Multiple Linear Regression - Estimated Regression Equation |
unit_price[t] = + 0.289862 + 0.124575dum[t] -1.03528e-06barrels_purchased[t] + 142.463defl_price[t] -208.693defl_price1[t] + 77.7478defl_price2[t] -7.79753defl_price3[t] -5.17243defl_price4[t] + 1.50138`unit_price(t-1)`[t] -0.652644`unit_price(t-2)`[t] + 0.168331`unit_price(t-3)`[t] -0.00299439`unit_price(t-1s)`[t] -0.0680682M1[t] -0.0563617M2[t] -0.160134M3[t] -0.202579M4[t] -0.201011M5[t] -0.148186M6[t] -0.084663M7[t] -0.00305204M8[t] -0.0125572M9[t] -0.0506103M10[t] -0.0778865M11[t] + e[t] |
Warning: you did not specify the column number of the endogenous series! The first column was selected by default. |
Multiple Linear Regression - Ordinary Least Squares | |||||
Variable | Parameter | S.D. | T-STAT H0: parameter = 0 | 2-tail p-value | 1-tail p-value |
(Intercept) | +0.2899 | 0.1581 | +1.8330e+00 | 0.06757 | 0.03378 |
dum | +0.1246 | 0.1233 | +1.0100e+00 | 0.313 | 0.1565 |
barrels_purchased | -1.035e-06 | 4.964e-07 | -2.0860e+00 | 0.03769 | 0.01884 |
defl_price | +142.5 | 2.152 | +6.6200e+01 | 5.104e-210 | 2.552e-210 |
defl_price1 | -208.7 | 7.856 | -2.6570e+01 | 1.775e-88 | 8.873e-89 |
defl_price2 | +77.75 | 12.62 | +6.1610e+00 | 1.847e-09 | 9.237e-10 |
defl_price3 | -7.798 | 8.111 | -9.6130e-01 | 0.337 | 0.1685 |
defl_price4 | -5.172 | 2.267 | -2.2810e+00 | 0.02309 | 0.01155 |
`unit_price(t-1)` | +1.501 | 0.05049 | +2.9730e+01 | 5.393e-101 | 2.696e-101 |
`unit_price(t-2)` | -0.6526 | 0.08718 | -7.4860e+00 | 5.046e-13 | 2.523e-13 |
`unit_price(t-3)` | +0.1683 | 0.05262 | +3.1990e+00 | 0.001495 | 0.0007473 |
`unit_price(t-1s)` | -0.002994 | 0.004685 | -6.3910e-01 | 0.5231 | 0.2616 |
M1 | -0.06807 | 0.09839 | -6.9180e-01 | 0.4895 | 0.2447 |
M2 | -0.05636 | 0.09847 | -5.7240e-01 | 0.5674 | 0.2837 |
M3 | -0.1601 | 0.0984 | -1.6270e+00 | 0.1045 | 0.05225 |
M4 | -0.2026 | 0.09906 | -2.0450e+00 | 0.04154 | 0.02077 |
M5 | -0.201 | 0.09962 | -2.0180e+00 | 0.04432 | 0.02216 |
M6 | -0.1482 | 0.1005 | -1.4740e+00 | 0.1412 | 0.0706 |
M7 | -0.08466 | 0.1022 | -8.2810e-01 | 0.4081 | 0.2041 |
M8 | -0.003052 | 0.1002 | -3.0470e-02 | 0.9757 | 0.4879 |
M9 | -0.01256 | 0.09958 | -1.2610e-01 | 0.8997 | 0.4499 |
M10 | -0.05061 | 0.09923 | -5.1000e-01 | 0.6103 | 0.3052 |
M11 | -0.07789 | 0.09906 | -7.8630e-01 | 0.4322 | 0.2161 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.9995 |
R-squared | 0.9991 |
Adjusted R-squared | 0.999 |
F-TEST (value) | 1.894e+04 |
F-TEST (DF numerator) | 22 |
F-TEST (DF denominator) | 378 |
p-value | 0 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.4019 |
Sum Squared Residuals | 61.06 |
Menu of Residual Diagnostics | |
Description | Link |
Histogram | Compute |
Central Tendency | Compute |
QQ Plot | Compute |
Kernel Density Plot | Compute |
Skewness/Kurtosis Test | Compute |
Skewness-Kurtosis Plot | Compute |
Harrell-Davis Plot | Compute |
Bootstrap Plot -- Central Tendency | Compute |
Blocked Bootstrap Plot -- Central Tendency | Compute |
(Partial) Autocorrelation Plot | Compute |
Spectral Analysis | Compute |
Tukey lambda PPCC Plot | Compute |
Box-Cox Normality Plot | Compute |
Summary Statistics | Compute |
Ramsey RESET F-Test for powers (2 and 3) of fitted values |
> reset_test_fitted RESET test data: mylm RESET = 2.4169, df1 = 2, df2 = 376, p-value = 0.09058 |
Ramsey RESET F-Test for powers (2 and 3) of regressors |
> reset_test_regressors RESET test data: mylm RESET = 1.4458, df1 = 44, df2 = 334, p-value = 0.03938 |
Ramsey RESET F-Test for powers (2 and 3) of principal components |
> reset_test_principal_components RESET test data: mylm RESET = 1.5557, df1 = 2, df2 = 376, p-value = 0.2124 |
Variance Inflation Factors (Multicollinearity) |
> vif dum barrels_purchased defl_price defl_price1 8.605052 2.976080 89.977187 1183.999169 defl_price2 defl_price3 defl_price4 `unit_price(t-1)` 3022.063545 1239.794322 96.362647 1009.572497 `unit_price(t-2)` `unit_price(t-3)` `unit_price(t-1s)` M1 2865.693805 1004.078983 6.544556 1.864794 M2 M3 M4 M5 1.867680 1.865220 1.890181 1.911758 M6 M7 M8 M9 1.893628 1.959621 1.881290 1.858970 M10 M11 1.845882 1.839456 |