203091449e-05 | 0.999984207089845 |
21 | 2.27212665418015e-06 | 4.54425330836029e-06 | 0.999997727873346 |
22 | 1.21136027346300e-06 | 2.42272054692599e-06 | 0.999998788639727 |
23 | 2.13266540452214e-07 | 4.26533080904428e-07 | 0.99999978673346 |
24 | 5.89006119327157e-08 | 1.17801223865431e-07 | 0.999999941099388 |
25 | 1.67515974243679e-08 | 3.35031948487358e-08 | 0.999999983248403 |
26 | 1.99193396655019e-09 | 3.98386793310039e-09 | 0.999999998008066 |
27 | 2.34764861818634e-10 | 4.69529723637268e-10 | 0.999999999765235 |
28 | 8.40896352235791e-11 | 1.68179270447158e-10 | 0.99999999991591 |
29 | 1.49233513051788e-11 | 2.98467026103577e-11 | 0.999999999985077 |
30 | 2.13557463945499e-12 | 4.27114927890998e-12 | 0.999999999997864 |
31 | 2.24078089118563e-13 | 4.48156178237126e-13 | 0.999999999999776 |
32 | 1.08855820067812e-12 | 2.17711640135623e-12 | 0.999999999998911 |
33 | 1.21436964402142e-11 | 2.42873928804284e-11 | 0.999999999987856 |
34 | 1.19128820982817e-10 | 2.38257641965634e-10 | 0.99999999988087 |
35 | 1.53409912999757e-10 | 3.06819825999514e-10 | 0.99999999984659 |
36 | 1.27231370971582e-08 | 2.54462741943165e-08 | 0.999999987276863 |
37 | 1.15842401551478e-08 | 2.31684803102957e-08 | 0.99999998841576 |
38 | 1.03033910712324e-08 | 2.06067821424647e-08 | 0.99999998969661 |
39 | 1.00064023707592e-07 | 2.00128047415185e-07 | 0.999999899935976 |
40 | 7.9178416342053e-07 | 1.58356832684106e-06 | 0.999999208215837 |
41 | 0.00010228634717868 | 0.00020457269435736 | 0.999897713652821 |
42 | 0.000662115238995922 | 0.00132423047799184 | 0.999337884761004 |
43 | 0.0478180989087926 | 0.0956361978175853 | 0.952181901091207 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 26 | 0.962962962962963 | NOK |
5% type I error level | 26 | 0.962962962962963 | NOK |
10% type I error level | 27 | 1 | NOK |