Multiple Linear Regression - Estimated Regression Equation |
Rente[t] = + 3.17110895987953 -1.33998063891578Crisis[t] -0.056110895987954M1[t] -0.066110895987953M2[t] -0.0691108959879531M3[t] -0.0801108959879526M4[t] -0.0951108959879533M5[t] -0.0871108959879531M6[t] -0.0441108959879533M7[t] -0.0201108959879536M8[t] -0.0341108959879521M9[t] + 0.0808871679036255M10[t] + 0.0955555555555557M11[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) | 3.17110895987953 | 0.332954 | 9.5242 | 0 | 0 |
Crisis | -1.33998063891578 | 0.293417 | -4.5668 | 1.4e-05 | 7e-06 |
M1 | -0.056110895987954 | 0.456752 | -0.1228 | 0.902463 | 0.451231 |
M2 | -0.066110895987953 | 0.456752 | -0.1447 | 0.885193 | 0.442596 |
M3 | -0.0691108959879531 | 0.456752 | -0.1513 | 0.880022 | 0.440011 |
M4 | -0.0801108959879526 | 0.456752 | -0.1754 | 0.861109 | 0.430554 |
M5 | -0.0951108959879533 | 0.456752 | -0.2082 | 0.83545 | 0.417725 |
M6 | -0.0871108959879531 | 0.456752 | -0.1907 | 0.849115 | 0.424557 |
M7 | -0.0441108959879533 | 0.456752 | -0.0966 | 0.923248 | 0.461624 |
M8 | -0.0201108959879536 | 0.456752 | -0.044 | 0.964964 | 0.482482 |
M9 | -0.0341108959879521 | 0.456752 | -0.0747 | 0.94061 | 0.470305 |
M10 | 0.0808871679036255 | 0.457484 | 0.1768 | 0.859999 | 0.43 |
M11 | 0.0955555555555557 | 0.468605 | 0.2039 | 0.838815 | 0.419407 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.408922480909892 |
R-squared | 0.167217595393501 |
Adjusted R-squared | 0.0720424634384724 |
F-TEST (value) | 1.75694629425377 |
F-TEST (DF numerator) | 12 |
F-TEST (DF denominator) | 105 |
p-value | 0.0651354955774184 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.994062319041879 |
Sum Squared Residuals | 103.756788884586 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 3 | 3.11499806389159 | -0.114998063891585 |
2 | 3.21 | 3.10499806389158 | 0.105001936108422 |
3 | 3.37 | 3.10199806389158 | 0.268001936108422 |
4 | 3.51 | 3.09099806389158 | 0.419001936108422 |
5 | 3.75 | 3.07599806389158 | 0.674001936108424 |
6 | 4.11 | 3.08399806389158 | 1.02600193610842 |
7 | 4.25 | 3.12699806389158 | 1.12300193610842 |
8 | 4.25 | 3.15099806389158 | 1.09900193610842 |
9 | 4.5 | 3.13699806389158 | 1.36300193610842 |
10 | 4.7 | 3.25199612778315 | 1.44800387221685 |
11 | 4.75 | 3.26666451543509 | 1.48333548456491 |
12 | 4.75 | 3.17110895987953 | 1.57889104012047 |
13 | 4.75 | 3.11499806389158 | 1.63500193610842 |
14 | 4.75 | 3.10499806389158 | 1.64500193610842 |
15 | 4.75 | 3.10199806389158 | 1.64800193610842 |
16 | 4.75 | 3.09099806389158 | 1.65900193610842 |
17 | 4.58 | 3.07599806389158 | 1.50400193610842 |
18 | 4.5 | 3.08399806389158 | 1.41600193610842 |
19 | 4.5 | 3.12699806389158 | 1.37300193610842 |
20 | 4.49 | 3.15099806389158 | 1.33900193610842 |
21 | 4.03 | 3.13699806389158 | 0.893001936108422 |
22 | 3.75 | 3.25199612778316 | 0.498003872216843 |
23 | 3.39 | 3.26666451543509 | 0.123335484564914 |
24 | 3.25 | 3.17110895987953 | 0.0788910401204689 |
25 | 3.25 | 3.11499806389158 | 0.135001936108423 |
26 | 3.25 | 3.10499806389158 | 0.145001936108422 |
27 | 3.25 | 3.10199806389158 | 0.148001936108421 |
28 | 3.25 | 3.09099806389158 | 0.159001936108422 |
29 | 3.25 | 3.07599806389158 | 0.174001936108422 |
30 | 3.25 | 3.08399806389158 | 0.166001936108422 |
31 | 3.25 | 3.12699806389158 | 0.123001936108422 |
32 | 3.25 | 3.15099806389158 | 0.0990019361084223 |
33 | 3.25 | 3.13699806389158 | 0.113001936108422 |
34 | 3.25 | 3.25199612778316 | -0.00199612778315666 |
35 | 3.25 | 3.26666451543509 | -0.0166645154350859 |
36 | 2.85 | 3.17110895987953 | -0.321108959879531 |
37 | 2.75 | 3.11499806389158 | -0.364998063891577 |
38 | 2.75 | 3.10499806389158 | -0.354998063891578 |
39 | 2.55 | 3.10199806389158 | -0.551998063891579 |
40 | 2.5 | 3.09099806389158 | -0.590998063891578 |
41 | 2.5 | 3.07599806389158 | -0.575998063891578 |
42 | 2.1 | 3.08399806389158 | -0.983998063891578 |
43 | 2 | 3.12699806389158 | -1.12699806389158 |
44 | 2 | 3.15099806389158 | -1.15099806389158 |
45 | 2 | 3.13699806389158 | -1.13699806389158 |
46 | 2 | 3.25199612778316 | -1.25199612778316 |
47 | 2 | 3.26666451543509 | -1.26666451543509 |
48 | 2 | 3.17110895987953 | -1.17110895987953 |
49 | 2 | 3.11499806389158 | -1.11499806389158 |
50 | 2 | 3.10499806389158 | -1.10499806389158 |
51 | 2 | 3.10199806389158 | -1.10199806389158 |
52 | 2 | 3.09099806389158 | -1.09099806389158 |
53 | 2 | 3.07599806389158 | -1.07599806389158 |
54 | 2 | 3.08399806389158 | -1.08399806389158 |
55 | 2 | 3.12699806389158 | -1.12699806389158 |
56 | 2 | 3.15099806389158 | -1.15099806389158 |
57 | 2 | 3.13699806389158 | -1.13699806389158 |
58 | 2 | 3.25199612778316 | -1.25199612778316 |
59 | 2 | 3.26666451543509 | -1.26666451543509 |
60 | 2 | 3.17110895987953 | -1.17110895987953 |
61 | 2 | 3.11499806389158 | -1.11499806389158 |
62 | 2 | 3.10499806389158 | -1.10499806389158 |
63 | 2 | 3.10199806389158 | -1.10199806389158 |
64 | 2 | 3.09099806389158 | -1.09099806389158 |
65 | 2 | 3.07599806389158 | -1.07599806389158 |
66 | 2 | 3.08399806389158 | -1.08399806389158 |
67 | 2 | 3.12699806389158 | -1.12699806389158 |
68 | 2 | 3.15099806389158 | -1.15099806389158 |
69 | 2 | 3.13699806389158 | -1.13699806389158 |
70 | 2 | 3.25199612778316 | -1.25199612778316 |
71 | 2 | 3.26666451543509 | -1.26666451543509 |
72 | 2.21 | 3.17110895987953 | -0.961108959879532 |
73 | 2.25 | 3.11499806389158 | -0.864998063891577 |
74 | 2.25 | 3.10499806389158 | -0.854998063891578 |
75 | 2.45 | 3.10199806389158 | -0.651998063891578 |
76 | 2.5 | 3.09099806389158 | -0.590998063891578 |
77 | 2.5 | 3.07599806389158 | -0.575998063891578 |
78 | 2.64 | 3.08399806389158 | -0.443998063891578 |
79 | 2.75 | 3.12699806389158 | -0.376998063891578 |
80 | 2.93 | 3.15099806389158 | -0.220998063891578 |
81 | 3 | 3.13699806389158 | -0.136998063891578 |
82 | 3.17 | 3.25199612778316 | -0.0819961277831567 |
83 | 3.25 | 3.26666451543509 | -0.0166645154350859 |
84 | 3.39 | 3.17110895987953 | 0.218891040120469 |
85 | 3.5 | 3.11499806389158 | 0.385001936108423 |
86 | 3.5 | 3.10499806389158 | 0.395001936108422 |
87 | 3.65 | 3.10199806389158 | 0.548001936108421 |
88 | 3.75 | 3.09099806389158 | 0.659001936108422 |
89 | 3.75 | 3.07599806389158 | 0.674001936108422 |
90 | 3.9 | 3.08399806389158 | 0.816001936108422 |
91 | 4 | 3.12699806389158 | 0.873001936108422 |
92 | 4 | 3.15099806389158 | 0.849001936108422 |
93 | 4 | 3.13699806389158 | 0.863001936108422 |
94 | 4 | 3.25199612778316 | 0.748003872216843 |
95 | 4 | 3.26666451543509 | 0.733335484564914 |
96 | 4 | 3.17110895987953 | 0.828891040120469 |
97 | 4 | 3.11499806389158 | 0.885001936108423 |
98 | 4 | 3.10499806389158 | 0.895001936108422 |
99 | 4 | 3.10199806389158 | 0.898001936108421 |
100 | 4 | 3.09099806389158 | 0.909001936108422 |
101 | 4 | 3.07599806389158 | 0.924001936108423 |
102 | 4 | 3.08399806389158 | 0.916001936108422 |
103 | 4.18 | 3.12699806389158 | 1.05300193610842 |
104 | 4.25 | 3.15099806389158 | 1.09900193610842 |
105 | 4.25 | 3.13699806389158 | 1.11300193610842 |
106 | 3.97 | 1.91201548886738 | 2.05798451113262 |
107 | 3.42 | 1.92668387651931 | 1.49331612348069 |
108 | 2.75 | 1.83112832096375 | 0.918871679036248 |
109 | 2.31 | 1.77501742497580 | 0.534982575024202 |
110 | 2 | 1.7650174249758 | 0.234982575024201 |
111 | 1.66 | 1.7620174249758 | -0.102017424975799 |
112 | 1.31 | 1.7510174249758 | -0.441017424975799 |
113 | 1.09 | 1.7360174249758 | -0.646017424975798 |
114 | 1 | 1.74401742497580 | -0.744017424975798 |
115 | 1 | 1.7870174249758 | -0.787017424975799 |
116 | 1 | 1.8110174249758 | -0.811017424975798 |
117 | 1 | 1.7970174249758 | -0.797017424975799 |
118 | 1 | 1.91201548886738 | -0.912015488867377 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
16 | 0.831857011723139 | 0.336285976553722 | 0.168142988276861 |
17 | 0.769373624909146 | 0.461252750181709 | 0.230626375090854 |
18 | 0.680862638833505 | 0.638274722332991 | 0.319137361166495 |
19 | 0.586741291514286 | 0.826517416971428 | 0.413258708485714 |
20 | 0.496120864107779 | 0.992241728215557 | 0.503879135892221 |
21 | 0.412469574459928 | 0.824939148919857 | 0.587530425540072 |
22 | 0.375199969035215 | 0.75039993807043 | 0.624800030964785 |
23 | 0.393727858180274 | 0.787455716360547 | 0.606272141819726 |
24 | 0.429345941005516 | 0.858691882011032 | 0.570654058994484 |
25 | 0.369202779635206 | 0.738405559270411 | 0.630797220364794 |
26 | 0.324012280379637 | 0.648024560759273 | 0.675987719620363 |
27 | 0.290586332061442 | 0.581172664122885 | 0.709413667938558 |
28 | 0.266893896350434 | 0.533787792700868 | 0.733106103649566 |
29 | 0.248369431120156 | 0.496738862240312 | 0.751630568879844 |
30 | 0.24461845061761 | 0.48923690123522 | 0.75538154938239 |
31 | 0.246733453457935 | 0.49346690691587 | 0.753266546542065 |
32 | 0.246529024155455 | 0.493058048310911 | 0.753470975844545 |
33 | 0.235488976361938 | 0.470977952723876 | 0.764511023638062 |
34 | 0.219996953402726 | 0.439993906805452 | 0.780003046597274 |
35 | 0.194315403432211 | 0.388630806864421 | 0.80568459656779 |
36 | 0.191439831408272 | 0.382879662816543 | 0.808560168591728 |
37 | 0.175566055572531 | 0.351132111145062 | 0.824433944427469 |
38 | 0.164623536251873 | 0.329247072503746 | 0.835376463748127 |
39 | 0.171791522468637 | 0.343583044937274 | 0.828208477531363 |
40 | 0.185141180077416 | 0.370282360154832 | 0.814858819922584 |
41 | 0.198248905978428 | 0.396497811956856 | 0.801751094021572 |
42 | 0.264813027974436 | 0.529626055948871 | 0.735186972025564 |
43 | 0.353416888660856 | 0.706833777321713 | 0.646583111339144 |
44 | 0.43872383045428 | 0.87744766090856 | 0.56127616954572 |
45 | 0.508394253826803 | 0.983211492346394 | 0.491605746173197 |
46 | 0.573076706548635 | 0.85384658690273 | 0.426923293451365 |
47 | 0.624227233883391 | 0.751545532233217 | 0.375772766116609 |
48 | 0.652918397405071 | 0.694163205189858 | 0.347081602594929 |
49 | 0.667639244128376 | 0.664721511743248 | 0.332360755871624 |
50 | 0.682334872964554 | 0.635330254070891 | 0.317665127035446 |
51 | 0.694936217670452 | 0.610127564659095 | 0.305063782329548 |
52 | 0.706175624001041 | 0.587648751997918 | 0.293824375998959 |
53 | 0.715596495856097 | 0.568807008287806 | 0.284403504143903 |
54 | 0.723364524858235 | 0.553270950283531 | 0.276635475141766 |
55 | 0.733417781000334 | 0.533164437999331 | 0.266582218999666 |
56 | 0.74428061591493 | 0.511438768170141 | 0.255719384085070 |
57 | 0.752398337213451 | 0.495203325573097 | 0.247601662786549 |
58 | 0.769449709453101 | 0.461100581093797 | 0.230550290546899 |
59 | 0.78943827899846 | 0.421123442003079 | 0.210561721001539 |
60 | 0.801074077850139 | 0.397851844299723 | 0.198925922149861 |
61 | 0.808726818378847 | 0.382546363242307 | 0.191273181621154 |
62 | 0.814674413462317 | 0.370651173075366 | 0.185325586537683 |
63 | 0.821000634242001 | 0.357998731515998 | 0.178999365757999 |
64 | 0.82606031017591 | 0.347879379648181 | 0.173939689824091 |
65 | 0.829483431714553 | 0.341033136570894 | 0.170516568285447 |
66 | 0.834892800388447 | 0.330214399223107 | 0.165107199611553 |
67 | 0.845605113841858 | 0.308789772316283 | 0.154394886158142 |
68 | 0.859831334154564 | 0.280337331690872 | 0.140168665845436 |
69 | 0.874429753340293 | 0.251140493319415 | 0.125570246659707 |
70 | 0.908708943154927 | 0.182582113690145 | 0.0912910568450727 |
71 | 0.94661763748509 | 0.106764725029820 | 0.0533823625149102 |
72 | 0.96161070779197 | 0.0767785844160602 | 0.0383892922080301 |
73 | 0.9711586508897 | 0.0576826982206001 | 0.0288413491103001 |
74 | 0.978028812311085 | 0.04394237537783 | 0.021971187688915 |
75 | 0.979946966936728 | 0.0401060661265442 | 0.0200530330632721 |
76 | 0.980287668549204 | 0.0394246629015922 | 0.0197123314507961 |
77 | 0.979999669564515 | 0.0400006608709702 | 0.0200003304354851 |
78 | 0.978101553106465 | 0.0437968937870695 | 0.0218984468935347 |
79 | 0.97595158531528 | 0.0480968293694405 | 0.0240484146847203 |
80 | 0.971186244986707 | 0.0576275100265869 | 0.0288137550132935 |
81 | 0.96452128665911 | 0.07095742668178 | 0.03547871334089 |
82 | 0.968012633716355 | 0.0639747325672896 | 0.0319873662836448 |
83 | 0.97838605554719 | 0.0432278889056193 | 0.0216139444528096 |
84 | 0.978908942300671 | 0.042182115398657 | 0.0210910576993285 |
85 | 0.974540092465858 | 0.0509198150682834 | 0.0254599075341417 |
86 | 0.966809399251646 | 0.0663812014967075 | 0.0331906007483537 |
87 | 0.952418944671836 | 0.095162110656328 | 0.047581055328164 |
88 | 0.930858109120772 | 0.138283781758456 | 0.0691418908792278 |
89 | 0.901550653111476 | 0.196898693777048 | 0.0984493468885239 |
90 | 0.866420037450704 | 0.267159925098593 | 0.133579962549297 |
91 | 0.82341785680661 | 0.353164286386781 | 0.176582143193391 |
92 | 0.769660302926944 | 0.460679394146113 | 0.230339697073057 |
93 | 0.705985387329169 | 0.588029225341662 | 0.294014612670831 |
94 | 0.667891561757922 | 0.664216876484155 | 0.332108438242078 |
95 | 0.749281301302393 | 0.501437397395213 | 0.250718698697607 |
96 | 0.761466201791239 | 0.477067596417523 | 0.238533798208761 |
97 | 0.737336519508989 | 0.525326960982021 | 0.262663480491011 |
98 | 0.68695436803381 | 0.626091263932381 | 0.313045631966190 |
99 | 0.602806058140762 | 0.794387883718475 | 0.397193941859238 |
100 | 0.485537979266452 | 0.971075958532904 | 0.514462020733548 |
101 | 0.352613440127939 | 0.705226880255878 | 0.647386559872061 |
102 | 0.222877104202921 | 0.445754208405842 | 0.777122895797079 |
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 | 8 | 0.0919540229885057 | NOK |
10% type I error level | 16 | 0.183908045977011 | NOK |