x <- array(list(107.1
,0
,96.3
,87.0
,96.8
,115.2
,0
,107.1
,96.3
,87.0
,106.1
,0
,115.2
,107.1
,96.3
,89.5
,0
,106.1
,115.2
,107.1
,91.3
,0
,89.5
,106.1
,115.2
,97.6
,0
,91.3
,89.5
,106.1
,100.7
,0
,97.6
,91.3
,89.5
,104.6
,0
,100.7
,97.6
,91.3
,94.7
,0
,104.6
,100.7
,97.6
,101.8
,0
,94.7
,104.6
,100.7
,102.5
,0
,101.8
,94.7
,104.6
,105.3
,0
,102.5
,101.8
,94.7
,110.3
,0
,105.3
,102.5
,101.8
,109.8
,0
,110.3
,105.3
,102.5
,117.3
,0
,109.8
,110.3
,105.3
,118.8
,0
,117.3
,109.8
,110.3
,131.3
,0
,118.8
,117.3
,109.8
,125.9
,0
,131.3
,118.8
,117.3
,133.1
,0
,125.9
,131.3
,118.8
,147.0
,0
,133.1
,125.9
,131.3
,145.8
,0
,147.0
,133.1
,125.9
,164.4
,0
,145.8
,147.0
,133.1
,149.8
,0
,164.4
,145.8
,147.0
,137.7
,0
,149.8
,164.4
,145.8
,151.7
,0
,137.7
,149.8
,164.4
,156.8
,0
,151.7
,137.7
,149.8
,180.0
,0
,156.8
,151.7
,137.7
,180.4
,0
,180.0
,156.8
,151.7
,170.4
,0
,180.4
,180.0
,156.8
,191.6
,0
,170.4
,180.4
,180.0
,199.5
,0
,191.6
,170.4
,180.4
,218.2
,0
,199.5
,191.6
,170.4
,217.5
,0
,218.2
,199.5
,191.6
,205.0
,0
,217.5
,218.2
,199.5
,194.0
,0
,205.0
,217.5
,218.2
,199.3
,0
,194.0
,205.0
,217.5
,219.3
,0
,199.3
,194.0
,205.0
,211.1
,0
,219.3
,199.3
,194.0
,215.2
,0
,211.1
,219.3
,199.3
,240.2
,0
,215.2
,211.1
,219.3
,242.2
,0
,240.2
,215.2
,211.1
,240.7
,0
,242.2
,240.2
,215.2
,255.4
,0
,240.7
,242.2
,240.2
,253.0
,0
,255.4
,240.7
,242.2
,218.2
,0
,253.0
,255.4
,240.7
,203.7
,0
,218.2
,253.0
,255.4
,205.6
,0
,203.7
,218.2
,253.0
,215.6
,0
,205.6
,203.7
,218.2
,188.5
,0
,215.6
,205.6
,203.7
,202.9
,0
,188.5
,215.6
,205.6
,214.0
,0
,202.9
,188.5
,215.6
,230.3
,0
,214.0
,202.9
,188.5
,230.0
,0
,230.3
,214.0
,202.9
,241.0
,0
,230.0
,230.3
,214.0
,259.6
,1
,241.0
,230.0
,230.3
,247.8
,1
,259.6
,241.0
,230.0
,270.3
,1
,247.8
,259.6
,241.0
,289.7
,1
,270.3
,247.8
,259.6
,322.7
,1
,289.7
,270.3
,247.8
,315.0
,1
,322.7
,289.7
,270.3
,320.2
,1
,315.0
,322.7
,289.7
,329.5
,1
,320.2
,315.0
,322.7
,360.6
,1
,329.5
,320.2
,315.0
,382.2
,1
,360.6
,329.5
,320.2
,435.4
,1
,382.2
,360.6
,329.5
,464.0
,1
,435.4
,382.2
,360.6
,468.8
,1
,464.0
,435.4
,382.2
,403.0
,1
,468.8
,464.0
,435.4
,351.6
,1
,403.0
,468.8
,464.0
,252.0
,1
,351.6
,403.0
,468.8
,188.0
,1
,252.0
,351.6
,403.0
,146.5
,1
,188.0
,252.0
,351.6
,152.9
,1
,146.5
,188.0
,252.0
,148.1
,1
,152.9
,146.5
,188.0
,165.1
,1
,148.1
,152.9
,146.5
,177.0
,1
,165.1
,148.1
,152.9
,206.1
,1
,177.0
,165.1
,148.1
,244.9
,1
,206.1
,177.0
,165.1
,228.6
,1
,244.9
,206.1
,177.0
,253.4
,1
,228.6
,244.9
,206.1
,241.1
,1
,253.4
,228.6
,244.9)
,dim=c(5
,81)
,dimnames=list(c('Y'
,'D'
,'Y1'
,'Y2'
,'Y3')
,1:81))
y <- array(NA,dim=c(5,81),dimnames=list(c('Y','D','Y1','Y2','Y3'),1:81))
for (i in 1:dim(x)[1])
{
for (j in 1:dim(x)[2])
{
y[i,j] <- as.numeric(x[i,j])
}
}
par3 = 'Linear Trend'
par2 = 'Include Monthly Dummies'
par1 = '1'
#'GNU S' R Code compiled by R2WASP v. 1.0.44 ()
#Author: Prof. Dr. P. Wessa
#To cite this work: AUTHOR(S), (YEAR), YOUR SOFTWARE TITLE (vNUMBER) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_YOURPAGE.wasp/
#Source of accompanying publication: Office for Research, Development, and Education
#Technical description: Write here your technical program description (don't use hard returns!)
library(lattice)
library(lmtest)
n25 <- 25 #minimum number of obs. for Goldfeld-Quandt test
par1 <- as.numeric(par1)
x <- t(y)
k <- length(x[1,])
n <- length(x[,1])
x1 <- cbind(x[,par1], x[,1:k!=par1])
mycolnames <- c(colnames(x)[par1], colnames(x)[1:k!=par1])
colnames(x1) <- mycolnames #colnames(x)[par1]
x <- x1
if (par3 == 'First Differences'){
x2 <- array(0, dim=c(n-1,k), dimnames=list(1:(n-1), paste('(1-B)',colnames(x),sep='')))
for (i in 1:n-1) {
for (j in 1:k) {
x2[i,j] <- x[i+1,j] - x[i,j]
}
}
x <- x2
}
if (par2 == 'Include Monthly Dummies'){
x2 <- array(0, dim=c(n,11), dimnames=list(1:n, paste('M', seq(1:11), sep ='')))
for (i in 1:11){
x2[seq(i,n,12),i] <- 1
}
x <- cbind(x, x2)
}
if (par2 == 'Include Quarterly Dummies'){
x2 <- array(0, dim=c(n,3), dimnames=list(1:n, paste('Q', seq(1:3), sep ='')))
for (i in 1:3){
x2[seq(i,n,4),i] <- 1
}
x <- cbind(x, x2)
}
k <- length(x[1,])
if (par3 == 'Linear Trend'){
x <- cbind(x, c(1:n))
colnames(x)[k+1] <- 't'
}
x
k <- length(x[1,])
df <- as.data.frame(x)
(mylm <- lm(df))
(mysum <- summary(mylm))
if (n > n25) {
kp3 <- k + 3
nmkm3 <- n - k - 3
gqarr <- array(NA, dim=c(nmkm3-kp3+1,3))
numgqtests <- 0
numsignificant1 <- 0
numsignificant5 <- 0
numsignificant10 <- 0
for (mypoint in kp3:nmkm3) {
j <- 0
numgqtests <- numgqtests + 1
for (myalt in c('greater', 'two.sided', 'less')) {
j <- j + 1
gqarr[mypoint-kp3+1,j] <- gqtest(mylm, point=mypoint, alternative=myalt)$p.value
}
if (gqarr[mypoint-kp3+1,2] < 0.01) numsignificant1 <- numsignificant1 + 1
if (gqarr[mypoint-kp3+1,2] < 0.05) numsignificant5 <- numsignificant5 + 1
if (gqarr[mypoint-kp3+1,2] < 0.10) numsignificant10 <- numsignificant10 + 1
}
gqarr
}
postscript(file="/var/www/html/rcomp/tmp/1ij9i1260834280.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
plot(x[,1], type='l', main='Actuals and Interpolation', ylab='value of Actuals and Interpolation (dots)', xlab='time or index')
points(x[,1]-mysum$resid)
grid()
dev.off()
postscript(file="/var/www/html/rcomp/tmp/2vm5f1260834280.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index')
grid()
dev.off()
postscript(file="/var/www/html/rcomp/tmp/3wfjo1260834280.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
grid()
dev.off()
postscript(file="/var/www/html/rcomp/tmp/4vg9b1260834280.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
dev.off()
postscript(file="/var/www/html/rcomp/tmp/5nvyf1260834280.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
qqnorm(mysum$resid, main='Residual Normal Q-Q Plot')
qqline(mysum$resid)
grid()
dev.off()
(myerror <- as.ts(mysum$resid))
postscript(file="/var/www/html/rcomp/tmp/6rpwm1260834280.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
dum <- cbind(lag(myerror,k=1),myerror)
dum
dum1 <- dum[2:length(myerror),]
dum1
z <- as.data.frame(dum1)
z
plot(z,main=paste('Residual Lag plot, lowess, and regression line'), ylab='values of Residuals', xlab='lagged values of Residuals')
lines(lowess(z))
abline(lm(z))
grid()
dev.off()
postscript(file="/var/www/html/rcomp/tmp/7363e1260834281.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
grid()
dev.off()
postscript(file="/var/www/html/rcomp/tmp/8mnh01260834281.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
grid()
dev.off()
postscript(file="/var/www/html/rcomp/tmp/9egev1260834281.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
plot(mylm, las = 1, sub='Residual Diagnostics')
par(opar)
dev.off()
if (n > n25) {
postscript(file="/var/www/html/rcomp/tmp/102kwe1260834281.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
grid()
dev.off()
}
#Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
load(file="/var/www/html/rcomp/createtable")
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
a<-table.row.end(a)
myeq <- colnames(x)[1]
myeq <- paste(myeq, '[t] = ', sep='')
for (i in 1:k){
if (mysum$coefficients[i,1] > 0) myeq <- paste(myeq, '+', '')
myeq <- paste(myeq, mysum$coefficients[i,1], sep=' ')
if (rownames(mysum$coefficients)[i] != '(Intercept)') {
myeq <- paste(myeq, rownames(mysum$coefficients)[i], sep='')
if (rownames(mysum$coefficients)[i] != 't') myeq <- paste(myeq, '[t]', sep='')
}
}
myeq <- paste(myeq, ' + e[t]')
a<-table.row.start(a)
a<-table.element(a, myeq)
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file="/var/www/html/rcomp/tmp/11ih8q1260834281.tab")
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,hyperlink('http://www.xycoon.com/ols1.htm','Multiple Linear Regression - Ordinary Least Squares',''), 6, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Variable',header=TRUE)
a<-table.element(a,'Parameter',header=TRUE)
a<-table.element(a,'S.D.',header=TRUE)
a<-table.element(a,'T-STAT
H0: parameter = 0',header=TRUE)
a<-table.element(a,'2-tail p-value',header=TRUE)
a<-table.element(a,'1-tail p-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:k){
a<-table.row.start(a)
a<-table.element(a,rownames(mysum$coefficients)[i],header=TRUE)
a<-table.element(a,mysum$coefficients[i,1])
a<-table.element(a, round(mysum$coefficients[i,2],6))
a<-table.element(a, round(mysum$coefficients[i,3],4))
a<-table.element(a, round(mysum$coefficients[i,4],6))
a<-table.element(a, round(mysum$coefficients[i,4]/2,6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file="/var/www/html/rcomp/tmp/12op3z1260834281.tab")
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Regression Statistics', 2, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Multiple R',1,TRUE)
a<-table.element(a, sqrt(mysum$r.squared))
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'R-squared',1,TRUE)
a<-table.element(a, mysum$r.squared)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Adjusted R-squared',1,TRUE)
a<-table.element(a, mysum$adj.r.squared)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'F-TEST (value)',1,TRUE)
a<-table.element(a, mysum$fstatistic[1])
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'F-TEST (DF numerator)',1,TRUE)
a<-table.element(a, mysum$fstatistic[2])
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'F-TEST (DF denominator)',1,TRUE)
a<-table.element(a, mysum$fstatistic[3])
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'p-value',1,TRUE)
a<-table.element(a, 1-pf(mysum$fstatistic[1],mysum$fstatistic[2],mysum$fstatistic[3]))
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Residual Statistics', 2, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Residual Standard Deviation',1,TRUE)
a<-table.element(a, mysum$sigma)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Sum Squared Residuals',1,TRUE)
a<-table.element(a, sum(myerror*myerror))
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file="/var/www/html/rcomp/tmp/13pzku1260834281.tab")
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Actuals, Interpolation, and Residuals', 4, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Time or Index', 1, TRUE)
a<-table.element(a, 'Actuals', 1, TRUE)
a<-table.element(a, 'Interpolation
Forecast', 1, TRUE)
a<-table.element(a, 'Residuals
Prediction Error', 1, TRUE)
a<-table.row.end(a)
for (i in 1:n) {
a<-table.row.start(a)
a<-table.element(a,i, 1, TRUE)
a<-table.element(a,x[i])
a<-table.element(a,x[i]-mysum$resid[i])
a<-table.element(a,mysum$resid[i])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file="/var/www/html/rcomp/tmp/14hbs91260834281.tab")
if (n > n25) {
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'p-values',header=TRUE)
a<-table.element(a,'Alternative Hypothesis',3,header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'breakpoint index',header=TRUE)
a<-table.element(a,'greater',header=TRUE)
a<-table.element(a,'2-sided',header=TRUE)
a<-table.element(a,'less',header=TRUE)
a<-table.row.end(a)
for (mypoint in kp3:nmkm3) {
a<-table.row.start(a)
a<-table.element(a,mypoint,header=TRUE)
a<-table.element(a,gqarr[mypoint-kp3+1,1])
a<-table.element(a,gqarr[mypoint-kp3+1,2])
a<-table.element(a,gqarr[mypoint-kp3+1,3])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file="/var/www/html/rcomp/tmp/15skxu1260834281.tab")
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Description',header=TRUE)
a<-table.element(a,'# significant tests',header=TRUE)
a<-table.element(a,'% significant tests',header=TRUE)
a<-table.element(a,'OK/NOK',header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'1% type I error level',header=TRUE)
a<-table.element(a,numsignificant1)
a<-table.element(a,numsignificant1/numgqtests)
if (numsignificant1/numgqtests < 0.01) dum <- 'OK' else dum <- 'NOK'
a<-table.element(a,dum)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'5% type I error level',header=TRUE)
a<-table.element(a,numsignificant5)
a<-table.element(a,numsignificant5/numgqtests)
if (numsignificant5/numgqtests < 0.05) dum <- 'OK' else dum <- 'NOK'
a<-table.element(a,dum)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'10% type I error level',header=TRUE)
a<-table.element(a,numsignificant10)
a<-table.element(a,numsignificant10/numgqtests)
if (numsignificant10/numgqtests < 0.1) dum <- 'OK' else dum <- 'NOK'
a<-table.element(a,dum)
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file="/var/www/html/rcomp/tmp/16fi3r1260834281.tab")
}
try(system("convert tmp/1ij9i1260834280.ps tmp/1ij9i1260834280.png",intern=TRUE))
try(system("convert tmp/2vm5f1260834280.ps tmp/2vm5f1260834280.png",intern=TRUE))
try(system("convert tmp/3wfjo1260834280.ps tmp/3wfjo1260834280.png",intern=TRUE))
try(system("convert tmp/4vg9b1260834280.ps tmp/4vg9b1260834280.png",intern=TRUE))
try(system("convert tmp/5nvyf1260834280.ps tmp/5nvyf1260834280.png",intern=TRUE))
try(system("convert tmp/6rpwm1260834280.ps tmp/6rpwm1260834280.png",intern=TRUE))
try(system("convert tmp/7363e1260834281.ps tmp/7363e1260834281.png",intern=TRUE))
try(system("convert tmp/8mnh01260834281.ps tmp/8mnh01260834281.png",intern=TRUE))
try(system("convert tmp/9egev1260834281.ps tmp/9egev1260834281.png",intern=TRUE))
try(system("convert tmp/102kwe1260834281.ps tmp/102kwe1260834281.png",intern=TRUE))