Repository of Reproducible Computations

Multiple Linear Regression - Estimated Regression Equation

SOMIVBH [t] = + 12.1742 -0.310819TVDC1[t] + 0.554131TVDC2[t] + 0.264569TVDC4[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)	+12.17	1.441	+8.4500e+00	1.501e-14	7.504e-15
TVDC1	-0.3108	0.2072	-1.5000e+00	0.1354	0.06771
TVDC2	+0.5541	0.3364	+1.6470e+00	0.1014	0.0507
TVDC4	+0.2646	0.2798	+9.4570e-01	0.3457	0.1728

Multiple Linear Regression - Regression Statistics
Multiple R	0.1807
R-squared	0.03266
Adjusted R-squared	0.01497
F-TEST (value)	1.846
F-TEST (DF numerator)	3
F-TEST (DF denominator)	164
p-value	0.1409
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation	2.075
Sum Squared Residuals	706.1

Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or Index	Actuals	Interpolation Forecast	Residuals Prediction Error
1	11	13.39	-2.387
2	11	13.63	-2.63
3	15	14.5	0.5047
4	15	13.94	1.059
5	13	14.21	-1.206
6	14	13.08	0.9238
7	13	13.61	-0.6053
8	15	13.94	1.059
9	14	14.21	-0.2057
10	15	13.63	1.37
11	10	13.63	-3.63
12	11	13.94	-2.941
13	16	14.21	1.794
14	17	13.39	3.613
15	14	14.21	-0.2057
16	13	13.63	-0.6303
17	10	14.21	-4.206
18	13	14.52	-1.517
19	17	14.21	2.794
20	18	13.63	4.37
21	17	13.94	3.059
22	11	13.63	-2.63
23	15	13.94	1.059
24	12	14.21	-2.206
25	15	13.7	1.302
26	15	14.21	0.7943
27	12	13.94	-1.941
28	19	13.94	5.059
29	13	13.94	-0.9411
30	15	14.25	0.748
31	13	13.39	-0.387
32	10	13.89	-3.895
33	14	13.68	0.3234
34	12	12.83	-0.8329
35	15	13.63	1.37
36	13	13.94	-0.9411
37	18	13.96	4.038
38	15	14.83	0.1726
39	11	13.89	-2.895
40	14	13.94	0.05885
41	11	13.63	-2.63
42	14	13.39	0.613
43	9	13.94	-4.941
44	13	13.94	-0.9411
45	13	14.25	-1.252
46	12	13.94	-1.941
47	17	13.94	3.059
48	16	14.25	1.748
49	15	13.7	1.302
50	16	13.63	2.37
51	16	14.18	1.816
52	13	14.45	-1.449
53	13	14.01	-1.009
54	12	14.25	-2.252
55	11	14.56	-3.563
56	13	13.94	-0.9411
57	15	14.18	0.8155
58	13	14.21	-1.206
59	14	13.94	0.05885
60	13	13.63	-0.6303
61	15	13.63	1.37
62	14	14.5	-0.4953
63	14	13.63	0.3697
64	13	13.94	-0.9411
65	11	12.57	-1.568
66	14	13.63	0.3697
67	17	14.25	2.748
68	15	14.83	0.1726
69	15	13.63	1.37
70	13	13.94	-0.9411
71	12	13.94	-1.941
72	14	13.94	0.05885
73	11	13.7	-2.698
74	14	14.45	-0.449
75	18	13.94	4.059
76	15	13.08	1.924
77	18	14.25	3.748
78	16	15.09	0.9081
79	12	13.63	-1.63
80	14	13.94	0.05885
81	14	14.32	-0.3195
82	14	13.94	0.05885
83	14	13.89	0.1051
84	13	14.21	-1.206
85	12	14.71	-2.714
86	13	14.21	-1.206
87	15	13.89	1.105
88	13	13.94	-0.9411
89	14	13.89	0.1051
90	15	13.63	1.37
91	13	13.94	-0.9411
92	14	14.5	-0.4953
93	17	13.94	3.059
94	15	14.5	0.5047
95	13	13.94	-0.9411
96	14	14.21	-0.2057
97	17	15.02	1.976
98	8	13.89	-5.895
99	15	13.63	1.37
100	10	14.21	-4.206
101	15	14.21	0.7943
102	15	13.94	1.059
103	14	14.56	-0.5628
104	15	13.94	1.059
105	18	14.21	3.794
106	14	14.21	-0.2057
107	19	13.94	5.059
108	16	13.94	2.059
109	17	14.21	2.794
110	18	14.21	3.794
111	13	13.94	-0.9411
112	10	13.94	-3.941
113	14	13.7	0.3022
114	13	14.16	-1.159
115	12	14.21	-2.206
116	13	13.63	-0.6303
117	12	14.21	-2.206
118	13	13.63	-0.6303
119	16	14.25	1.748
120	12	13.94	-1.941
121	14	14.25	-0.252
122	17	14.21	2.794
123	14	13.94	0.05885
124	12	14.21	-2.206
125	14	13.94	0.05885
126	17	13.63	3.37
127	13	13.94	-0.9411
128	11	13.94	-2.941
129	14	13.94	0.05885
130	11	14.01	-3.009
131	17	14.21	2.794
132	15	15.02	-0.02442
133	10	13.7	-3.698
134	15	14.01	0.9913
135	16	14.21	1.794
136	17	14.47	2.53
137	15	13.7	1.302
138	12	13.94	-1.941
139	15	14.45	0.551
140	10	14.5	-4.495
141	13	13.7	-0.6978
142	17	14.25	2.748
143	17	14.21	2.794
144	16	14.25	1.748
145	15	14.5	0.5047
146	16	14.83	1.173
147	16	14.45	1.551
148	15	13.39	1.613
149	16	14.21	1.794
150	14	13.7	0.3022
151	17	14.21	2.794
152	14	13.63	0.3697
153	12	13.94	-1.941
154	15	14.56	0.4372
155	14	13.94	0.05885
156	15	13.63	1.37
157	14	13.94	0.05885
158	13	13.94	-0.9411
159	16	13.89	2.105
160	13	13.94	-0.9411
161	14	14.18	-0.1845
162	13	14.52	-1.517
163	13	13.94	-0.9411
164	15	14.21	0.7943
165	13	13.7	-0.6978
166	14	14.21	-0.2057
167	13	13.94	-0.9411
168	12	14.78	-2.781

Goldfeld-Quandt test for Heteroskedasticity
p-values	Alternative Hypothesis
breakpoint index	greater	2-sided	less
7	0.6153	0.7693	0.3847
8	0.5172	0.9655	0.4828
9	0.3703	0.7406	0.6297
10	0.3137	0.6275	0.6863
11	0.5071	0.9858	0.4929
12	0.5556	0.8888	0.4444
13	0.5441	0.9118	0.4559
14	0.7013	0.5973	0.2987
15	0.6193	0.7615	0.3807
16	0.5378	0.9243	0.4622
17	0.719	0.5619	0.281
18	0.6784	0.6432	0.3216
19	0.7667	0.4665	0.2333
20	0.9077	0.1846	0.09229
21	0.9252	0.1496	0.07479
22	0.9317	0.1366	0.0683
23	0.9107	0.1786	0.0893
24	0.9018	0.1965	0.09824
25	0.8728	0.2544	0.1272
26	0.8474	0.3051	0.1526
27	0.8436	0.3129	0.1564
28	0.9426	0.1148	0.05741
29	0.9297	0.1405	0.07027
30	0.9083	0.1833	0.09166
31	0.8876	0.2248	0.1124
32	0.9136	0.1728	0.08638
33	0.8921	0.2158	0.1079
34	0.8762	0.2477	0.1238
35	0.8628	0.2744	0.1372
36	0.8397	0.3207	0.1603
37	0.8931	0.2139	0.1069
38	0.871	0.2581	0.129
39	0.8718	0.2565	0.1282
40	0.8421	0.3158	0.1579
41	0.8452	0.3096	0.1548
42	0.8128	0.3744	0.1872
43	0.9282	0.1437	0.07184
44	0.913	0.174	0.08701
45	0.9053	0.1893	0.09466
46	0.9001	0.1998	0.09992
47	0.9226	0.1548	0.07741
48	0.9119	0.1762	0.08809
49	0.8943	0.2115	0.1057
50	0.9095	0.1809	0.09048
51	0.9144	0.1713	0.08563
52	0.8992	0.2016	0.1008
53	0.8944	0.2112	0.1056
54	0.9011	0.1977	0.09886
55	0.9358	0.1284	0.06421
56	0.9225	0.1549	0.07746
57	0.9092	0.1815	0.09076
58	0.8933	0.2134	0.1067
59	0.8702	0.2595	0.1298
60	0.8462	0.3077	0.1538
61	0.8301	0.3397	0.1699
62	0.8005	0.3991	0.1995
63	0.7677	0.4646	0.2323
64	0.7381	0.5237	0.2619
65	0.7337	0.5326	0.2663
66	0.6962	0.6075	0.3038
67	0.7249	0.5502	0.2751
68	0.6866	0.6269	0.3134
69	0.6637	0.6725	0.3363
70	0.6297	0.7407	0.3703
71	0.6227	0.7546	0.3773
72	0.579	0.842	0.421
73	0.6094	0.7812	0.3906
74	0.5669	0.8662	0.4331
75	0.6839	0.6323	0.3161
76	0.6759	0.6481	0.3241
77	0.7586	0.4828	0.2414
78	0.7333	0.5335	0.2667
79	0.7183	0.5634	0.2817
80	0.6792	0.6416	0.3208
81	0.6402	0.7196	0.3598
82	0.5974	0.8052	0.4026
83	0.5548	0.8903	0.4452
84	0.524	0.9521	0.476
85	0.5509	0.8982	0.4491
86	0.5213	0.9574	0.4787
87	0.4921	0.9841	0.5079
88	0.4564	0.9128	0.5436
89	0.4146	0.8293	0.5854
90	0.3888	0.7776	0.6112
91	0.3549	0.7097	0.6451
92	0.316	0.6319	0.684
93	0.3627	0.7253	0.6373
94	0.3238	0.6476	0.6762
95	0.2919	0.5838	0.7081
96	0.2556	0.5113	0.7444
97	0.2542	0.5084	0.7458
98	0.575	0.85	0.425
99	0.5455	0.909	0.4545
100	0.698	0.604	0.302
101	0.6627	0.6746	0.3373
102	0.6307	0.7385	0.3693
103	0.5893	0.8214	0.4107
104	0.5557	0.8886	0.4443
105	0.648	0.704	0.352
106	0.6071	0.7857	0.3929
107	0.8109	0.3782	0.1891
108	0.8152	0.3696	0.1848
109	0.8345	0.3311	0.1655
110	0.8914	0.2171	0.1086
111	0.8713	0.2575	0.1287
112	0.9262	0.1476	0.07378
113	0.9082	0.1835	0.09176
114	0.9114	0.1772	0.08859
115	0.9242	0.1516	0.07579
116	0.9087	0.1825	0.09127
117	0.925	0.1499	0.07497
118	0.9107	0.1787	0.08934
119	0.9182	0.1637	0.08185
120	0.9164	0.1673	0.08364
121	0.8962	0.2076	0.1038
122	0.9043	0.1915	0.09573
123	0.88	0.24	0.12
124	0.9049	0.1901	0.09507
125	0.8802	0.2395	0.1198
126	0.9124	0.1752	0.08762
127	0.8926	0.2149	0.1074
128	0.9184	0.1632	0.08162
129	0.8951	0.2098	0.1049
130	0.9157	0.1685	0.08427
131	0.9223	0.1554	0.0777
132	0.904	0.1919	0.09597
133	0.9637	0.07267	0.03633
134	0.9536	0.0929	0.04645
135	0.9434	0.1133	0.05664
136	0.9354	0.1292	0.06461
137	0.9196	0.1608	0.08039
138	0.9213	0.1575	0.07873
139	0.8951	0.2098	0.1049
140	0.9765	0.04705	0.02353
141	0.9677	0.06467	0.03234
142	0.9817	0.03654	0.01827
143	0.9871	0.02582	0.01291
144	0.9893	0.02141	0.0107
145	0.9843	0.03133	0.01567
146	0.9895	0.02108	0.01054
147	0.9869	0.02611	0.01305
148	0.9804	0.03926	0.01963
149	0.9807	0.03859	0.0193
150	0.9693	0.06141	0.03071
151	0.9926	0.0149	0.007449
152	0.9856	0.02871	0.01435
153	0.9885	0.02301	0.0115
154	0.9999	0.0001447	7.235e-05
155	0.9998	0.000352	0.000176
156	0.9994	0.001164	0.0005819
157	0.9987	0.00262	0.00131
158	0.996	0.00807	0.004035
159	0.9869	0.02618	0.01309
160	0.9646	0.07089	0.03544
161	0.8995	0.201	0.1005

Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description	# significant tests	% significant tests	OK/NOK
1% type I error level	5	0.03226	NOK
5% type I error level	18	0.116129	NOK
10% type I error level	23	0.148387	NOK

Ramsey RESET F-Test for powers (2 and 3) of fitted values

> reset_test_fitted
	RESET test
data:  mylm
RESET = 0.20154, df1 = 2, df2 = 162, p-value = 0.8177

Ramsey RESET F-Test for powers (2 and 3) of regressors

> reset_test_regressors
	RESET test
data:  mylm
RESET = 0.23888, df1 = 6, df2 = 158, p-value = 0.9631

Ramsey RESET F-Test for powers (2 and 3) of principal components

> reset_test_principal_components
	RESET test
data:  mylm
RESET = 0.42503, df1 = 2, df2 = 162, p-value = 0.6545

Variance Inflation Factors (Multicollinearity)

> vif
   TVDC1    TVDC2    TVDC4 
1.124710 1.193178 1.064665