Multiple Linear Regression - Estimated Regression Equation |
Y[t] = + 71.5670283035868 + 0.600308352328144X[t] -9.06114044400578M1[t] -10.8421961581726M2[t] -2.76076096387848M3[t] -10.0107189858019M4[t] -10.5541324307141M5[t] -4.46488841486347M6[t] -6.61278423001557M7[t] -5.74956059221821M8[t] -3.03290485901032M9[t] -4.19653415055227M10[t] -4.83803581103003M11[t] + 0.243875973404465t + 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) | 71.5670283035868 | 7.870786 | 9.0927 | 0 | 0 |
X | 0.600308352328144 | 0.099595 | 6.0275 | 0 | 0 |
M1 | -9.06114044400578 | 2.371891 | -3.8202 | 0.00039 | 0.000195 |
M2 | -10.8421961581726 | 2.463892 | -4.4004 | 6.2e-05 | 3.1e-05 |
M3 | -2.76076096387848 | 2.655728 | -1.0395 | 0.303868 | 0.151934 |
M4 | -10.0107189858019 | 2.48833 | -4.0231 | 0.000207 | 0.000104 |
M5 | -10.5541324307141 | 2.467976 | -4.2764 | 9.2e-05 | 4.6e-05 |
M6 | -4.46488841486347 | 2.739256 | -1.63 | 0.109794 | 0.054897 |
M7 | -6.61278423001557 | 2.788529 | -2.3714 | 0.021869 | 0.010935 |
M8 | -5.74956059221821 | 2.652871 | -2.1673 | 0.035312 | 0.017656 |
M9 | -3.03290485901032 | 2.821722 | -1.0748 | 0.287933 | 0.143966 |
M10 | -4.19653415055227 | 2.79126 | -1.5035 | 0.139412 | 0.069706 |
M11 | -4.83803581103003 | 2.516816 | -1.9223 | 0.060643 | 0.030322 |
t | 0.243875973404465 | 0.034301 | 7.1099 | 0 | 0 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.920674569568137 |
R-squared | 0.847641663049474 |
Adjusted R-squared | 0.805499995382308 |
F-TEST (value) | 20.1140987049710 |
F-TEST (DF numerator) | 13 |
F-TEST (DF denominator) | 47 |
p-value | 6.4392935428259e-15 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 3.86504183797615 |
Sum Squared Residuals | 702.111775237386 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 100.6 | 105.791872694913 | -5.19187269491314 |
2 | 104.3 | 107.736481397654 | -3.43648139765421 |
3 | 120.4 | 123.445585298989 | -3.04558529898893 |
4 | 107.5 | 110.736573903353 | -3.23657390335264 |
5 | 102.9 | 109.476543068120 | -6.57654306811981 |
6 | 125.6 | 124.87431917753 | 0.725680822470073 |
7 | 107.5 | 101.239136981503 | 6.26086301849652 |
8 | 108.8 | 104.147161649690 | 4.65283835031027 |
9 | 128.4 | 125.357067267078 | 3.04293273292234 |
10 | 121.1 | 121.015556340670 | 0.0844436593302421 |
11 | 119.5 | 115.875494670204 | 3.62450532979587 |
12 | 128.7 | 120.897375619406 | 7.80262438059418 |
13 | 108.7 | 106.677335977851 | 2.02266402214880 |
14 | 105.5 | 106.100649600814 | -0.600649600813876 |
15 | 119.8 | 121.509599325985 | -1.70959932598456 |
16 | 111.3 | 110.541482152100 | 0.758517847900137 |
17 | 110.6 | 107.120341248486 | 3.47965875151426 |
18 | 120.1 | 121.917809005568 | -1.81780900556770 |
19 | 97.5 | 102.184631099674 | -4.68463109967418 |
20 | 107.7 | 106.713488319146 | 0.986511680853573 |
21 | 127.3 | 127.623239760370 | -0.32323976037029 |
22 | 117.2 | 118.959508697200 | -1.75950869719973 |
23 | 119.8 | 123.54444233445 | -3.74444233445004 |
24 | 116.2 | 124.003979805958 | -7.80397980595782 |
25 | 111 | 110.144125175800 | 0.855874824199886 |
26 | 112.4 | 112.388888054705 | 0.0111119452949567 |
27 | 130.6 | 126.837344416151 | 3.76265558384929 |
28 | 109.1 | 111.727099611202 | -2.62709961120183 |
29 | 118.8 | 116.049936452621 | 2.75006354737925 |
30 | 123.9 | 125.624721544448 | -1.72472154444785 |
31 | 101.6 | 103.850495240639 | -2.25049524063866 |
32 | 112.8 | 110.360370022794 | 2.43962997720622 |
33 | 128 | 126.047438798763 | 1.95256120123722 |
34 | 129.6 | 126.928610537610 | 2.67138946239027 |
35 | 125.8 | 122.208764713774 | 3.5912352862262 |
36 | 119.5 | 122.488209679583 | -2.98820967958314 |
37 | 115.7 | 113.670945208982 | 2.02905479101817 |
38 | 113.6 | 111.593487951124 | 2.00651204887586 |
39 | 129.7 | 124.841327607913 | 4.85867239208649 |
40 | 112 | 110.991730342854 | 1.00826965714629 |
41 | 116.8 | 112.433087093098 | 4.36691290690245 |
42 | 127 | 124.889352276100 | 2.11064772390024 |
43 | 112.1 | 109.178240330805 | 2.92175966919518 |
44 | 114.2 | 114.547529243536 | -0.347529243536449 |
45 | 121.1 | 126.212532058907 | -5.1125320589069 |
46 | 131.6 | 133.817157343829 | -2.21715734382905 |
47 | 125 | 125.075245559395 | -0.0752455593945539 |
48 | 120.4 | 122.353148763563 | -1.95314876356317 |
49 | 117.7 | 117.137734406931 | 0.56226559306927 |
50 | 117.5 | 115.480492995703 | 2.01950700429726 |
51 | 120.6 | 124.466143350962 | -3.86614335096229 |
52 | 127.5 | 123.403113990492 | 4.09688600950804 |
53 | 112.3 | 116.320092137676 | -4.02009213767615 |
54 | 124.5 | 123.793797996355 | 0.706202003645235 |
55 | 115.2 | 117.447496347379 | -2.24749634737886 |
56 | 104.7 | 112.431450764834 | -7.73145076483362 |
57 | 130.9 | 130.459722114882 | 0.440277885117625 |
58 | 129.2 | 127.979167080692 | 1.22083291930827 |
59 | 113.5 | 116.896052722177 | -3.39605272217747 |
60 | 125.6 | 120.65728613149 | 4.94271386850995 |
61 | 107.6 | 107.877986535523 | -0.277986535522993 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
17 | 0.414562559892497 | 0.829125119784994 | 0.585437440107503 |
18 | 0.454269134784751 | 0.908538269569503 | 0.545730865215249 |
19 | 0.901532072909545 | 0.19693585418091 | 0.098467927090455 |
20 | 0.842386842828769 | 0.315226314342462 | 0.157613157171231 |
21 | 0.7576346690069 | 0.4847306619862 | 0.2423653309931 |
22 | 0.70284903355407 | 0.594301932891859 | 0.297150966445929 |
23 | 0.622875241709268 | 0.754249516581463 | 0.377124758290732 |
24 | 0.865658583752903 | 0.268682832494194 | 0.134341416247097 |
25 | 0.882252598741211 | 0.235494802517577 | 0.117747401258789 |
26 | 0.883838407086867 | 0.232323185826266 | 0.116161592913133 |
27 | 0.891717537944631 | 0.216564924110738 | 0.108282462055369 |
28 | 0.886272315261258 | 0.227455369477483 | 0.113727684738742 |
29 | 0.868689170953814 | 0.262621658092372 | 0.131310829046186 |
30 | 0.8468175722001 | 0.306364855599801 | 0.153182427799900 |
31 | 0.826431500219575 | 0.347136999560850 | 0.173568499780425 |
32 | 0.78708971155895 | 0.425820576882099 | 0.212910288441049 |
33 | 0.718131555735192 | 0.563736888529615 | 0.281868444264808 |
34 | 0.655192336545511 | 0.689615326908977 | 0.344807663454488 |
35 | 0.611196007896644 | 0.777607984206711 | 0.388803992103356 |
36 | 0.62391610125777 | 0.75216779748446 | 0.37608389874223 |
37 | 0.525485954565934 | 0.949028090868131 | 0.474514045434066 |
38 | 0.426463430303853 | 0.852926860607706 | 0.573536569696147 |
39 | 0.468711198053277 | 0.937422396106554 | 0.531288801946723 |
40 | 0.412408606673024 | 0.824817213346047 | 0.587591393326976 |
41 | 0.44692004366887 | 0.89384008733774 | 0.55307995633113 |
42 | 0.321349696463359 | 0.642699392926717 | 0.678650303536641 |
43 | 0.382502017587302 | 0.765004035174605 | 0.617497982412698 |
44 | 0.80918144799484 | 0.38163710401032 | 0.19081855200516 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 0 | 0 | OK |
5% type I error level | 0 | 0 | OK |
10% type I error level | 0 | 0 | OK |